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  1. Home
  2. …
  3. April
  4. Open Economy DSGE Modelling with Applications to Emerging Economies
  5. Course Programme
Open Economy DSGE Modelling with Applications to Emerging Economies
  • Course Programme
  • Conference

Course Programme

The instructors for the course will be Michael Ben-Gad, Vasco Gabriel, Paul Levine, Maryam Mirfatah and Joe Pearlman.

Michael Ben-Gad

Michael Ben-Gad is a Professor in the Department of Economics at City, University of London.

He graduated in Economics at the Hebrew University of Jerusalem in 1988 and worked in the Research Department of the Bank of Israel between 1987 and 1989. He received an AM, in 1992 and PhD in 1996 in Economics from the University of Chicago and has taught at the University of Houston and the University of Haifa before joining City in 2007 where he served as Head of Department from 2010 to 2013.

Michael's main research interests are in fiscal policy, including public debt and the optimal tax on capital income, and the macroeconomic impact of immigration.

Between 2014 to 2016, he served on the US National Academy of Sciences panel on the Economic and Fiscal Consequences of Immigration.

He has published work in Economic Inquiry, Journal of Economic Dynamics and Control, Journal of Economic Theory, Journal of Macroeconomics, Review of Economic Dynamics and Economic Journal.

Fellow, Royal Society of Arts since 2017 and member, ESRC Grant Assessment Panel C since 2021.

Vasco Gabriel

Vasco Gabriel joined the Department of Economics at the University of Victoria, Canada in 2021 as Professor and Department Chair.

He graduated in Economics from ISEG, Lisbon School of Economics and Management, University of Lisbon in 1995, where he was awarded the ICEP prize. He received a masters degree in Applied Maths (Econometrics) in 1998 from the same institution and in 2002 completed a PhD in Economics at Birkbeck College, University of London.

He taught at the University of Minho, Portugal, before joining the University of Surrey in 2004, where he has been Head of School, Director of Learning and Teaching, Director of Postgraduate Studies at Surrey, and co-founded CIMS, the Centre for International Macroeconomic Studies.

Vasco's main field of specialization is Macro-econometrics, focusing on the application of non-linear methods, as well as general inference issues in macro models.

He has published extensively in these areas including publications in Economic Letters, the Journal of Macroeconomics, the Journal of Money, Credit and Banking and the Oxford Handbook of the Indian Economy.

Paul Levine

Paul Levine is a Professor in the School of Economics at the University of Surrey. He received a first-class BSc and a PhD, both in Mathematics, from the University of Manchester and an MSc in economics (distinction) at Queen Mary, London.

In 1984 he became a senior research officer at the Centre for Economic Forecasting, London Business School and was appointed Professor of Economics at the University of Leicester in 1989. In 1994 he moved to the University of Surrey.

He has acted as a consultant and/or visiting researcher at the IMF, the ECB, the central banks of Peru and Nigeria, and the World Bank.

His main research activity is in constructing empirically-based DSGE and behavioural macroeconomic models for the purpose of macroeconomic policy analysis. More recently he has worked on integrating epidemiology and macroeconomic models.

He has published over 100 refereed articles or chapters and two books. Refereed articles include publications in the Journal of Economic Theory, The Economic Journal, The European Economic Review and the Journal of Monetary Economics.

He is ranked by IDEAS-REPEC in the top 5% in 37/39 categories, including average rank for which he is in the top 2% of the world's publishing economists.

Maryam Mirfatah

Maryam Mirfatah is a Lecturer in the Department of Political Economy at Kings College London.

Until September 2021 she was a postdoctoral Research Fellow in Economics at the School of Economics, University of Surrey working on the project of "Macroeconomic Modelling and Policy Analysis for Emerging Economies".

Her general research interests are in open economy macroeconomics and economic modelling using structural and empirical DSGE macroeconomic multi-country models for the purpose of macroeconomic policy.

Joe Pearlman

Joe Pearlman (MA MSc PhD) is a Professor of Economics at City, University of London. He obtained his PhD in Control Systems from Imperial College, and subsequently obtained an MSc in economics from LSE. He has spent short periods as a research associate at both the European Central Bank and the International Monetary Fund.

Professor Pearlman's research relates mainly to monetary policy, expectational learning and macroprudential policy. He has recently focused on the role of information in heterogeneous agent models. In the past, he has researched into trade, growth and migration.

Three of his recent PhD graduates are at the IMF, and others are at the Bank of England, Bank of Italy and in the research department of Barclays Capital.

Course Contents

Taken over the three days the participants will be guided through a coherent modelling methodology summarized by the following steps:

  1. The Construction of a small open economy New Keynesian (SOE NK) DSGE model with emerging economy features
  2. The SOE NK model will build in stages from a closed economy real business cycle (RBC) model, to a closed economy NK model, to the SOE NK model
  3. The dynare model set-ups consisting of first-order conditions for economic agents, in the form of non-linear difference equations, market equilibria and exogenous shock processes.i
  4. The solution of the steady state to be used for both solution and calibration
  5. Bayesian estimation methodology
  6. The Bayesian estimation of the small open economy model using data from an emerging economy.
  7. Model validation by comparison with the second moments of data
  8. Monetary, fiscal and foreign exchange intervention policy.

Programme

  • Day One
  • Day Two
  • Day Three

Day One

  • Introduction to the Course
  • Dynare Basics
  • Closed Economy RBC Model
  • Closed Economy NK Model
  • SOE NK Model
  • Calibration
  • Exercises

Day Two

  • Adding Emerging Economy Features to the SOE NK Model
    • Limited Asset Market Participation in a Two-Agent NK (TANK) Model
    • Informal-Formal Sectors
    • Commodity Exporting Sector
    • High and volatile Inflation
  • Bayesian Estimation
    • Bayesian Methodology
    • Identification
    • Calibration and Estimation of the SOE with Emerging Economy Features
    • Variance and Historical Decomposition
  • Exercises

Day Three

  • Model Comparison and Validation
    • Model Comparisons by Likelihood Races
    • Comparison of Second Moments of Model with Data
  • Policy
    • Monetary Interest Rate Rules
    • Foreign Exchange Intervention
    • Fiscal Policy
  • Exercises

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