Research and Macroeconomic Management Programme

MMP 01-R: Regional Course on Introduction to Econometric Software For Policy Analysis

Date: March 9 - 20, 2020
Duration: 10 Days
Venue: Lagos, Nigeria

Introduction

Econometric analysis transform theoretical economic models into useful tools for economic policymaking. At the same time economic policy decisions are rarely made without the aid of econometric analysis to assess their impacts. Linear multiple regression models as workhorse of econometric analysis provide some formal approach to estimating parameters for measuring the impact and direction of policy impulses (shocks to the economy or deliberate policy actions) on economic phenomenon after controlling for other relevant constraints. These econometric models are typically estimated with specialized software programs. Varied software programs have been developed, which have proved useful in undertaking econometric model estimations and analysis.

Objective of the Course

The course is structured to expose participants to the rudiments of some econometric software packages including EXCEL, Eviews, Stata and SPSS. At the end of the course, participants should be able to conduct basic statistical and econometric analyses and forecasting using these software packages. They should be able to, among others, derive multiple regression parameter estimates and perform statistical inference on regression parameters. Participants would also understand basic research methods and use of econometric software (EXCEL, Eviews, Stata, SPSS) for basic data analysis and forecasting.

Main Themes

The main themes of the course include: An overview of the application of Econometric software for Policy Analysis; EXCEL: Basic Operations, Data Storage and Interpretation, Creating Formulas, Sorting, Grouping and Filtering, Statistical functions, Importing External data and their applications; EVIEWS: Introduction to EVIEWS, Basic Commands, Data input and simple Data Analysis, Time series Data Analysis and their applications; STATA: Introduction to Stata, Basic Operations, Regression Analysis, Panel Data Analysis and their applications and SPSS: Introduction to SPSS, Basic Operations, Data Analysis, Regression Analysis and their applications.

Who May Attend

The course is targeted at senior economists and middle/executive level officers of Central Banks, Ministries of Finance and Economic Planning, and relevant public sector agencies who use the various econometric software and modelling tools and techniques for analysis of data, formulation and implementation of macroeconomic policy decisions. No prior knowledge of econometrics is required, even though this might be helpful.

MMP 02 – R: Regional Course on Monetary Policy Frameworks and Analytical Tools for Monetary Policy

Date: April 27 - May 1, 2020
Duration: 5 Days
Venue: Monrovia, Liberia

Introduction

The conduct of monetary policy is largely based on country-specific monetary framework. In certain instances, there may be inconsistences in these frameworks which may pose serious threat to the success of monetary policy. This calls for the implementation of a consistent monetary policy framework anchored on sound understanding and application of its core tenets. In addition, the process of taking monetary policy decisions involves a thorough assessment of the various facets of the economy. This policy making process is aided by the presence of a variety of analytical tools. The products of this process offer the critical inputs needed to inform policy decisions.

Objective of the Course

This 5-day course aims to provide an introduction to monetary policy frameworks and an overview of different analytical tools used by central bankers in the process of monetary policy decision making. At the end of course, participants should have an overview of the key aspects of monetary policy frameworks and a broad understanding of major issues related to them. For this purpose the course will focus on reviewing the fundamental theoretical background as well as the strategic and operational matters of monetary policy. In addition, the course will provide an overview of different analytical tools used by central banks in the process of monetary policy decision making. Specifically, the course will highlight on analytical approaches to monitor and assess developments in the money market, money and credit, capital markets and the monetary transmission process.

Main Themes

- Review of theoretical basics of monetary policy (including transmission mechanism)
- Key building blocks of monetary policy frameworks (strategic vs operational framework)
- Consistency and conflict of interests
- Key elements of strategic frameworks (monetary policy objectives, intermediate targets, nominal anchors)
- Key elements of operational frameworks (operational targets and monetary policy instruments) and
- Money market analysis, monetary analysis, capital markets analysis and monetary transmission analysis.

Who may attend

The content level of the course is targeted at junior and mid-level central bankers with little to no knowledge and work experience in the area of monetary policy who are interested in gaining some general overview of monetary policy frameworks and basic understanding of their key elements and related issues. The course is also designed for staff that are relatively new in the area of monetary policy analysis. It may equally be of benefit to staff working in other areas in the central bank such as communication, financial stability, banking supervision, payment systems and statistics departments.

MMP 03-R: Regional Course on Modeling and Forecasting for Policy Analysis for Senior Economists and Other Professionals (DSGE Model)

Date: June 8 - 19, 2020
Duration: 10 Days
Venue: Lagos, Nigeria

Introduction

Modeling and forecasting have for a long time served in structuring policy and providing the framework for assessing alternative courses of action. Economic models support the judgement capability of policy makers in several ways including easing the understanding of the workings of an economy and enhancing forecasting. Moreover, they constitute frameworks for empirical quantification.

Objectives of the course

The course is designed to upgrade the analytical skills of economists with operational responsibility for preparing policy papers, statistical data, forecasts and other inputs into the policy making process through intensive training in techniques for developing macroeconomic and demand for money models. In particular, the course will be beneficial for staff with operational responsibility for preparing policy papers, compiling analytical data, generating forecasts and providing other analytical inputs into the policy making process. The main objective of the course is to upgrade participants’ skills in the following:

  • • Techniques of developing macroeconomic models
  • • Data manipulation
  • • Techniques and procedures for monitoring periodically, the movement of key economic variables and methods for tracking their effects on macroeconomic aggregates
  • • Simulating the effects of external and internal shocks and policy changes and
  • • Forecasting models for macroeconomic policy formulation for monetary management.
Main Themes

The main themes to be covered are as follows:

i) Basic Econometrics; General-to-specific modeling, applications and examples, generalized methods of moments, case study of model building with the classical linear regression model etc.
ii) Univariate Time Series Modeling and Forecasting; Standard models of stochastic processes, ARMA processes and building ARMA models, case studies in estimation of ARMA models for forecasting inflation etc.
iii) Multivariate Models – Simultaneous equation models; vector autoregressive (VAR) models; Structural VAR models; and Bayesian VAR models.
iv) Unit Root and co-integration in Modeling Long-Run Relationships; equilibrium correction, seasonality tests, structural breaks and tests; case study estimation of money demand functions, currency forecasting, exchange rate forecasting, etc.
v) Modelling and Forecasting Volatility I; Non-linearity in financial time series; ARCH models; GARCH models; GARCH-M, E-GARCH and T-GARCH formulations; volatility forecasting using GARCH-type models
vi) Modelling and Forecasting Volatility II; Approaches to forecasting, simple and naïve methods, model-based forecasting, macroeconomic model building, numerical analysis and forecasting, numerical simulations, Fan Chart projections, case study in modeling and forecasting volatility etc.
vii) Cross-Section and Survey Methodology; How to conduct surveys, analysis of survey data; binary choice models, multinomial choice models, sample selection and truncated models
viii) Panel Data Econometrics; basic panel data analysis, one-way error components models, two-way error components models, Dynamic panel models etc.
ix) Other forecasting models for macroeconomic policy formulation; State-Space models and the Kalman Filter; Fan Charts for Forecasting Inflation and GDP, etc.
x) General Equilibrium Models for Monetary Policy Analysis; methodology and evaluation of DSGE models, etc.
Who May Attend

The course is intended for middle/senior/executive level officials of central banks, ministries of finance and economic planning, and other relevant agencies whose responsibilities include policy analysis and advise on economic management. Candidates should have at least some experience in econometrics with a minimum background in economics. Participants would be required to bring along with them, their country macroeconomic data as well as laptops for the course.