Advanced Econometric Modelling for Monetary Policy Analysis
Details
The main objective of this workshop is to apply advanced econometric modelling tools to enable policy analysis, test theories and do policy simulations.
In some time series data, especially financial data, the variance changes over time: sometimes the series exhibits high volatility, while at other times the volatility is low, so that the data exhibits clusters of volatility.
Traditional regression tools have shown their limitation in the modelling of financial time-series. Assuming that only the conditional mean could be changing with covariates while the variance remains constant over time often revealed to be an unrealistic assumption in practice. This course presents models for quantifying volatility clusters, also known as “conditional heteroskedasticity”
Also causal effects in models (such as monetary policy) tend not to be instantaneous but dynamic. It is now generally accepted to incorporate dynamic effects in monetary policy models as these effects takes time to attain. We will examine various approaches to model dynamic effects in econometrics models of monetary policy using Nigerian data.
Delegates will get hands-on modelling practice, estimation and diagnostic testing, simulate scenarios and utilize economic and business data to assess and analyse previous policies.
Course Outline- Review of a range of econometric modelling techniques
- ARCH & GARCH modeling and implications for policy decision making
- General to Specific modeling methodology
- Dynamic models
- Distinction between short-run and long-run estimates
- Dynamic modeling (DOLS) – Advanced application of Partial Adjustment Model, Autoregressive Distributed Lag Models (ARDL) and their application to policy modeling
- Discuss international case studies of application of econometric modelling to policy making and simulations
- Comparisons – results from different versions of the same model, implications of variations
Econometric Views (EViews version 8)
PrerequisiteBasic knowledge of economic theory and exposure to empirical economic analysis
Who Should Enrol?Delegates are expected from Government departments and Regulatory Agencies, Private and Public Companies, Central Banks, Commercial Banks, Mortgage Banks, Multinational donor agencies and other government departments and agencies.
Course StructureDelegates will attend this 1 week course between 09:00 and 17:00 daily
This course is available as a bespoke course, for group bookings please contact us.
Alexander Brookes offers highly specialised monitoring and evaluation courses, leadership and project management training, human resources training and many other courses to aid professional development.
Our training courses allow professionals to expand their abilities – from technical subjects like econometrics and finance to essential skills like leadership, business and management.
Bespoke, high quality and cost effective training for organisations in the private and public sectors as well as individuals keen to develop their skills and progress their career are our speciality.
Alexander Brookes is accredited by the British Accreditation Council to offer short courses (less than 6 months).
The small classes at Alexander Brookes allow all our delegates to benefit from individual assistance from our experienced trainers – our sessions contain many case studies as well as “hands on” practical exercises. Our clients are extremely pleased with the interactive style and most importantly commend our dedication to give each of them applicable skills that they can use immediately when they return to the office.
Some of the benefits of using Alexander Brookes are as follows:
- We use only expert course facilitators who are well remunerated ...
