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Economic Forecasting for Banking

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  • General description

    Forecasting is a key ingredient of decision making both in the public and in the private sector. It is particularly important in the context of banking, both for their management and for their supervision. Banks’ assets and liabilities are influenced by a number of factors, such as general economic and financial conditions, interest rates, and the prices of financial assets. As these variables are the result of a vast, complex, dynamic and stochastic system, forecasting them is very difficult and forecast errors are unavoidable. Yet, forecast errors can be reduced and forecast precision enhanced by using proper econometric models and methods. This course provides a primer on econometric methods for forecasting economic and financial variables relevant in a banking context, and it also discusses some more advanced topics related to forecast construction and evaluation.

  • Topics covered

    • The main macroeconomic drivers of banking performance
    • Modelling economic variables using linear regression models
    • Using linear regression models for point, interval and density forecasting
    • Forecasting in time of crisis: how to detect and handle parameter instability
    • Forecasting in an evolving context: introducing dynamics in the linear models
    • Forecast evaluation, comparison and combination

  • What you will learn

    • Empirical specification, estimation and evaluation of regression models for macroeconomic and financial variables relevant in a banking context
    • Construction of point, interval and density forecasts
    • Interpretation of the results of a forecasting exercise
    • Evaluation and comparison of a set of alternative forecasts
  • How the course will work

    Total course length: 15 hours.

    The course will be organised in theoretical sessions illustrating the econometric methods and practical sessions with applications based both on simulated and actual economic and financial variables, possibly also provided by the course participants, using the software EViews (see the Prerequisites tab).

    A certificate of attendance will be provided to all participants after the course.

  • Meet the instructor

    Massimiliano Marcellino is professor of Econometrics in the Economics Department of Bocconi University, fellow of CEPR and IGIER, Scientific Advisor at the Florence School of Banking and Finance and Part-time Professor at the EUI, where previously he held the Pierre Werner Chair on the Economic and Monetary Union and was also Director of the Department of Economics. He has published over ninety academic articles in leading international journals on forecasting, econometrics, and empirical macroeconomics, his main areas of research and teaching. He has worked as a consultant for a number of central banks and international organizations, including the European Central Bank, Bundesbank, Bank of Italy, Swiss National Bank, Eurostat, European Commission, International Monetary Fund and Inter American Development Bank. He is currently an editor of the Journal of Forecasting and the coordinator of the European Forecasting Network.

  • Prerequisites

    A BA/MA in Economics, Finance or related areas is required to follow the course. Textbook knowledge of statistics, econometrics and macroeconomics is recommended.

    Technical prerequisites

    Participants are required to bring their own laptops with the EViews software installed.
    To obtain EViews, prospective participants are required to activate a 30-day trial of EViews before attending the course. In case this would not be possible, please contact the FBF Secretariat for further support.

  • Fees

    1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions

    1900€ – Private Sector

    1000€ – Academics (Assistant, Associate or Full Professors)

    850€ – Students (with certificate of studies)

    The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.


    GROUP DEALS

    IMPORTANT: the Early bird discount does not apply to group deals.
    • In case of registration of 3 participants from the same organisation, the course fee is waived for one of them.
      To benefit from the deal, the names of the 3 participants have to be communicated to fbf@eui.eu before registering. We cannot communicate the names of other registered people from the same institution (it is upon your responsibility to get in touch with your HR division). A single debit note will be issued for the 3 participants followed by one payment.
    • Special deals apply for larger groups.

    CANCELLATION POLICY

    • In case a course is cancelled, registered participants will receive the full refund.
    • In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
    • Registered participants who cancel their participation will receive a voucher to attend another FBF course.

    For more details, please contact fbf@eui.eu
  • Practical information

    Accommodation 

    Recommended hotels:
    Hotel Villa La Stella (20 min walking distance from EUI )
    Hotel Cellai
    Hotel Palazzo Ricasoli
    Hotel de la Pace
    Hotel Athenaeum

    Wi-Fi

    On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.

    Privacy Notice

    The personal information you have provided will be processed in compliance with the EUI Privacy Statement for conferences.
    For general queries: fbf@eui.eu

  • Course material

    Registered participants can access the course material using the password provided by the FBF secretariat.