Macro-prudential Policy: a Quantitative Approach
Registration deadline: 2 September 2019
This course studies macroprudential policy in quantitative dynamic general equilibrium models with collateral constraints, covering theoretical foundations, optimal policy design and evaluation, and implementation hurdles.
The arguments and findings reviewed in the course suggest that macroprudential policy holds the promise of becoming a powerful tool for reducing the severity and frequency of financial crises and increasing social welfare.
They also suggest, however, that macroprudential policy faces serious implementation challenges that can undermine its effectiveness significantly, and that careful evaluation of candidate policies with adequate quantitative tools is critical for overcoming these challenges.
- A primer on financial markets modeling in open economy models and fundamentals of macro models of financial crises
- Stylized facts of credit booms and Sudden Stops
- Collateral constraints and the case for Macroprudential policy
- Quantifying the effectiveness of optimal v. simple financial policy rules in Sudden Stop models
- Time-inconsistency in the conduct of macropudential policy
- The interaction between monetary and financial policies (Tinbergen’s rule and the need for coordination)
What you will learn
After having completed this course, you will be able to:
- understand quantitative macro models of financial crises (positive & normative aspects)
- solve macro models with occasionally binding constraints
- solve models for the optimal design of macroprudential policies
- implement quantitative assessments of macroprudential policies
- grasp key tradeoffs in the design of macroprudential policy, including interaction with monetary policy, lack of credibility, consequences of overregulation
How the course will work
Total course length: 15 hours.
A certificate of attendance will be provided to all participants after the course.
The course will consist of 8 lectures and two lab-sessions, guided by a teaching assistant under the supervision of the instructor.
Meet the instructor
Enrique G. Mendoza is Presidential Professor of Economics and Director of the Penn Institute for Economic Research at the University of Pennsylvania, where he joined in 2013. Before that, he was Neil Moskowitz Professor of Economics at the University of Maryland, and held positions at the International Monetary Fund, the Board of Governors of the Federal Reserve System and Duke University. In 2017, he was awarded the ECB’s Wim Duisenberg fellowship.
He is a 1989 PhD from the University of Western Ontario, a Research Associate of the NBER, and member of the BIS Advisory Panel and of the Latin American Shadow Financial Regulatory Committee. He has served as panel member of the NSF Economics program and in the editorial boards of several journals, including the American Economic Review.
His research focuses on international capital flows, financial crises, sovereign debt and international business cycles. His main publications include: “Optimal, Time-Consistent Macroprudential Policy,” with J. Bianchi, Journal of Political Economy, 2018, “A General Equilibrium Model of Sovereign Default and Business Cycles” with V. Yue, Quarterly Journal of Economics, 2012, “Sudden Stops, Financial Crises & Leverage,” American Economic Review, 2010, “Financial Integration, Financial Development and Global Imbalances,” with V. Quadrini and J. V. Rios-Rull, Journal of Political Economy, 2009, and “Real Business Cycles in a Small Open Economy,” American Economic Review, 1991.
MA (or above) degree in Economics, or BA with advanced macro coursework. Proficiency in mathematics, statistics and macro-modelling are required to follow this course.
Technical equipment required
1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks and European Institutions).
1900€ – Private Sector.
950€ – Academics (Full-time Professors, full-time PhD Students and full-time Research Associates). Please submit a certificate attesting your status of Professor, PhD Student or Research Associate to email@example.com before registering. FBF secretariat will provide you with a code to register.
The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.
Please note that the payment must be settled two weeks before the start of the course.
EARLY BIRD DISCOUNT
Participants who register and settle the payment before 30 July 2019 will benefit from a 10% reduction of the course fees.
The early bird discount cannot be combined with group deals.
GROUP DEALS FOR PUBLIC AUTHORITIES AND PRIVATE SECTORIn case of registration of 3 participants from the same organisation, the course fees for each participant are the following:
- Private Sector: € 1270
- Public Authorities: € 1170
To benefit from the deal, the names of the 3 participants have to be communicated to firstname.lastname@example.org 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). FBF secretariat will provide the 3 participants with a code to use to register and benefit from the group deal.
Special deals apply for larger groups.
- 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 have not yet paid the registration fee can cancel their participation until one month before the start of the course.
- The registration fee is non-refundable, however it will be possible to transfer registration to another person or request a voucher for another FBF course up to 20 days before the start date of the course.
For more details, please contact email@example.com
Please notice that the course dinner, and most of the social activities, will take place downtown.
Recommended hotels nearby the EUI:
Recommended hotels in downtown Florence:
Suggested restaurants in Florence city centre
- Restaurant Accademia – Ph. +39 055 217343
- Restaurant Cucina Torcicoda – Ph. +39 055 265 4329
- Finisterrae – Ph. +39 0552638675
- Il Vezzo – Ph. +39 055 281096
- Osteria di Giovanni – Ph. + 39 055 284897
On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.
General information on local transport
From Florence airport:
Florence airport is located 8 km from the city centre, approximately 30 minutes by taxi or bus. Taxis can be found outside the arrivals terminal; no reservation is needed. A taxi ride from the airport costs about €20 and takes approximately 25/30 minutes.
A tramway (line T2) connects the airport to the city centre. Trains leave from the airport terminal and take 20 minutes to the main railway station. One-way tickets can be bought from vending machines for €1.50.
The airport is also connected to the main railway station in Florence by a shuttle bus (‘Vola in bus’) that leaves every 30 minutes (on the hour and on the half-hour) and takes 25 minutes. Tickets are available on board for €6.00.
From the central railway station:
Bus tickets are sold outside the railway station, at ATAF ticket kiosks and vending machines, tobacconists (tabacchi), newspaper kiosks (edicole), and most cafes (bar). They must be bought before boarding and stamped using the machine on the bus. A ticket costs €1.50 and it is valid for 90 minutes. Bus tickets can be purchased also on board (€ 2.50), but the driver is not obliged to give change.
From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the city centre/Stadio. Follow the directions to the stadium (Stadio), then for Fiesole. San Domenico is on the main road to Fiesole.
The EUI has several free parking areas available all over the Campus.
Readings marked with an asterisk * are mandatory.
- Ljungqvist, L. & Sargent, T. J. (2012), Recursive Macroeconomic Theory, 3rd edition, chapters 17 & 18.
- Mendoza, E.G., (2016), “Macroprudential Policy: Promise and Challenges,” PIER Working Paper No. 16-020
- Bianchi, J. , E. Boz and E.G. Mendoza, (2012), “Macroprudential Policy in a Fisherian Model of Financial Innovation,” IMF Economic Review
- * Bianchi, J. and E.G. Mendoza, (2018), “Optimal, Time-Consistent Macroprudential Policy,” Journal of Political Economy.
- * Bianchi, J., C. Liu and E.G.Mendoza, (2016), “Fundamentals News, Global Liquidity and Macroprudential Policy,” Journal of Int. Economics
- Boz. E. and E.G. Mendoza, (2014), “Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis,” Journal of Monetary Economics
- * Carrillo, J.A., E.G. Mendoza, V. Nuguer, and J. Roldan, “Tight Money-Tight Credit: Coordination Failure in the Conduct of Monetary and Financial Policies”, NBER Working Paper No. 23151
- * Mendoza E.G., (2010) “Sudden Stops, Financial Crises and Leverage,” American Economic Review