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Training on Econometric methods for the analysis of banking data

Econometric methods for the analysis of banking data

This course provides tools to analyse the properties of disaggregated banking data, their cyclical characteristics and to test hypotheses regarding the behaviour of banks in the funding and lending markets. It studies situations where bank heterogeneities are constant and when heterogeneities evolve over time and when they affect both the level and the dynamics of their lending activities. It also provides some explanations for some empirical puzzles found in the literature.

 

  • Why this course

    Available methods have been drawn from the microeconomic literature where a large cross section and a small time series are typically available. Banking data typically have a limited number of cross-sectional units of medium term length. Thus, standard asymptotic results do not apply. In addition, while standard methods can deal with level or variance heterogeneities, they have difficulties to deal with slope heterogeneities which are very relevant to study pass-through and risk features. To properly analyse panels of banking data, alternative techniques and ideas are needed. This course provides both.
  • How this course will work?

    The course will be self-contained and will cover, during the morning lectures, the theoretical aspects of the problem and in the afternoon sessions, the practical empirical and computational aspects. Afternoon sessions will be conducted using MATLAB. Participants are encouraged to bring their own portable with MATLAB installed. Exercises using programs provided by the instructor will be given during the afternoon session.

    The course will be supported by an online learning environment enhancing interaction of course participants and sharing of information, which will be open to course participants also after the course.

  • For whom this training is made

    Financial stability and research department of Central Banks, Ph. D. students, private sector economists working with bank data.
  • What you need to know already to follow this course

    Working knowledge of dynamic macro theory, of monetary policy issues, of basic econometric methods and sufficient computer language skills to be able to follow a description of a Matlab program. A manual for those not yet having worked with Matlab will be provided prior to the course.
  • What you’ll learn

    Static panel models of monetary policy transmission; Dynamic homogenous models of bank profitability; Dynamic heterogeneous panel models of pass-through; Partial pooling and endogenous grouping of data; Panel VAR models for the study of risk and contagion

    At the end of this course you will have:
    • have an understanding of the econometric methods needed to deal with panels of banking data
    • have acquired practical skills to be used in research and policy activities
    • have dealt with problems which are likely to be encountered in practical situations
    • have created a network of researchers working on similar topics and facing similar problems
  • Meet the instructor(s)

    Fabio Canova is the Head of Training Florence School of Banking and Finance, Professor of MacroEconometrics at BI Norvegian Business School; program director of the Budapest School of Central Bank Studies, Director of the International Association of Applied Econometrics; Member of the scientific committee of the Euro Area Business Cycle Network; permanent research visitor at the European Central Bank; Editor of the Journal of Applied Econometrics. He has given professional courses at two dozen Central Banks in Europe and around the world, as well as the EABCN, the Central Bank program in Genzersee, the IMF, and the EU commission.
  • Course fees

    1450 Euro for Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions*

    1950 Private Sector

    850 Euro PhD students (with certificate of studies)**


    * In case of registration of 2 participants from the same institution a third person may attend for free. For more details, please contact fbf@eui.eu
    ** Limited places are available, and applications will be allocated on a first-come first served basis. PhD students from the EUI will receive a 50% discount.

    NOTE: The course fee covers coffee and lunch breaks, shuttle from the city centre to the EUI premise and a social event. Travel and hotel costs are not included.