TI Econometrics Lectures 2023 | Announcements and Markets: A Mixed Frequency Structural Estimation
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Carine Horbach (Manager Educational Program)
The Tinbergen Institute Lectures are an annual series of advanced PhD-level courses. Qualified internal and external research master and PhD students are explicitly invited to participate. The Econometrics Lectures are organized jointly with the Econometric Institute and the Princeton University Press.
Sydney C. Ludvigson, Julius Silver, Roslyn S. Silver, and Enid Silver Winslow Professor of Economics at New York University, and a Co-Director of the National Bureau of Economic Research Asset Pricing Program, will teach the Tinbergen Institute Econometrics Lecture 2023.
Dates: May 15-16, 2023.
May 17, 2023: Workshop organized by the Econometric Institute. Keynote speaker is Professor Sydney C. Ludvigson. Registration for the workshop is separate.
Deadline for registration: May 5, 2023.
The lectures introduce the audience to a "mixed-frequency structural approach" for measuring market reaction to news. It allows for the integration of a high-frequency event study into a mixed-frequency structural model where agents are faced with genuine news shocks. The empirical strategy also proposes an innovative way of modeling expectations in the presence of structural breaks (rather than recurrent regime switching). In the lectures, Professor Ludvigson will apply the mixed-frequency structural approach to central bank news. Yet, applications can address the reasons for jumps in markets or other types of returns and indices around any kind of news.
Sydney C. Ludvigson is Julius Silver, Roslyn S. Silver, and Enid Silver Winslow Professor of Economics at New York University, and a Co-Director of the National Bureau of Economic Research Asset Pricing Program. Her research centers on the interplay between asset markets and macroeconomic activity, with applications to role of monetary policy in stock market fluctuations, the measurement and analysis of systematic and demonstrable errors in macroeconomic expectations by both professional forecasters households, the use of machine learning and AI algorithms to measure errors in human judgement, the pricing and risk premia of stock, bond, and housing markets, the role of heterogeneity and wealth inequality in housing and stock market valuations, and the dynamic causal effects of uncertainty for business cycle fluctuations.
Registration and schedule
More information on registration and the schedule can be found on our web page. Participation is free of charge for research master students, PhD students and affiliated faculty.
About Tinbergen Institute
Tinbergen Institute (TI) is the graduate school and research institute operated jointly by the Schools of Economics and Econometrics of Erasmus University Rotterdam (EUR), University of Amsterdam (UvA) and Vrije Universiteit Amsterdam (VU).
Tinbergen Institute offers a selective research master program in economics, econometrics and finance, connected to PhD opportunities. The best researchers from the three schools jointly operating Tinbergen Institute are appointed as TI research fellows. TI fellows organize and govern the graduate program, teach the courses and organize and participate in the instituteβs research seminars and conferences. All TI fellows are, moreover, available as (PhD) thesis advisors. More information about TI can be found on our website.
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