Contents

Course Description
Course Programme
Request an Enrolment Form Now
Terms and Conditions
About EViews
About OxMetrics
About RATS

Timberlake Consultants Ltd invite you to attend a two-day course in Central London, on Modelling and Forecasting Exchange Rates. Although the course is built around EViews, other modern econometrics packages, including OxMetrics (modules used will be PcGive™ and STAMP) and RATS™, might be used to demonstrate the use of the techniques under discussion.

The Course Several major advances in time series, forecasting and software engineering have occurred in the past few years. These advances provide a major breakthrough in the modelling of time series using easy-to-use object-oriented Windows based software. The course aims to provide delegates with background on the state-of-the-art methodology available to model and forecast exchange rates and demonstrate, using real-life business and industrial data, how to interpret and report the results.

Who is the course for?

People who have some knowledge of exchange rate economics and econometrics and have an interest in econometric modelling and in forecasting applied to nominal and real exchange rates.  This two-day course is designed to increase delegates’ familiarity with traditional and some of the most recent developments in econometric modelling and forecasting methods applied to exchange rates.  The course will focus on econometric techniques that will be shown to be particularly useful in the context of exchange rates, including estimation of complex systems of equations and nonlinear exchange rate models and covering both the theory and practice related to these models.  Real-world and worked examples will be provided to delegates using several modern econometric packages, including EViews, STAMP and RATS.

The Principal Lecturer - The principal lecturer is:

Professor Sarno is internationally renowned in the area of international finance and has an impressive list of research publications in leading journals in economics and finance.  He is also the author of The Economics of Exchange Rates (Cambridge University Press, 2003), joint with Mark Taylor (Barclays Global Investors).  Lucio has previously held teaching and research positions in various institutions, including the University of Warwick , University of Oxford , and Columbia University .  He has also been involved in research and consulting projects for the International Monetary Fund, the European Central Bank, the World Bank, the European Commission, and the US Federal Reserve, and a number of banks and asset management companies in Wall Street and the City.  In 2007-08 Lucio was Director of Currency Research at AXA Investment Managers.   Since 2005, we is in the ISI Essential Science Indicators (selection of the top 1% of the economics and finance profession on the basis of total citations on a 10-year rolling period).

Cost - The course fees are

• Welcome and introduction to econometric modelling;
• Review of basic econometric ideas: simple univariate modelling; cointegration; equilibrium correction models; vector autoregressions;
• Structural time series modelling;
• Kalman filtering using STAMP;
• The behaviour of the real exchange rate;
• Nonlinear dynamics in real exchange rates;
• Real exchange rate determination in emerging markets (the J.P. Morgan approach);
• Practical Sessions:
  (i)  A formal regression analysis of the carry trade
  (ii) Cointegration analysis: nominal exchange rates and relative prices; the purchasing power parity hypothesis;
  (iii) A structural time series model of the nominal exchange rate;
  (iv) A nonlinear model of the real exchange rate.

Day 2

• Fundamentals (fair values) models of nominal exchange rate determination;
• Nonlinear dynamics in a conventional exchange rate determination model;
• Time-varying volatility modelling;
• Review including a survey of current applications;
• Forecasting exchange rates using the term structure of forward premiums and error correction models;
• Practical Sessions:
  (i)  A nonlinear model of nominal exchange rate determination;
  (ii)  GARCH/ARCH models of nominal exchange rates;
  (iii)  A vector error correction, term-structure forecasting model of the exchange rate;
  (iv)  Markov switching models (if time allows).