Contents

Course Description
Course Programme
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Terms and Conditions
About EViews
About Stamp
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 PcGive™, RATS™ and STAMP™, 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 should attend - 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. Our three-day course is designed to increase delegates’ familiarity with some of the most recent developments in econometric modelling and forecasting methods applied to exchange rates. The course will focus on state-of-the-art 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.

The Principal Lecturers - The principal lecturers are:

Mark P. Taylor, Professor of Economics and Finance, Warwick Business School, Warwick University; Research Fellow, Centre for Economic Policy Research, London.

Mark Taylor was a Senior Economist at the International Monetary Fund, Washington DC for five years and an Economist at the Bank of England, and began his career as a foreign exchange dealer in the City of London. He is the author of several books and over one hundred articles in leading journals including the Journal of Political Economy; Journal of International Economics; Review of Economics and Statistics; Journal of Money, Credit and Banking; Journal of International Money and Finance; European Economic Review; Economic Journal; Economica; and many others. He is also the Managing Editor of the International Journal of Finance and Economics and of Applied Financial Economics, and has recently been appointed as the Editor of the New Palgrave Dictionary of Economics and Finance. Professor Taylor has consulted for a number of organisations, including the International Monetary Fund, the World Bank and the Bank of England. In 1998 he was appointed for five years as the UK Economic and Social Research Council Macroeconomics Research Programme Director.

Lucio Sarno  MA (Oxford), MSc, PhD (Liverpool)
- Professor of Finance and Chairman, Finance Group, Warwick Business School
- Research Affiliate, Centre for Economic Policy Research (CEPR), London Professor Sarno has previously held teaching and research positions in several institutions, including the University of Oxford and Columbia University . 

Lucio has also been involved in research and consulting projects for a number of central banks and international organisations, including the International Monetary Fund, the World Bank, the European Commission, the Federal Reserve Bank of St. Louis, the Central Bank of Norway, the Italian Ministry of Economy and Finance.  He is the author of 4 books and approximately 50 articles in leading journals in economics and finance.  His primary fields of interest include international money and finance, empirical finance, monetary economics, financial econometrics, applied macroeconomics.  Further information is available on Professor Sarno’s biographical profile on the Marquis Who’s Who in the World and on his webpage at: http://www.warwick.ac.uk/~bssmv/LS/index.htm.

Cost - The course fees are

Day 1

• ·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) Cointegration Analysis: nominal exchange rates and relative prices; the purchasing power parity hypothesis
(ii) A structural time series model of the nominal exchange rate
(iii) A nonlinear model of the real exchange rate.

Day 2

• A conventional monetary model 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;