Contents

Course description
Course Programme
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Terms and Conditions
About EViews
About Stamp
About RATS

Creactive Snc, our agent in Italy, 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 two-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, Reader in Financial Economics, Warwick Business School, Warwick University; Research Affiliate, Centre for Economic Policy Research, London.

Dr Sarno has previously held teaching and research positions at the University of Oxford, Columbia University, Brunel University, and the University of Liverpool. He has also been involved in research and consulting projects for the World Bank, the European Commission, and the Federal Reserve Bank of St. Louis. He is the author of a number articles in leading journals including the Journal of Economic Literature; International Economic Review; Economica; Journal of International Economics; Journal of Development Economics; Journal of International Money and Finance; Journal of Futures Markets; World Bank Economic Review; and many others. He is the Co-editor of Applied Financial Economics, and also the Director of a research project on “Policy Uncertainty, Risk and Growth”, commissioned by the UK Economic and Social Research Council.

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;