Workshop on Bayesian VAR e DSGE

Insper Instituto de Ensino e Pesquisa

Studying and modeling highly complex systems has been in the agenda of the applied macro-economist and macro-econometrician at least since the Cowles Commission for Research in Economics, founded back in the 1930s. In the late 1970s and early 1980s, vector autoregressions became quite popular and a somewhat easy-to-use set of macroeconomic tools. More recently these models have been extended to accommodate more formal macroeconomic theory via dynamic stochastic general equilibrium hypothesis/theory.

In this workshop we brought together a handful of authorities in the field, led by Marco Del Negro from the Federal Reserve Bank of New York, to discuss the advances of these modeling strategies and their interplay with the Bayesian paradigm in large scale, high dimensional and highly structure stochastic systems.

Watch the full video at the link below:



Data: 13/11/2017

Horário: a partir das 9h

Local: sala 407, 4 andar – Insper

Rua Quatá, 300, Vila Olímpia – São Paulo / SP

Estacionamento Rua Uberabinha, s/n


9h – Opening

9h10 – Bayesian VAR & DSGE: MCMC, SMC and high-dimensional problems

  • Hedibert Lopes, Insper

10h – Coffee break

10h30 – Persistent Monetary Non-neutrality in a Estimated Model with Menu Costs and Partially Costly Information

  • Marco Bonomo, Insper

11h20 – Forecasting US Inflation: The benefits of machine learning techniques in data-rich environments

  • Marcelo Medeiros, PUC/RJ

12h10 – Lunch break

14h10 – Monetary Policy Volatility Shocks in Emerging Economies

  • Angelo Fasolo, Banco Central/Brasília

15h – Safety, liquidity, and the natural rate of interest

  • Marco Del Negro, Federal Reserve Bank of New York




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