Research Workshop on "Numerical Methods in Macroeconomics"

October 22-23, 2024

Goethe University Frankfurt
Campus Westend (map)
Casino 1.801 / 1.802

This two half-day workshop will bring together researchers involved in the development and application of numerical methods in macroeconomics. Topics include solution methods, estimation methods, and machine learning applications for DSGE and other structural macroeconomic/-metric models, from linear representative agent to nonlinear and heterogeneous agent models, frequentist and Bayesian.


Program

(PDF)

Tuesday, October 22

12:45-13:00

Opening Remarks (Casino 1.801)

13:00-14:00

Parallel Session

Casino 1.801

Casino 1.802

Abeer Reza
Bank of Canada
Finite-Sample Identification-Robust Inference for Non-Linear DSGE Models (slides)

Gregor Boehl
University of Bonn
HANK on Speed: Robust Nonlinear Solutions using Automatic Differentiation (slides)

Yucheng Yang
University of Zurich and SFI
Deep Learning for Search and Matching Models (slides)

Chris Naubert
Bank of Canada
Differentiable, Filter Free Bayesian Estimation of DSGE Models Using Mixture Density Networks (slides)

14:00-14:15

Break

14:15-15:15

Plenary Session (Casino 1.801)

Harald Uhlig
University of Chicago
Solving Dynamic Heterogeneous Agent Models: Taking Stock (slides)

15:15-15:45

Break

15:45-16:45

Plenary Session (Casino 1.801)

Thorsten Drautzburg
Federal Reserve Bank of Philadelphia
Filtering with Limited Information (slides)

16:45-17:45

Plenary Session (Casino 1.801)

Kenneth Judd
Hoover Institution, Stanford University
Optimal Dynamic Stochastic Fiscal Policy with Endogenous Debt Limits (slides)

 

 

Wednesday, October 23

09:00-10:00

Plenary Session (Casino 1.801)

Michael Reiter, Institute for Advanced Studies, Vienna
State Reduction and Second-order Perturbations of Heterogeneous Agent Models (slides)

10:00-10:15

Break

10:15-11:15

Parallel Session

Casino 1.801

Casino 1.802

Douglas Araujo
Bank for International Settlements
Synthetic Controls With Machine Learning: Application on the Effect of Labour Deregulation on Worker Productivity in Brazil (slides)

Oskar Arnt Juul
Copenhagen Business School
Taylor Projection under Tail Risk (slides)

Alexandros Gilch
University of Bonn
“Small Data”: Efficient Inference with Occasionally Observed States (slides)

Hanno Kase
European Central Bank
Estimating Nonlinear Heterogeneous Agent Models with Neural Networks (slides)

11:15-11:30

Break

11:30-12:30

Plenary Session (Casino 1.801)

Alexander Meyer-Gohde
Goethe University Frankfurt
Numerical Stability Analysis of Linear DSGE Models: Backward Errors, Forward Errors and Condition Numbers (slides)

12:30-13:30

Plenary Session (Casino 1.801)

Marco Ratto
Joint Research Centre, European Commission
Efficient and Robust Inference of Models With Occasionally Binding Constraints (slides)

13:30-13:45

Closing Remarks (Casino 1.801)

Registration

There is no attendance fee. Attendance is possible without presenting a paper but registration is required. Limited partial stipends for Ph.D. students are available, please indicate whether you qualify and would like to be considered.

To register to attend by September 30, 2024 (or should you have any questions), please send an e-mail to num_meth_macro[at]imfs-frankfurt[dot]de. Please make sure to indicate your affiliation in your email.


Call for Papers