• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
  • Alumni
  • Times
Home | Events | Tinbergen Institute Lectures | TI Econometrics Lectures 2023

TI Econometrics Lectures 2023

The Tinbergen Institute Lectures are an annual series of advanced PhD-level courses. Qualified internal and external research master and PhD students are explicitly invited to participate. The Econometrics Lectures are organized jointly with the Econometric Institute and the Princeton University Press.

Sydney C. Ludvigson, Julius Silver, Roslyn S. Silver, and Enid Silver Winslow Professor of Economics at New York University, and a Co-Director of the National Bureau of Economic Research Asset Pricing Program, will teach the Tinbergen Institute Econometrics Lecture 2023


Announcements and Markets: A Mixed Frequency Structural Estimation

The lectures introduce the audience to a "mixed-frequency structural approach" for measuring market reaction to news. It allows for the integration of a high-frequency event study into a mixed-frequency structural model where agents are faced with genuine news shocks. The empirical strategy also proposes an innovative way of modeling expectations in the presence of structural breaks (rather than recurrent regime switching). In the lectures, Professor Ludvigson will apply the mixed-frequency structural approach to central bank news. Yet, applications can address the reasons for jumps in markets or other types of returns and indices around any kind of news.

Sydney C. Ludvigson is Julius Silver, Roslyn S. Silver, and Enid Silver Winslow Professor of Economics at New York University, and a Co-Director of the National Bureau of Economic Research Asset Pricing Program. Her research centers on the interplay between asset markets and macroeconomic activity, with applications to role of monetary policy in stock market fluctuations, the measurement and analysis of systematic and demonstrable errors in macroeconomic expectations by both professional forecasters households, the use of machine learning and AI algorithms to measure errors in human judgement, the pricing and risk premia of stock, bond, and housing markets, the role of heterogeneity and wealth inequality in housing and stock market valuations, and the dynamic causal effects of uncertainty for business cycle fluctuations. 

Dates: May 15-16.
May 17: workshop organized by the Econometric Institute. Keynote speaker is Professor Sydney C. Ludvigson. Registration for the workshop is separate.

Registration:
Internal (TI/BDS) research master students register in Osiris student.
External research master students register here (free of charge).
Affiliated PhD students register here (free of charge).
External PhD students register here (free of charge).
External academics register here (fee is 100€).
Externals/professionals register here (fee is 750€).

Deadline for registration is May 5. 

Venue: On campus at Erasmus University Rotterdam. 

Schedule
Monday May 15: Lectures 9:30-12:00 and 14:00-16:30
TuesdayMay 16: Lectures 9:30-12:00 and 14:00-16:30
Wednesday May 17 Workshop Econometric Institute (registration is separate)

During lecture days, lunch from 12:00-14:00 and dinner buffet for participants are included.