EFCB - Empirical finance for central banks
Empirical analysis of financial markets and the information contained therein is crucial for central banks. This analysis needs to take account of the latest developments in financial economics. For example, recent advances in techniques used to extract information from the prices of financial instruments enable economists to infer market views of the expected path of policy variables and the expected probability distributions around those paths. This two-week event will provide a rigorous overview of the foundations of empirical finance and its applications in central banks. The following topics are likely to be covered: • asset pricing theory and empirics; • financial market volatility, market efficiency and behavioural finance; • construction and analysis of yield curves and other term structures; • the role of financial instruments in the transmission mechanism of monetary policy; • the use of option prices to infer probability density functions of expectations of the underlying asset’s future price; • value-at-risk models, extreme value theory and copula methods; and • introduction to continuous-time finance. Computer-based exercises will be used to illustrate applied financial econometric and empirical finance techniques. [gemäß den Informationen des Anbieters - according to site editor's information] The website is no longer available.
|Event dates:||2010-11-15 – 2010-11-26|
|Organizer:||Bank of England, Centre for Central Banking Studies|
Garreth Rule and Ole Rummel
|Classification:||E5 - Monetary Policy, Central Banking and the Supply of Money and Credit ; G1 - General Financial Markets|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|