Empirical finance for monetary policy - Centre for Central Banking Studies

Central banks rely increasingly on the empirical analysis of financial markets to analyse the state of the economy and the impact of policy actions. This one-week event will provide a rigorous overview of the foundations of empirical finance and an exposition of selected topics vital to central bank analysis for monetary policy. The following topics are likely to be covered:- the construction and analysis of yield curves and other term structures;- volatility modelling and forecasting; and- the use of option prices to infer probability density functions of expectations of the underlying asset’s future properties. Lectures will typically be followed by computer-based exercises to illustrate the relevant applied financial econometric and empirical finance techniques.