CCBS

Centre for Central

Banking Studies
R Modelling for econometrics

23–27 September 2019

Event Director: Andrew Blake
Event Location: TS07-BC-511-7F1
Please remember:
CCBS will supply one laptop between 2 participants for this event.

You are more than welcome to bring your own laptop/tablet and charger
with you if you wish.

If you wish to bring your own laptop with you, please ensure that R and
RStudio are downloaded ahead of the event, this can be done using the
links below.

https://cran.r‐project.org/  

https://www.rstudio.com/products/rstudio/download/ 

Code will be sent in advance to be used during the event, this will need
to be saved to your desktop if bringing your own device.

Please complete the following pre-reading ahead of the event:

1. As an intro to R and econometrics:

Using R for Introductory Econometrics
Florian Heiss

Available at http://www.urfie.net/read.html, Don’t read all of it but see sections

1.1, 1.2, 1.3, 1.4, 1.8, 2.1, 2.2, 2.3, 3.1,3.2

2. As an introduction to the ideas behind data wrangling in the tidyverse:

Data Wrangling with R
Claudia A Engel
Available at https://cengel.github.io/R-data-wrangling/ 
Day 1
Monday 23 September 2019

08:45 - 09:15 Registration and coffee

09:15 - 09:30 Welcome and event introduction

Andrew Blake, Senior Adviser and Keeley Lilley, Event
Administrator, Centre for Central Banking Studies (CCBS),
Bank of England

09:30 - 11:00 Introduction to R and the tidyverse

Andrew Blake

11:00 - 11:30 Break

11:30 - 13:00 Data, graphs and numerical computing

Andrew Blake

13:00 - 14:00 Lunch

14:00 - 15:15 Classical econometric methods

Andrew Blake

15:15 - 15:30 Break

15:30 - 17:00 Exercises

Andrew Blake

17:00 - 17:30 Wrap Up & Review

17:30 - 19:30 Evening welcome reception - Brasserie Blanc

Day 2
Tuesday 24 September 2019

09:30 - 11:00 A little bit of Shiny

Andrew Blake

11:00 - 11:30 Break

11:30 - 13:00 App building exercise

Andrew Blake

13:00 - 14:00 Lunch

14:00 - 15:00 Quantile regression and CoVaR

Somnath Chatterjee, Adviser, CCBS

15:00 - 15:15 Break

15:15 - 16:00 CoVaR and quantile fancharts

Andrew Blake

16:00 - 17:00 GDP@Risk exercise

Andrew Blake
Day 3
Wednesday 25 September 2019

09:30 - 11:00 Introduction to Gibbs Sampling

Andrew Blake

11:00 - 11:30 Break

11:30 - 13:00 Kalman filtering (including exercise)

Andrew Blake

13:00 - 14:00 Lunch

14:00 - 15:00 Introduction to DSGE models

Jagdish Tripathy, Adviser, CCBS

15:00 - 15:15 Break

15:15 - 17:00 Building and solving RE models

Andrew Blake
Day 4
Thursday 26 September 2019

09:30 - 11:00 VAR models

Gabor Pinter, Adviser, CCBS

11:00 - 11:30 Break

11:30 - 13:00 VARs (at the BBC)

Andrew Blake

13:00 - 14:00 Lunch

14:00 - 15:15 Density estimation for DSGE

Andrew Blake

15:15 - 15:30 Break

15:30 - 17:00 Estimating DSGE models

Andrew Blake
Day 5
Friday 27 September 2019

09:30 - 11:00 Markdown

Andrew Blake

11:00 - 11:30 Break

11:30 - 13:00 Exercise using Markdown and Shiny

Andrew Blake

13:00 – 13:15 Event round up and close

Andrew Blake and Keeley Lilley

13:15 - 14:30 Farewell lunch, CCBS library

List of participants

Name Organisation
Paulo Dawid Central Bank of Brazil
Tania Karamisheva Bulgarian National Bank
Miguel Angel Urbina Superintendencia Bancos e Instituciones
Financieras (SBIF)
Maja Curkovic Croatian National Bank
Eva Hromadkova Czech National Bank
Irena Komprej European Central Bank
Christoph Schell Federal Financial Supervisory Authority -
BaFin
Joachim Loua Central Bank of the Republic of Guinea
Margerys Salgado Central Bank of Honduras
Zsolt Szorfi Central Bank of Hungary
Eleonora Laurenza Bank of Italy
Rajeh Alkhdour Central Bank of Jordan
Edwin Maza Central Bank of Kenya
Su-yeon Bang Bank of Korea
Maryam Al-Mukhaizeem Central Bank of Kuwait
Hicham Bennouna Bank of Morocco
Mihajlo Vaskov National Bank of the Republic of North
Macedonia
Malgorzata Skibinska National Bank of Poland
Ioan - Gabriel Stavre National Bank of Romania
Yury Perevezentsev Central Bank of the Russian Federation
Koswatte Ralalage Dheeshana Koswatte Central Bank of Sri Lanka
Malik Goubara Central Bank of Sudan
Tayyar Buyukbasaran Central Bank of the Republic of Turkey
Victor Zommers Financial Conduct Authority
Forthcoming 2019 CCBS London events

Date Subject
30 September - 2 October Monetary policy and operations
7 - 9 October Central bank communication in a changing world
14 - 16 October Risk management and financial supervision
21 - 22 October Beyond prevention: cyber security and the resilience
of the financial sector
28 October - 1 November The shadow banking system
4 - 6 November Central bank operational risk and compliance
4 - 5 November Modelling with Big Data and machine Learning:
interpretability and model uncertainty
11 - 13 November Structure of financial markets
18 - 20 November Microprudential regulation and supervision
25 November - 6 Economic modelling and forecasting
December
Centre for Central Banking Studies
The CCBS provides an extensive programme of events for central bankers from all
over the world. These cover many of the analytical and technical areas of central
banking from a practitioner’s perspective. Speakers are experts in their field from the
Bank of England, the London financial markets, academia and of course the
participants themselves.

The seminars and other events are mostly aimed at experienced central bank
personnel, who already have expertise in the subject. Participants are often asked to
prepare papers beforehand and to give presentations to their course colleagues. This
facilitates the sharing of diverse experiences, and contributes to the participative
nature of these events, which typically study the different approaches used by central
banks around the world. Most seminars include syndicate work and discussions.

Director
John Power

Senior advisers
David Barr
Andrew Blake

Advisers
Angus Foulis
Christine Jayaseelan
Matthew Pegg
Gabor Pinter
Michael Smart
Jagdish Tripathy

For event information or queries, please contact

Event administrator:
Keeley Lilley/Maria Brady
T: +44 20 3461 3892/4542
Issued by the Centre for Central Banking Studies
Bank of England
Threadneedle Street
London EC2R 8AH
E: ccbsinfo@bankofengland.co.uk
F: +44 20 3461 5860
www.bankofengland.co.uk/ccbs