DSGE

Modelling Course

Prof. Mthuli Ncube
Managing Director, Head of Research
With a PhD in Economics (Mathema cal
Finance) from University of Cambridge and
more than 25 years of work experience, he
has worked for a variety of renowned
educa onal & research ins tu ons and
investment companies. Before joining
Quantum Global Research Lab, Prof. Ncube
was the Chief Economist and Vice President of
the African Development Bank Group for five
years where he played an ac ve role in
guiding the Bank's strategic direc on,
economic posi oning, and visibility. He is
Chairman of the African Economic Research
Consor um (AERC) and Board member of
Global Development Network (GDN) and
Royal Africa Society (RAS). He has been a
Lecturer in Finance at London School of
Economics (LSE), Professor of Finance and
Dean of Wits Business School, and Dean of
Wits Faculty of Commerce Law and
Management, and Professor of Public Policy at
Oxford University, Blavatnik School of
Government, Visi ng Professor, Said Business
School University of Oxford. He has also
authored several books and research papers
including the Financial Markets and Monetary
Policy in Africa, 2009, Mathema cal Finance,
2010, and the Monetary Policy and the
Economy in South Africa, 2013, Quan ta ve
Easing and its Impact in US, UK, Japan, and
Europe, 2014 and Global Growth and
Financial Spillovers, 2015. His work has been
published in interna onal journals such as the
Journal of Econometrics, Journal of Banking
and Finance, Mathema cal Finance, Applied
Financial Economics, Journal of African
Economies, World Economics, World
Development, among others.
Quantum Global
Research Lab
- an Overview
The Quantum Global Research Lab is an independent research
partner to African countries. Its mission is to lead innova on
and excellence in the delivery of bo om-up econometric
models of African economies that are embedded in African
reali es.
It delivers unbiased insights on African economies and macro-
economic policy analysis that support the development of
innova ve economic policy and sustainable investments. This
work is conducted through the Research Lab's global office in
Switzerland and its regional offices in African countries; and in
partnerships with ins tu ons and individuals around the
world.
At Quantum Global Research Lab, we are excep onally proud
to have developed innova ve products such as the Africa
investment Index, a comprehensive index that gives a be er
picture on investment condi ons in African countries and a
report on Sovereign Wealth Funds (SWF), which examines the
role of SWF's in fostering economic development in Africa,
several structural and DSGE models among other products.
The Quantum Global Research Lab is now offering a
training course on policy-making using Dynamic
Stochas c General Equilibrium (DSGE) models, which
capture different types of economies.
The aim of the course is to help achieve the following:
Ÿ Improved budgetary process
Ÿ Op mal resource alloca on
Ÿ Improved debt sustainability analysis and understanding
Ÿ Improved infrastructure investment financing and its growth
linkages
Ÿ Improved understanding of the transmission of
macroeconimoc shocks into the economy
Ÿ Improved strategies for accessing interna onal capital
markets
Ÿ Improved management of Sovereign Wealth Funds
Ÿ Enhanced strategies for achieving inclusive growth
Each session will be a mix of teaching and prac cal laboratory
exercises using DYNARE/Matlab and OCTAVE to solve and
simulate dynamic models. Par cipants will be able to build,
interpret and ar culate the policy implica ons using DSGE
models.
At the end of the course, par cipants will be able to develop
DSGE models for policy-simula on for their countries or at
least, understand the building blocks for such models.
 “
Course Content
- an overview We see this training
bene tting participants
Module
and enabling them to
Structural Model
1 This model begins with modeling the output
gap, along with unemployment, Phillips Curve,
IS curve and Monetary Policy rule, and finally
undertake coherently
policy discussion and
we open up the economy. analysis. In the end, they
will be able to identify
Real Business Cycle Models
2 The next set of models is the Real Business
Cycle models. Here, the building blocks of the
models will be presented, including the
sources of uctuations;
answer questions about
equilibrium dynamics and olicy simula ons. structural changes, and
undertake macroeconomic
3
New Keynesian DSGE Models
Having laid the ground with the structured and
Real Business Cycle models, the course delves
forecasting of their
“
into DSGE models. This module develops your respective countries.
ability to set up the model building blocks, in
both micro and macro aspects. The model sets Lacina Balma
up the consumers, producers (firms), Economic Modeller
government, workers, and their various
constraints in pursuit of their objec ves in the
economy. Stochas c are considered shocks
makers will have a be er sense of the op mal debt
within the economy. The whole model is
levels that support growth, and how not to be
simulated over a 30-year horizon using a
over-borrowed. The model will also capture the
DYNARE/Matlab so ware. Open-source
external borrowings by countries, so as to arrive at
op ons like OCTAVE, which are free, will also
an op mal mix of domes c versus foreign
be used.
borrowings.

4 DSGE Model with s cky prices and

wages
This model considers economies with s cky
prices and wages and works out the
equilibrium condi ons and the impact of policy
choices within this environment.
8
DSGE Model and exchange rate policy
Op mal polices for managing exchange rates are
cri cal in an environment of global shocks. Policy-
makers who face choices of exchange rate policy
will be able to use this model to simulate the
impact of various exchange rate regimes, so as to
be guided op mally.

5 DSGE Model and Infrastructure and

Public Sector Investment
This DSGE model enables the policy-maker to
9 DSGE Models within a regional economic
community environment
simulate various policy choices for investment Some policy-makers and researchers operate in an
in infrastructure. The choices involve the environment of regional economic communities.
strategy for the deployment of resources for Some of the regions such as the CFA Zone have a
infrastructure investment, in the form of single currency. A DSGE model for countries in
gradual and "big-bang" approaches. regional communi es will be presented,
highligh ng the peculiari es of not having an
DSGE Model and Sovereign Wealth Fund
6 For policy-makers and researchers concerned
about the op mal management of Sovereign
Wealth Funds and natural resource revenues in
effec ve domes c monetary policy and domes c
exchange rate policy.

general, this DSGE model would be useful. The

model goes into savings strategies, given the
fluctua on of commodity prices, and the
10
investment strategy of the savings.
DSGE Models and the Informal sector
Most countries in Africa have a sizable informal
sector. The presence of such a sector hampers
policy ac on such as the transmission mechanism
for monetary policy ac on. This DSGE model will
incorporate the informal sector in the micro-sector

7 DSGE Model and Debt sustainability

Given the spectre of high debt globally and on
the African Con nent, the model will enable
set up, in the labor market and through access to
credit. The model will also be able to capture
poverty levels in a country, through level of social
policy-makers to understand and explore the transfers by government to the poor.
impact of public debt levels on the future
growth trajectory of the economy. Policy-
 Par cipant profile
Par cipants should have at least a master's
degree in economics or equivalent experience
and a strong background in economics.

Course price: USD 2'800 (hotel, breakfast,

lunch and materials included)

Address: Unit 18-37 - Level 18, Central Park

Tower DIFC, Dubai

Next program: 12 - 16 March 2018

course@quantumglobalgroup.com
www.quantumglobalgroup.com/course

Connect with us

@Quantum_Global

Quantum Global Group