CEMLA Course: Financial Econometrics

The Center for Latin American Monetary Studies (CEMLA) conducted the CEMLA Course: Financial Econometrics in digital format from July 21 to 25, 2025. The Course objective was to provide participants with tools in financial econometrics with an emphasis on applications for central banking. It was targeted at senior analysts, junior researchers, and mid-level officials in areas such as economic research, financial stability, and risk management of CEMLA central bank members. The course was taught by Nelson Ramírez-Rondán from CEMLA.

The first day involved a refresher of estimation methods (ordinary least squares, maximum likelihood, and generalized methods of moments) and time series models. The second day discussed expected returns on currencies as well as interest rate models. On the third day, asset pricing models and volatility models were studied. On model estimation, the fourth day consisted of a revision on non-parametric models, quantile regressions, and Value-at-Risk (VaR). Finally, the last day was devoted to non-linear models and their applications to financial restrictions.

The objective of this course is to provide tools for the analysis of historical financial data and the modeling of the underlying economic mechanisms of issues relevant to central banking. The course is structured to be developed in five days, including the following topics: the introduction to methods and estimation models that allow analyzing the relationship between economic variables and serve as a foundation for the subsequent topics to be developed; the empirical analysis of the expected return of foreign exchange, which helps to understand the foreign exchange market and evaluate possible foreign exchange interventions; as well as, the models of the term structure of interest rates, essential to understand the relationship between short and long term interest rates. It also covers the study of asset valuation models and volatility models, which are important for risk management of foreign exchange reserves and other assets; as well as the estimation of non-parametric models, quantile regression and value at risk (VaR), which help to evaluate potential losses in the bank's portfolio in particular and the financial system in general.

The course is aimed at participants who are responsible for the development of empirical models that serve as input for theoretical models and/or the analysis of central banking policy evaluation. The course has been offered since 2020 and is developed in digital format, where the call for participants has been high, with 160 and 170 participants registered in the 2023 and 2024 editions, respectively. The course has been taught by professionals with doctoral specialization in econometrics and with work experience in central banking.