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Instructors: Prof. Dr. Olaf Posch
Event type:
Interactive class
Displayed in timetable as:
Hours per week:
3
Credits:
6,0
Language of instruction:
English
Min. | Max. participants:
- | 45
Comments/contents:
This course examines the intersection between macroeconomics and finance. The first part (about 8 weeks) takes a tour through a selection of articles that survey the various approaches - including the equity premium, consumption based models, general equilibrium models and labor income/idiosyncratic risk approaches. The second part consists of writing a project report within one of the suggested topics, which has to be
handed in and approved by the lecturer after a presentation in class. The course combines the participants’ prior knowledge of macroeconomics and finance and is therefore relevant for master students in economics with either focus in macro or finance.
Learning objectives:
After this course, the students are able to ...
- Explain the different theoretical and empirical methods which are covered in the lecture
- Explain the importance of assumptions and model structures for the theoretical and empirical results
- Relate empirical results to the theoretical and empirical methods
- Reflect the methods used in the papers on which the written project report is based
- Solve and formulate dynamic optimization problems of consumption, investment and portfolio choice
Didactic concept:
The first part (about 8 weeks) is a lecture, the second part (6 weeks) consists of writing a project report (in groups of 2-3 or individual) and presentation/discussion.
Literature:
This course and topics among which the students can choose their project theses are based on a collection of papers of Cochrane (2006, 2017). Readings of Wickens (2008, chap. 10,11) and selected papers will be suggested during the course.
Cochrane, John H., Financial Markets and the Real Economy, Vol. 18 of International Library of Critical Writings in Financial Economics, London: Edward Elgar., 2006.
Cochrane, John H., Macro-Finance, Review of Finance, 21(3), 945–985, 2017.
Wickens, Michael, Macroeconomic Theory, Princeton University Press, 2008.
Additional examination information:
Oral exams 20-40 mins (weights 2/3 oral exam, 1/3 project report) consists of project presentation and questions regarding contents of the lecture.
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