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Course
Information
Class meets on Thursday in 3 Evans
Prerequisites: Econometrics
Recommended: Financial Economics
This is an applied seminar class, not a lecture. Students will work on
team projects--three students on a team--for most class. Each student will
also write a paper. Grades depend on the team projects and the paper.
Projects
There are a series of small projects (3 or 4) and one large project.
All of the teams will do each of the small projects. The small projects are
practice for the large project. For the small projects I'll give a lecture on
the model and short bibliography. During the following week the teams will gather
data and test the model and report results in the next class. Here are tentative
small projects:
The Forward Premium Puzzle
Bubbles
Monetary Policy (Taylor) Rules
Monetary Policy Shocks and Security Market Responses
The small projects will take September and part of October
While we are doing the small projects each team will come up with a big
project and reading articles and gathering data. In November the teams will
present the model and results for their project to the class. Each student
will write a paper describing the model and results that their team worked on.
Expected interest rate Parity or the Forward Discount
(Bodie-Kane-Marcus Chapter 23)
Class Project is to test the CAPM by estimating the
SML
due in class Thursday, October 16
The Forward Discount Premium
Articles
Market Efficiency
Project 1 Instructions
Lessons from the collapse of hedge fund, long-term capital management
Notices
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