QUANTITATIVE MACROFINANCE

PhD Program in Analytics for Economics and Management

Course objectives

The course will introduce the key terminology and models used in empirical and theoretical macro-finance literatures. Lectures will deal with the main empirical theories and facts about consumption-based asset pricing and macroeconomic aggregates. The focus will be on the main macroeconomic models, both for long-term and business-cycle fluctuations.

Course outline

1. Introduction to present-value asset relations

2. Introduction to consumption-based asset pricing

3. Basics of growth models

4. Business cycles, credit cycles and financial crises

Readings

- Blanchard, O., 2021. Macroeconomics, 8th ed.. Pearson.

- Cochrane, J.H., 2005. Asset Pricing, revised edition. Princeton University Press. Book website

- Cochrane, J.H., 2017. Macro-finance. Review of Finance 21(3): 945-985. PDF last manuscript

- Fama, E.F. and K.R. French, 2015. A Five-Factor Asset Pricing Model. Journal of Financial Economics, 116. Downloadable via ResearchGate

- Ng, S., and J. H. Wright, 2013. Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling. Journal of Economic Literature, 51(4), 1120-1154.

- Romer, D., 2012. Advanced Macroeconomics, 4th ed.. McGraw-Hill.