Monetary economics, M.Sc. in Finance, University of Siena
The course focuses on theoretical models of financial markets and their empirical applications. In particular we study, theoretically and empirically, macroeconomic fluctuations, the term structure of interest rates and the transmission mechanism of monetary policy. Both discrete time and continuous time models will be considered. We cover both standard models and some recent developments such as habit formation and belief heterogeneity. Finally, we introduce Vector Auto Regression (VAR) models to study the effects of monetary policy shocks.
Lectures and exams: presence mode
Prerequisites: Introductory macroeconomics and microeconomics, introduction to calculus with several variables, introduction to optimization, linear algebra, introductory statistics and probability, stochastic calculus
Office hours: Thursday 15:00-17:00 (send am email to book a slot).
Exam: Written exam (90 min) plus MATLAB project (optional). Select the exam type (Matlab problems, No Matlab problems) at the time of registration. No selection = no Matlab problems. Read the syllabus (folder below) for more details.
Material 23-24 valid until the October Exam;
News: Tuesday October 8-no lecture
Economia Monetaria e creditizia (Mutuazioni: [101563] Economia Monetaria)
Argomenti: Le lezioni si concentreranno su 1) Le funzioni della moneta, 2) mercati e strumenti finanziari 3) domanda ottima di consumo, moneta, risparmio e attività finanziarie 4) Obiettivi ed effetti della politica monetaria. Obiettivi formativi: Al termine del corso gli studenti avranno un'adeguata conoscenza di 1) strumenti finanziari, 2) scelte di portafoglio 3) effetti delle politiche monetarie in economia aperta.
Lezioni & esami: In presenza (Teledidattica per Economia Monetaria, link su Moodle)
Ricevimento studenti: Giovedi, 15:00-17:00 (inviare una mail per fissare l'orario)
Esami: esame orale con esercizi
News: Lunedì 18 Novembre no lezione
Materiale 23-24 valido fino all'appello di ottobre
Possible Thesis Topics:
Investor sentiment and asset prices
Investment specific shocks, macroeconomic quantities and asset prices
Forecast disagreement among professional forecasters, macroeconomic quantities and asset prices
Portfolio strategies and performance
Inflation and stock returns
Executive compensation and risk taking incentives
Requirements: successful completion of "Economia Monetaria e Creditizia" (bachelor theses) and "Monetary Economics" (master thesis). If you are interested in writing about one of the above topics, please contact me and send a short proposal . I will send you relevant research papers, provided there are available supervision slots. Please avoid copy-paste emails (e.g., Dear prof I would like to write my thesis under your supervision...)