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: in-person only.
Prerequisites: Introductory macroeconomics and microeconomics, introduction to calculus with several variables, introduction to optimization, linear algebra, introductory statistics and probability, stochastic calculus. Read the syllabus (folder below) for more details.
Office hours: Thursday 15:00-17:00 (send an email to book a slot).
Exam: Written exam (90 min) . Read the syllabus (folder below) for more details.
Info: Material 25-26 and exam rules valid until the October Exam;
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.
Prerequisiti: Matematica (Ottimizzazione vincolata, sistemi di equazioni), Microeconomia (funzione di utilità, vincolo di bilancio e scelte del consumatore), Macroeconomia (Domanda-offerta aggregata, modello IS-LM), Probabilità (variabili casuali, distribuzioni di probabilità)
Lezioni & esami: In presenza (Teledidattica per Economia Monetaria, link su Moodle)
Ricevimento studenti: Giovedì, 15:00-17:00 (inviare una mail per fissare l'orario)
Esami: esame scritto (90 min). Consultare il syllabus nella cartella del corso per i dettagli
Info: Materiale 25-26 e regole d'esame validi 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...)