International Finance (PhD)

Syllabus

SLIDES:

Week 1:

Intro

IRBC 1 -- BKK

Week 2:

IRBC 2 -- BC95

Week 3:

IRBC 3 -- BKK 1994

IRBC 4 -- ST(95)

Week 4: 

Backus-Smith puzzle -- CDL(2008) 

Week 5: 

Uncovered Interest Parity (Fama 84, BER(2008))

Week 6: 

Uncovered Interest Parity II (Chinn (2006), Engel (2016))

Week 7: 

Uncovered Interest Parity -- models of time-varying risk-premia (Verdelhan(2010)) 

Uncovered Interest Parity -- risk-premia in the data (Burnside (2011))

Week 8: 

Uncovered Interest Parity -- peso problems and deviations from RE (Burnside et.al.(2010), Kalemli-Ozcan and Varella (2021))

Week 9: 

Uncovered Interest Parity -- Convenience Yields (Valchev (2021))

Exchange rate Disconnect -- Itskhoki and Mukhin (2021) and Huo, Levchenko and Pandalai-Nayar (2023)

Week 10: 

Exchange rate Disconnect -- Chahrour, De Leo, Cormun, Guerron and Valchev (2022)

Week 11: 

International Portfolio Choice -- Intro

International Portfolio Choice -- Information Asymmetries (vNV(2009))

Week 12: 

International Portfolio Choice -- Information and Portfolio Heterogeneity in the data (De Marco et. al. 2021)

Week 13: 

Dominant Currencies in Equilibrium (Chahrour and Valchev (2021))

PROBLEM SETS:

Problem Set 1 (due Oct 10)   [Solutions]

Problem Set 2 (due Nov 7)

Problem Set 3 (due Dec 18)