AU kursuskatalog arkiv

4525: Financial Markets and the Real Economy ( efterår 2011 - 10 ECTS )

Rammer for udbud

• Uddannelsessprog: engelsk
• Niveau: Elective MSc project course  
• Semester/kvarter: Fall 2011  
• Timer per uge: 4 hours per week. Timetables can be found at: http://econ.au.dk/studies/teaching-and-examination/teaching/timetables/
• Deltagerbegrænsning: 30 students  
• Undervisningssted: Århus
• Hovedområde: Det Samfundsvidenskabelige Fakultet
• Udbud ID: 30350

Formål

Having completed this course, the student will be able to:

• Explain the different theoretical and empirical methods which are covered in the lecture
• Explain the importance of assumptions and model structures for the theoretical and empirical results 
• Relate empirical results to the theoretical and empirical methods
• Reflect the methods used in the papers on which the written project report is based
• Solve and formulate dynamic optimization problems of consumption, investment and portfolio choice

Indhold

This course examines the intersection between macroeconomics and finance. The first part takes a tour through a selection of articles that survey the various approaches - including the equity premium, consumption based models, general equilibrium models and labor income/idiosyncratic risk approaches. The second part consists of writing a project report within one of the suggested topics, which has to be handed in and approved by the lecturer after a presentation in class. The course combines the participants' prior knowledge of macroeconomics and finance and is therefore relevant for master students in economics with either focus in macro or finance in the final part of their study program.

Part I: Facts: Time-variation and business cycle correlation of returns
Part II: Equity premium
Part III: Consumption models
Part IV: Production, investment and general equilibrium models
Part V: Labor income and idiosyncratic risk

Faglige forudsætninger

Macro 1

Underviser

Olaf Posch

Undervisnings- og arbejdsform

Part I: Lectures (4 weekly lectures for 6-8 weeks), Part II: writing of project report in groups of 2-3, and this report has to be presented in class at the end of the course

English

Litteratur

• Cochrane, John H. Financial Markets and the Real Economy, Vol 18 of International Library of Critical Writings in Financial Economics, London: Edward Elgar., 2006
• Wickens, Michael, Macroeconomic Theory, Princeton University Press, 2008

Total: approx. 600 pages

Bedømmelse

• Mundtlig, bedømt efter 7-skala med intern censur
5 xxxxx

• Mundtlig, bedømt efter 7-skala med ekstern censur
5 xxxxx

FORM OF ASSESSMENT: Oral exam based on project report (20 min.). The weight of the oral exam is 2/3 and the weight of the project report is 1/3.

EXAMINATION AIDS ALLOWED: Only the project report.