Coursebooks

Macrofinance

FIN-406

Lecturer(s) :

Lambertini Luisa

Language:

English

Remarque

For sem. MA1. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan

Summary

This course provides students with a working knowledge of macroeconomic models that explicitly incorporate financial markets. The goal is to develop a broad and analytical framework for analyzing the interaction of financial decisions, macroeconomic events and policy decisions.

Content

1. Two-Period Consuption-based Model

2. The Infinite Horizon Representative Agent (RA) Model and Asset Pricing

3. Monetary Policy and Fiscal Policy

4. Models with Financial Intermediaries

5. Models with Housing

    Keywords

    Macroeconomics, Financial Economics, General Equilibrium.

    Learning Outcomes

    By the end of the course, the student must be able to:

    Transversal skills

    Teaching methods

    Lectures will take place on Wednesday, 9:15 to 12:00. Lectures will focus on how to develop a macroeconomic model that integrates financial markets. Lectures will first present the theory and then discuss the empirical relevance and applications.

    Exercises will take place on Monday, 13:15 to 15:00. Students must bring their own laptop to exercise sessions. Exercise time will focus on solving the problem sets, doing exercises related to class material, and carrying out applications of what you learned in class. Students will be divided in groups and given a project that must be returned in the last week of class.

    Expected student activities

    Problem sets will be given out on a Wednesday and need to be returned to the instructor at the beginning of class the following Wednesday. The solution to the problem set will be posted on the class web page. Late problem sets are not accepted.

    Each student must turn in his/her problem set.

    Problem sets will range from analytical derivation of results to data analysis and testing, and to coding a simple macroeconomic model to calculate its steady state and to analyze its dynamic response to a macroeconomic shock. Coding will be done in Matlab.

    The problem sets are extremely important as they are the best way for the student to learn the material and do well in the exams.

    Assessment methods

    30% Problem sets

    30% Project

    40% Final Exam

     

    Supervision

    Office hours Yes
    Assistants Yes
    Forum No

    Resources

    Virtual desktop infrastructure (VDI)

    Yes

    Bibliography

    Main textbook:

    Foundations of International Macroeconomics by Maurice Obstfeld and Kenneth Rogoff, The MIT Press, 1996.

    Other

    Advanced Macreonomics by David Romer, The McGraw-Hill Companies, 1996.

    Recursive Macroeconomic Theory by Lars Ljungqvist and Thomas J. Sargent, The MIT Press, 2nd edition, 2004

     

    Ressources en bibliothèque
    Notes/Handbook

    A full set of course notes will be posted on the class web page after class. Notice that the course material is password restricted.

    Moodle Link

    In the programs

    Reference week

     MoTuWeThFr
    8-9     
    9-10  BS260  
    10-11    
    11-12    
    12-13     
    13-14CM1111
    CM1112
    INF2
        
    14-15    
    15-16     
    16-17     
    17-18     
    18-19     
    19-20     
    20-21     
    21-22     
     
          Lecture
          Exercise, TP
          Project, other

    legend

    • Autumn semester
    • Winter sessions
    • Spring semester
    • Summer sessions
    • Lecture in French
    • Lecture in English
    • Lecture in German