Fiches de cours 2017-2018

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Macrofinance

FIN-406

Enseignant(s) :

Lambertini Luisa

Langue:

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. National Income Accounting and the Business Cycle
  2. Intertemporal Choice in a Simple Two-Period Model 
    • Endowment Model
    • With Investment
    • Determining the Equilibrium Interest Rate
    • With Complete Markets
    • With Incomplete Markets
  3. The Optimal Growth Model
  4. Consumption
  5. Investment
  6. Asset Pricing
  7. Putting it all together: a General Equilibrium Model of the Economy
  8. Monetary and Fiscal Policy

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, 15:15 to 17:00. Exercise sessions will take place in a classroom equipped with computers. 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.

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

35% Midterm Exam

35% Final Exam

 

Supervision

Office hours Yes
Assistants Yes
Forum No

Resources

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

Dans les plans d'études

Semaine de référence

 LuMaMeJeVe
8-9     
9-10  BS260  
10-11    
11-12    
12-13     
13-14     
14-15     
15-16CO6    
16-17    
17-18     
18-19     
19-20     
20-21     
21-22     
 
      Cours
      Exercice, TP
      Projet, autre

légende

  • Semestre d'automne
  • Session d'hiver
  • Semestre de printemps
  • Session d'été
  • Cours en français
  • Cours en anglais
  • Cours en allemand