Professor
R.G. King
Email: rking@bu.edu
Tel:
617-353-5941
Economics 542
Topics in Money and Banking
http://people.bu.edu/rking/EC542.htm
This
is a master’s level research course designed to train individuals that will be
working in applied areas in central banks, private financial institutions or
international organizations in the area of money and banking. In their jobs,
these individuals must:
(a)
work to understand
applied problems of importance to central banks;
(b)
read and apply
current research in the areas related to analysis of money and banking problems
(macroeconomics, monetary economics, financial markets and applied econometrics);
(c)
produce papers
which are both technically correct and understandable by a policymaker who is
not necessarily trained in economics.
The
topics covered in this course vary year to year. During Spring 2008, it is
natural for us to cover the following topics. First, the forecasting of
macroeconomic activity, as analysts are increasingly suggesting that the
Research papers and presentations: Students will work individually or in teams of two on preparing a
research paper and making a 20 minute presentation during the week of April
29th. Three presentations will be
scheduled during the normal class period on TU and TH during that week: if
there are more than 12 students enrolled in the class, then there will be
evening presentations on those days beginning at 7 pm, so that students should
reserve these evening periods. An outline of the course paper is due on February 12th: note
that students should submit the outline by email to rking@bu.edu and that it
should either be in a pdf or rtf form. Course
papers and presentation files will be due on Thursday April 24th.
Course examinations and course grades: there will be two examinations held
during course periods on February 21st and April 22nd. Each examination will count for 20% of the
course grade, the research paper will count for 40% of the course grade, and
the presentation will count for 20% of the course grade.
Problem sets: there will be weekly problems that
students can use to keep current with course material. There will not always be
answers provided.
|
Economics
542 class schedule |
|||
|
|
|
1/17 |
1.
Overview |
|
1/22 |
2.
Housing study |
1/24 |
3.
Dynamic models |
|
2/29 |
4.
More on dynamic models |
1/31 |
5.
VARs |
|
2/05 |
6.
Unit roots |
2/07 |
7.
Expectations theory |
|
2/12 |
8.
Tests of ET |
2/14 |
9.
Risk aversion and Bond Pricing ** |
|
2/19
|
BU
cal: no class |
2/21 |
Exam 1 |
|
2/26 |
12.
542 guest lecture |
2/28 |
13.
Bonds and derivatives |
|
3/03 |
14.
Risk pooling |
3/05 |
15.
Options |
|
BU
break |
|
3/12 |
|
|
3/17 |
16.
Options |
3/19 |
17.
Asset backed securities |
|
3/24 |
18.
Recent developments |
3/26 |
19.
Recent developments |
|
4/01 |
20.
Bank runs in history |
4/03 |
21.
Bank runs in theory |
|
4/08 |
22.
Recent developments |
4/10 |
23.
Banking policy v. monetary policy |
|
4/15 |
24.
Monetary policy |
4/17 |
25.
Monetary policy |
|
4/22 |
Exam 2 |
4/24 |
542 papers due (No lecture) |
|
4/29 |
Paper
presentations (evening
sessions) |
5/01 |
Paper
presentations (evening
sessions) |
* *
Outline of paper topic due
LECTURE MATERIALS
Topic 1: Overview
Ben
S. Bernanke, "Financial Markets, the Economic Outlook, and Monetary
Policy", speech
Topic 2: The
Marek Jarocinski
and Frank Smets, “Housing Prices and the Stance of
Monetary Policy,” working
paper, January 2008. read pages 1-12.
look at tables 1-2 and figures 1-6.
Data
set as Excel File
Replication
materials (MATLAB files in zip folder)
Topic 3: Current events; the
multiplier-accelerator model; overview of difference equations
Greg Ip, Wall Street Journal, "Fed Cuts Halt Market Free
Fall..." pdf
Paul
Samuelson, Interactions between the multiplier and the principle of
acceleration," Review of Economics and Statistics, 1939 pdf
"Introduction
to dynamic models" handout (with some corrections made) pdf
Topic 4: Dynamic models and
forecasting
Lecture
slides (small revisions from handout) pdf
Estimated
VAR handout (produced using Eviews) pdf
Topic 5: Vector Autoregressions
Lecture
outline, also handed out on 1/31 pdf
James
H. Stock and Mark W. Watson, "Vector Autoregressions",
Journal of Economic Perspectives, Fall 2001. pdf
James
H. Stock and Mark W. Watson, "Forecasting with regressions using time
series data", OPTIONAL READING, manuscript chapter pdf
Topic 6: Unit roots and stochastic
trends
Lecture
outline pdf
James
H. Stock and Mark W. Watson, "Variable trends in economic time
series", Journal of Economic Perspectives, Fall 1998. pdf
Topic 7: An introduction to the term
structure of interest rates
Lecture
outline pdf
chapters
from undergraduate money and banking notes
Interest
rates and the bond market pdf
The
term structure of interest rates pdf
Midterm stuff:
http://people.bu.edu/rking/EC542midterm.htm
Topic 8: current events
(http://people.bu.edu/rking/RecentEvents.pdf)
Topic 9: Cointegration (lecture outline pdf)
Topic 10: The Term Structure #1 (lecture outline pdf)
Topic 11: The Term Structure #2 (lecture outline pdf)
KK
paper pdf
that is background on lectures 10 and 11
Topic 12: Introduction to Option
Pricing. (lecture
outline pdf)
chapters
from undergraduate money and banking notes
Options
concepts pdf
Options
in Banking pdf
Topic 13: Intro to the Binomial Option
Pricing Model
(lecture outline pdf)
Topic 14: Option pricing models (lecture outline pdf)
CRR
paper pdf that is
background on lectures 13 and 14
Topic 15: Loans, pools and
securitization
(lecture outline pdf)
Topic 16: Bank runs in models (classic Diamond-Dybvig
paper PDF; recommended exposition by
Diamond PDF)
Topic 17: Bank runs in history (New York: free banking PDF; US national banking era PDF)
Topic 18: A modern model of monetary
policy (without
financial frictions PDF, with financial
frictions PDF)
Topic 19: Banking policy versus
monetary policy: should the Fed close the discount window? PDF
|
EC542 Schedule April 22 (TU): Exam due at start of class: ROUGH DRAFT OF EXAM AS OF APRIL 10th in PDF form April 24 (TH): last lecture April 25 (FR): Paper due April 29 (TU): Presentations at 9:30-10:50 (in classroom) and 2:00-5:00 (location to be announced) Remember to send an email that contains your paper title to
rking@bu.edu today (April 10th) with subject "EC542 paper"! |
|
Presentation Schedule Sessions to
be held in our standard classroom 9:30 Nachum Gabler, "Strategic bidding behavior in treasury auctions" PDF 9:50 Afaque Qureshi and Umer Sajid, "Islamic Financial Contracts" PDF 10:10 Gulzar H. Shah,
"Capital Markets in Pakistan: the post reform performance and openness 10: 30 Elizabeth Bernstein, "Ben Bernanke's Views on the Links between Credit and Macroeconomic Activity" PDF Sessions to be held in School of
Hospitality Administration 210 (928 Comm Ave)
Building 7 on campus map. http://www.bu.edu/visit/maps/campus/ 2:00 Kazuhiro Tanaka: "The effect of
monetary policy and credit markets on U.S. economic 2:20 Xin He and Jingyi Song, "The Monetary Transmission Mechanism--An
empirical study of China" PDF 2:40 Jiyoung Choi, "The term structure of interest rates : What does it tell us about future real economic growth?" PDF 3:00 Fernando Hernández
Martínez, "Oil Price Shocks and their Effects
in Monetary 3:20 Roberto Crotti and Nikolaos Flourakis, "Do the ECB and the Fed have different sensitivities to inflation and unemployment?" PDF 3:40 Putra Arsana, "Forecasting for the inflation targeting framework in Indonesia" PDF 4:00 Greg Daco, "Comovement and Global Economic Dynamics" PDF 4:20 Peiyi Jia and Weisha Yin: "US private consumption with a high public sector deficit" PDF 4:40 Josh Kaushinsky,
" Crowding Out in Government
Expenditures: The Impact of Entitlements on Non-Defense Discretionary
Spending" PDF |
Presentation guidelines:
No
more than 15 slides (one per minute)
Remember
that you need to provide context for your paper and a summary of key results
Practice
your talk to make sure it will not exceed 15 minutes: if necessary, adjust
format or number of slides
Have
slides in PDF format, so that you do not need to rely on fonts on computer
Send
slides to me by 2 pm the previous day (Monday April 28): I will post these and
your classmates can print copies of those that they want to have in front of
them
For
PDF creation, you may want to use the free program at http://www.primopdf.com/