ID:
509899
Durata (ore):
66
CFU:
9
SSD:
ECONOMIA POLITICA
Anno:
2024
Dati Generali
Periodo di attività
Primo Semestre (23/09/2024 - 20/12/2024)
Syllabus
Obiettivi Formativi
The course provides a sound understanding of the mutual interactions between macroeconomic and financial variables.
Learning outcome
Knowledge
You learn
Which are the economic drivers behind long-run growth,
What are the business cycle determinants.
What are the asset prices (and returns) implications of growth, cross-country convergence and business cycle dynamics.
How to model the relationship between macroeconomic variables and financial markets
Skills
You should be able to
explain how international stock markets have evolved historically
assess current macroeconomic risk and assess how such risk affects financial markets
understand the relationship between different forms of risk and stock market returns
understand how different risks affect optimal portfolio choice
General competence.
You should be able to:
Read and understand research papers on the topics of this course;
Forecast asset prices and returns over the medium run;
Design portfolio allocation strategies conditional to the portfolio holder’s exposure to macroeconomic (systemic) and individual (idiosyncratic) risks
Learning outcome
Knowledge
You learn
Which are the economic drivers behind long-run growth,
What are the business cycle determinants.
What are the asset prices (and returns) implications of growth, cross-country convergence and business cycle dynamics.
How to model the relationship between macroeconomic variables and financial markets
Skills
You should be able to
explain how international stock markets have evolved historically
assess current macroeconomic risk and assess how such risk affects financial markets
understand the relationship between different forms of risk and stock market returns
understand how different risks affect optimal portfolio choice
General competence.
You should be able to:
Read and understand research papers on the topics of this course;
Forecast asset prices and returns over the medium run;
Design portfolio allocation strategies conditional to the portfolio holder’s exposure to macroeconomic (systemic) and individual (idiosyncratic) risks
Prerequisiti
Recommended previous knowledge
Basic macroeconomic models, principles of finance
Topics in compulsory courses in the first year of the degree in Finance
Basic macroeconomic models, principles of finance
Topics in compulsory courses in the first year of the degree in Finance
Metodi didattici
Classroom lectures, with slides presentations and class discussion.
Verifica Apprendimento
Written exam, the student is asked to answer 4 open questions, each of them weights for one-fourth of the final mark. The mark range is 0-30 cum laude (33).
Students may choose to sit an intermediate (mid-term) exam. This exam covers the “Macroeconomics” part of the program (two equally-weighted open questions) and counts for 50% of the final mark. The date of the exam will be announced at the beginning of the course. Students who pass the mid-term exam are then allowed to sit the second part of the exam on one of the January-February official exam dates. The second part of the exam covers the remaining topics (two equally-weighted open questions)
Exams are organized through the KIRO-testing platform (https://kirotesting.unipv.it/course/view.php?id=2924), operated from desktops made available in a lecture theatre of the university. Students will receive more specific instructions thorugh the course webpage.
Students may choose to sit an intermediate (mid-term) exam. This exam covers the “Macroeconomics” part of the program (two equally-weighted open questions) and counts for 50% of the final mark. The date of the exam will be announced at the beginning of the course. Students who pass the mid-term exam are then allowed to sit the second part of the exam on one of the January-February official exam dates. The second part of the exam covers the remaining topics (two equally-weighted open questions)
Exams are organized through the KIRO-testing platform (https://kirotesting.unipv.it/course/view.php?id=2924), operated from desktops made available in a lecture theatre of the university. Students will receive more specific instructions thorugh the course webpage.
Testi
Campbell, Lo and Finlay The econometrics of financial markets Princeton UP latest edition.
Cochrane Asset Pricing Princeton UP latest edition
Campbell, J. Y. (2018). Financial decisions and markets: a course in asset pricing. Princeton University Press.
Slides and other materials downloadable from the course webpage (KIRO)
Contenuti
Macroeconomics
Stylized facts concerning growth, business cycles and financial markets
Interpretation of macroeconomic facts: i) what determines long-run growth; ii) why is per capita income in some countries higher than in others. Topics include the role of technical change, the savings rate, and knowledge dynamics. The standard distinction between exogenous and endogenous technical change will be discussed at length. Ii) Business cycle models, where technology and demand shocks cause economic fluctuations and have persistent effects because the economy is characterized by sluggish adjustment.
Theoretical implications of macroeconomic models for asset pricing; the stochastic discount factor approach.
Discussion of macrofinance literature.
Finance
Basics: present values, static and dynamic optimization, risk aversion and utility function.
Capital asset pricing model (CAPM): The old view.
Back to fundamentals in economic analysis: financial markets as an insurance scheme.
- The role of financial markets
- The meaning of Risk sharing
An introduction to the consumption-based model. Consistently with the modelling strategy of consumption/saving decisions in macro models, we apply the approach based on intertemporal consumption utility optimisation to the problem of pricing single assets.
Empirical evidence I. The consumption-based model and the equity premium and risk-free rate puzzles
How can we explain the consumption-based model's poor empirical performance?
Empirical evidence II. The relation between prices, dividends and returns. Are returns forecastable?
The term structure of interest rates
The crises of the 21st century and their impacts on financial markets
Stylized facts concerning growth, business cycles and financial markets
Interpretation of macroeconomic facts: i) what determines long-run growth; ii) why is per capita income in some countries higher than in others. Topics include the role of technical change, the savings rate, and knowledge dynamics. The standard distinction between exogenous and endogenous technical change will be discussed at length. Ii) Business cycle models, where technology and demand shocks cause economic fluctuations and have persistent effects because the economy is characterized by sluggish adjustment.
Theoretical implications of macroeconomic models for asset pricing; the stochastic discount factor approach.
Discussion of macrofinance literature.
Finance
Basics: present values, static and dynamic optimization, risk aversion and utility function.
Capital asset pricing model (CAPM): The old view.
Back to fundamentals in economic analysis: financial markets as an insurance scheme.
- The role of financial markets
- The meaning of Risk sharing
An introduction to the consumption-based model. Consistently with the modelling strategy of consumption/saving decisions in macro models, we apply the approach based on intertemporal consumption utility optimisation to the problem of pricing single assets.
Empirical evidence I. The consumption-based model and the equity premium and risk-free rate puzzles
How can we explain the consumption-based model's poor empirical performance?
Empirical evidence II. The relation between prices, dividends and returns. Are returns forecastable?
The term structure of interest rates
The crises of the 21st century and their impacts on financial markets
Lingua Insegnamento
INGLESE
Corsi
Corsi
FINANCE
Laurea Magistrale
2 anni
No Results Found
Persone
Persone
No Results Found