ECO-5203 : Topics in financial macroeconomics

Accès directs

ECO-5203 : Topics in financial macroeconomics

Responsable(s) :

Sophie Hatte

Enseignant(s) :

Remi Clotte

Niveau

Discipline

Economie

ECTS

4.00

Période

2e semestre

Département

Département d'Économie

Localisation

Site Descartes

Année

2024

Public interne (réservés aux auditeurs de licence-master et normaliens )

Informations générales sur le cours : ECO-5203

Content objectif

This course delves into advanced thematic topics in macroeconomics related to financial markets. The first part focuses (1-4) more on theoretical models while the second one (5-8) is more applied and data-intensive. The outline of the course is as follows:

1. Consumption-based models (C-CAPM) and critiques
2. Rare events and long-term risks
3. Asset pricing with heterogeneous agents
4. Green growth and green financial models (S-CAPM)
5. Equity premium prediction (1/2)
6. Equity premium prediction (2/2)
7. Introduction to commodities market: Physical and future markets
8. Nowcasting

Content prerequis

The course builds on previous introductory and intermediate courses in macroeconomics.

Content modalites

Enseignant(e)s : Guillaume COQUERET / Gaëtan BAKALLI

Content horaires

Créneau(x)

Lundi Matin
Mardi Après-midi

Horaires du cours

Les lundis 6 et 13 janvier de 8h30 à 11h30 + tous les mardis après-midi de 13h à 16h entre le 7 janvier et le 11 février + examen le mardi
18 février de 13h à 16h.

Content bibliographie

Bok, B., Caratelli, D., Giannone, D., Sbordone, A. M., & Tambalotti, A. (2018). Macroeconomic nowcasting and forecasting with big data. Annual Review of Economics, 10(1), 615-643.
Chiarella, C., Dieci, R., He, X. Z., & Li, K. (2013). An evolutionary CAPM under heterogeneous beliefs. Annals of Finance, 9, 185-215.
Epstein, L. G., & Zin, S. E. (1991). Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. Journal of Political Economy, 99(2), 263-286.
Heikkinen, T. (2015). (De) growth and welfare in an equilibrium model with heterogeneous consumers. Ecological Economics, 116, 330-340.
Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021). Sustainable investing in equilibrium. Journal of Financial Economics, 142(2), 550-571.
Tsai, J., & Wachter, J. A. (2015). Disaster risk and its implications for asset pricing. Annual Review of Financial Economics, 7, 219-252
Welch, I., & Goyal, A. (2008). A comprehensive look at the empirical performance of equity premium prediction. Review of Financial Studies, 21(4), 1455-1508.

Accès directs

Outils

ECO-5203 : Topics in financial macroeconomics

Informations générales sur le cours : ECO-5203