Nova School of Business and Economics

Universidade Nova de Lisboa

The Macroeconomics of Financial Markets—2233

1st Semester 2014-2013 (Fall 2013)

 

Prof. André C. Silva       acsilva@novasbe.pt          Office Hours: Fridays 15:30-16:30, 367             webpage

 

Teaching Assistant:      TBA, email TBA

 

Classes: Mondays and Wednesdays, 9:30am-11:00a. Room TBA


Syllabus (PDF)

 

Exam           TBA (scheduled by the department)

 

Announcements

Jul 9

The first class will be on Wednesday, September 10, room to be announced. See you there!

 

Reports

 

Due Date

Report 1

TBA

Report 2

TBA

Report 3

TBA

 

Additional Data, Texts, and Slides

See the course webpage on Moodle: link.

 

Readings

Because of the need of subscriptions, note that some links work only from computers connected to the university.

 

The Effects of Monetary Policy

Barro, R. J. (1994). “What the Fed Can't Do.” Wall Street Journal, August 19, 1994. (On Moodle.)

Friedman, Milton (1968). “The Role of Monetary Policy.” American Economic Review 58(1): 1-17, 1968.

McCandless, G. T. and Weber, W. W. (1995). “Some Monetary Facts.” Minneapolis Quarterly Review 19(3): 2-11.

 

How Central Banks Set the Monetary Policy

Kocherlakota, Narayana (2010). An Introduction to the FOMC.” The Region, September 2010. About how the Federal Open Market Committee works.

 

Why do Prices Exist?

Hayek, F. A. (1945). “The Use of Knowledge in Society.” American Economic Review, 35(4): 519-530.

 

Separating Trend from Cycles

Hodrick, Robert J., and Edward C. Prescott (1997). "Postwar U.S. Business Cycles: An Empirical Investigation." Journal of Money, Credit and Banking, 29(1): 1-16.

 

The Term Structure of Interest Rates

Estrella, Arturo, and Mary R. Trubin (2006). “The Yield Curve as a Leading Indicator: Some Practical Issues.” Current Issues in Economics and Finance, FED New York.

A webpage on the yield curve: FED New York.

 

The Crisis of 1929

Bernanke, Ben S. (2002). “The Great Contraction, Remarks.” A speech during a seminar in honor of Milton Friedman in his 90th anniversary.

Cole, Harold L., and Lee E. Ohanian (2004). “New Deal Policies and the Persistence of the Great Depression: A General Equilibrium Analysis.” Journal of Political Economy, 112(4): 779-816.

 

The Crisis of 2008 and the Debt Crisis

Acharya, Viral; Stijn van Nieuwerburgh; Matthew Richardson; and Lawrence White (2011). Guaranteed To Fail: Fannie, Freddie and the Debacle of Mortgage Finance. Princeton University Press.

Cochrane, John (2010). “Lessons from the financial crisis.” Regulation 32(4): 34-37.

Diamond, Douglas W.; and Philip H. Dybvig (1983). “Bank Runs, Deposit Insurance, and Liquidity.” Journal of Political Economy, 91(3): 401-419. See also: Douglas W. Diamond (2007). “Banks and Liquidity Creation: A Simple Exposition of the Diamond-Dybvig Model.” Economic Quarterly, 93(2): 189-200.

Diamond and Kashyap on the Recent Financial Upheavals. (On Moodle.)

Kroszner, Randall S.; and William Melick (2009). “The Response of the Federal Reserve to the Recent Banking and Financial Crisis.” Working Paper.

Lucas, Robert E. (2009). “In Defence of the Dismal Science.” The Economist, Aug 6th 2009. (On Moodle.)

Reinhart, Carmen, Jacob F. Kirkegaard, and M. Belen Sbrancia (2011). “Financial Repression Redux.” Finance and Development (IMF), June 2011.

 

Labor Taxes and the Economy

Clement, Douglas (2003). “European Vacation: Why Americans Work More Than Europeans.” The Region, December 2003.

Rogerson, Richard (2006). “Understanding Differences in Hours Worked.” Review of Economic Dynamics, 9(3): 365-409.

Silva, Andre C. (2005). “Taxes and Labor Supply: Portugal, Europe, and the United States.” III Conference Desenvolvimento Económico Português no Espaço Europeu. A technical version of this paper, with additional results, is here.

 

Various

Barro, Robert (2005). Interview for The Region, FED Minneapolis, September 2005. About the public deficit, economic growth, inflation targeting and other topics.

Bernanke, Ben S. (2004). Interview for The Region, FED Minneapolis, June 2004. On October 2005, Bernanke was appointed chairman of the Federal Reserve System.

Fama, Eugene (2007). Interview for The Region, FED Minneapolis, December 2007. On asset pricing, financial crises, efficient markets and many other issues.

Sargent, Thomas (2010). Interview for The Region, FED Minneapolis, September 2010. On macroeconomics, financial crises and other issues.

 

Books

Allen, Franklin, and Douglas Gale (2007). Understanding Financial Crises. Clarendon Lectures in Finance, Oxford University Press.

Cochrane, John (2005). Asset Pricing, Revised Ed. Princeton: Princeton University Press.

Farmer, Roger E. H. (2010). How the Economy Works. Oxford: Oxford University Press.

Malkiel, Burton G. (2003). A Random Walk Down Wall Street. New York: WW Norton.

 

Reports

BlackRock Investment Institute

J.P. Morgan

Morgan Stanley: Global Economic Forum

 

Data

Estatísticas do Banco de Portugal—national accounts, interest rates, money and other statistics for Portugal

Instituto Nacional de Estatística—data for Portugal

 

Bureau of Economic Analysis—national accounts and other statistics for the U.S.

Bureau of Labor Statistics—labor market data

Congressional Budget Office—data on the US federal budget.

Department of the Treasury (U.S.), Office of Debt Managementadditional data on interest rates

 

FRED—a frequently used dataset from the Federal Reserve Bank of Saint Louis

 

OECD—data for OECD countries

Penn World Table—for international comparisons of GDP data

 

Central Banks

Banco de Portugal

European Central Bank

United States: Board of Governors of the Federal Reserve System

Minutes from the Federal Open Market Committee meetings

 

Associations

American Economic Association

For Graduate Students

American Finance Association

 

NBER—recent research and data

Asset Pricing

Corporate Finance

Economic Fluctuations and Growth

Monetary Economics

 

SSRN page

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