Universidade
Nova de Lisboa
Faculdade de Economia
The Macroeconomics of Financial
Markets—2233
1st Semester 2012-2013
(Fall 2012)
Prof.
André C. Silva acsilva@novasbe.pt Office Hours: Fridays 15:30-16:30, 334 webpage
Teaching
Assistant: Carla
Peixoto, cpeixoto@novasbe.pt
Classes:
Mondays (Room Asia) and Wednesdays (Room 219), 9:30am-11:00am
Syllabus
(PDF)
Exam October 19, Friday, 4:00pm, Room: Salão Nobre
(scheduled by the department)
Announcements
|
Oct 29 |
I have already sent the grades to the Masters office. There have been
many good grades and you had a great performance in general, congratulations.
The review of the exam will be on Tuesday, at 19:30, room 129. I hope you
enjoyed the course as I enjoyed teaching it. Feel free to talk to me about
macroeconomics and finance. Good luck on your future assignments! |
|
Oct 8 |
Take a look at these two articles from the press. On the Financial
Times, this short report on currencies (link,
the text is also on Moodle). And especially this article on the Economist
about the Bundesbank, the ECB, and central bank independence (link). This article from
the Economist relates directly to the class on monetary policy and fiscal
policy, and to the class on the implementation of monetary policy. |
|
Oct 2 |
A number of relevant articles on The Economist, take a look: Boomers, Public Debt, Libor, Money. On Public Debt,
contrast with this one: link. |
|
Oct 1 |
Take a look at this speech by Bernanke made today, “Five Questions
about the Federal Reserve and Monetary Policy”: link. |
|
Sep 28 |
About the implementation of monetary policy, take a look at the
article below by Kocherlakota “The Tools of the FOMC.” |
|
Sep 27 |
For the next class, read the text by Barro “What the FED can’t do,” on
Moodle. |
|
Sep 25 |
I included on Moodle a recent interview with Sargent (Morningstart
Advisor April/May 2012). The interview is about the crises in the United States
and in Europe. It has many parts directly related to the discussion in class.
For those that are curious, I also included on Moodle the article on the
unpleasant monetarist arithmetic, by Sargent and Wallace. |
|
Sep 24 |
The section below, on the crisis of 2008 and
the debt crisis, has a number of papers related to the recent events. Take a
look there. Especially related to today’s and next classes, read the paper on
financial repression. |
|
|
It is common to see current account deficits and surpluses as an
explanation for the financial crisis and the debt crisis. Not so fast. This
article by Backus and Cooley at the Wall Street Journal talks about this (link). |
|
Sep 19 |
For the next classes, read this interview with Sargent (link),
on financial crises and other topics related to the course. See in particular
his comments on the unpleasant monetarist arithmetic. (The full reference to
the interview is listed below, in Various.) |
|
The Morningstar Advisor made an interview with John Cochrane and Harald
Uhlig about money, the debt crisis and other topics. Take a look (link).
Cochrane and Uhlig are two researchers with work on Macroeconomics and Finance. |
|
|
Sep 18 |
News on the Economist, on the debt crisis: Germany and the euro; ECB’s bond-buying plan. |
|
Sep 17 |
Take a look at this figure with data on public debt, from the
Economist (link). |
|
Sep 14 |
The Federal Reserve released the statement of the last meeting of the
Federal Open Market Committee. Here is the link.
The main policy action is the additional purchase of Mortgage Backed
Securities; more information about this is here. |
|
Next class we will talk about the yield curve as a leading indicator.
Take a look at this page
to start thinking about this. |
|
|
Sep 10 |
Take a look at this interview
with Eugene Fama (also listed below). It has many parts related to our
discussion on Asset Pricing. |
|
Sep 6 |
A good source for the material of the next classes is the first two
chapters of the book Asset Pricing, by Cochrane. The full reference is below,
in Books. |
|
Aug 22 |
For the first class, read the text by Hayek, “The Use of Knowledge in
Society.” There is a link to the text below. |
|
Aug 10 |
The first class will be on Wednesday, September 5, room to be
announced. See you there! |
Reports
|
|
Due Date |
|
Report 1 |
September
19 |
|
Report 2 |
September
26 |
|
Report 3 |
October
3 |
|
Report 4 |
October
10 |
Additional
Data, Texts, and Slides
See
the course webpage on Moodle: link.
Readings
Because of the payment of
subscriptions, 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). “The Tools of the FOMC.” A speech of the president of the Minneapolis
FED 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: DouglasW. 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 The Region, FED Minneapolis,
December 2007. On asset pricing, financial crises, efficient markets and many
other issues.
Sargent, Thomas (2010). Interview
for the 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
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 Management—additional 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
United
States: Board of Governors of the Federal Reserve System
Minutes from the
Federal Open Market Committee meetings
Associations
NBER—recent
research and data
Economic
Fluctuations and Growth
Nova School of
Business and Economics