Nova School of Business and Economics
Universidade Nova de Lisboa
The Macroeconomics of Financial Markets—2233
2nd Semester 2015-2016 (Spring 2016), 1st Half
Prof. André C. Silva email@example.com Office Hours: Fridays 16:00-17:00, 367 webpage
Teaching Assistant: Marco Lourenço, firstname.lastname@example.org
Classes: Mondays (A209) and Wednesdays (A 223) 9:30-11:00
Exam 19 March, 9:30, room to be announced (scheduled by the department)
A great graph on asset prices over time, by CRSP: Big Picture.
A PDF of these articles is also available on Moodle.
Please, remember to upload your pictures on Moodle.
The first class will be on February 1, 9:30, room A209. See you there!
For the first class, read the text by Hayek, “The Use of Knowledge in Society.” There is a link to the text below. It is free if you connect from the network of Nova. This text is a classic! It explains the idea on the relation between prices, including prices of financial assets, and economic fluctuations. The main point to is to understand the role of prices for the best use of resources. All of this without equations.
Comments about the course (PDF)
Reports (dates subject to change)
Feb 18, Thursday
Mar 3, Thursday
Choice between: 1. The yield curve; 2. Fixed income; and 3. Sovereign debt crises
Mar 10, Thursday
Additional Data, Texts, and Slides
See the course webpage on Moodle: link.
Because of the need 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). “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.
Barro, Robert (2005). Interview. The Region, FED Minneapolis, September 2005. Public deficit, economic growth, inflation targeting and other topics.
Bernanke, Ben S. (2004). Interview. The Region, FED Minneapolis, June 2004. On October 2005, Bernanke was appointed chairman of the Federal Reserve System.
Fama, Eugene (2007). Interview. The Region, FED Minneapolis, December 2007. Asset pricing, financial crises, efficient markets and many other issues.
Hansen, Lars P. (2015). Interview. The Region, FED Minneapolis, December 2015. Asset pricing and uncertainty.
Sargent, Thomas (2010). Interview for The Region, FED Minneapolis, September 2010. Financial crises, macroeconomics, and other issues.
Allen, Franklin, and Douglas Gale (2007). Understanding Financial Crises. Clarendon Lectures in Finance, Oxford University Press.
Bodie, Zvi, Alex Kane, and Alan J. Marcus (2014). Investments, 10th Global Ed. MacGraw-Hill.
Cochrane, John (2005). Asset Pricing, Revised Ed. Princeton: Princeton University Press.
Farmer, Roger E. H. (2010). How the Economy Works. Oxford: Oxford University Press.
Ilmanen, Antii (2011). Expected Returns: An Investor's Guide to Harvesting Market Rewards, Wiley.
Malkiel, Burton G. (2003). A Random Walk Down Wall Street. New York: WW Norton.
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 very useful dataset, from the Federal Reserve Bank of Saint Louis
OECD—data for OECD countries
Penn World Table—for international comparisons of GDP data
NBER—recent research and data. Look for the Working Papers of the Asset Pricing group
Other Resources and Blogs