Financial cycles and macroeconomics
|Kod Erasmus / ISCED:||
|Nazwa przedmiotu:||Financial cycles and macroeconomics|
|Jednostka:||Wydział Nauk Ekonomicznych|
|Punkty ECTS i inne:||
The aim of the course is to prepare students to write a bachelor thesis. The topics discussed during the seminars are related to financial cycles, macro-finance, and the open macroeconomy, in particular empirical and theoretical models of domestic and global financial cycles and their linkages with the real economy. The seminar is intended for 3rd year students. The class is passed upon delivering the thesis.
The aim of the seminar is to familiarize the students with empirical and theoretical methods of financial cycles and macro-finance analysis and to prepare them to be able to write the Bachelor’s thesis.
The thesis may be based on one of the following empirical or theoretical models:
1. Empirical data and tools to characterize domestic and global financial cycles and their interactions with the real economy.
2. Empirical models of financial and business cycles.
3. Macro-finance models, i.e. models of frictions in the housing and financial markets.
4. Models of monetary and macro-prudential policies
5. Open economy macro models
Example topics that the thesis can contain are
1. The measurement of domestic and global financial cycles
2. The nature of financial and real business cycles
3. The interlinkages between financial cycles and monetary and macro-prudential policies
4. The relationship between asset prices and economic fluctuations
5. The impact of foreign financial and monetary policy shocks on domestic financial and real cycles
The first part of the course will be devoted to presenting the formal requirements of the thesis and to the discussion of selected empirical and/or theoretical articles and models. The second part of the course will be devoted to students’ presentations on their chosen topic and in preparing their theses.
The non-exhaustive list of literature is as follows. Besides, the list can be extended and tailored based on students’ research interests.
Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. Handbook of macroeconomics, 1, 1341-1393.
Borio, C. (2014). The financial cycle and macroeconomics: What have we learnt?. Journal of Banking & Finance, 45, 182-198.
Borio, C., Drehmann, M., & Xia, F. D. (2020). Forecasting recessions: The importance of the financial cycle. Journal of Macroeconomics, 66, 103258.
Claessens, S., Kose, M. A., & Terrones, M. E. (2011, May). Financial cycles: what? how? when?. In NBER International Seminar on Macroeconomics (Vol. 7, No. 1, pp. 303-344). Chicago, IL: University of Chicago Press.
Claessens, S., & Kose, M. A. (2018). Frontiers of macrofinancial linkages. BIS Paper, (95).
Drehmann, M., Borio, C. E., & Tsatsaronis, K. (2012). Characterising the financial cycle: don't lose sight of the medium term!. BIS Working Papers, no 380, June.
Erceg, C.J., Lindé, J. Adrian, T., Zabczyk, P. & Zhou, J. (2020). A Quantitative Model for the Integrated Policy Framework. IMF Working Papers 2020/122
Geanakoplos, J. (2014). Leverage, default, and forgiveness: Lessons from the American and European crises. Journal of Macroeconomics, 39, 313-333.
Gertler, M., & Kiyotaki, N. (2010). Financial intermediation and credit policy in business cycle analysis. In Handbook of monetary economics (Vol. 3, pp. 547-599). Elsevier.
Hansen, L. P. (2013). Challenges in identifying and measuring systemic risk. Risk topography: Systemic risk and macro modeling, 15-30.
Iacoviello, M. (2005). House prices, borrowing constraints, and monetary policy in the business cycle. American economic review, 95(3), 739-764.
Jermann, U. & Quadrini, V. (2012). Macroeconomic Effects of Financial Shocks. American Economic Review, vol. 102(1), 238-271.
Jordà, Ò., Schularick, M., & Taylor, A. M. (2017). Macrofinancial history and the new business cycle facts. NBER macroeconomics annual, 31(1), 213-263.
Kiyotaki, N., & Moore, J. (1997). Credit cycles. Journal of political economy, 105(2), 211-248.
López-Salido, D., Stein, J. C., & Zakrajšek, E. (2017). Credit-market sentiment and the business cycle. The Quarterly Journal of Economics, 132(3), 1373-1426.
Mian, A., Sufi, A., & Verner, E. (2020). How does credit supply expansion affect the real economy? the productive capacity and household demand channels. The Journal of Finance, 75(2), 949-994.
Pfeifer, J. (2016). Macroeconomic Effects of Financial Shocks: Comment. Dynare Working Papers 50, CEPREMAP.
Rey, H. (2015). Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence. CEPR Discussion Papers 10591.
Schularick, M. & Taylor, A.M. (2012). Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008. American Economic Review, American Economic Association, vol. 102(2), 1029-1061, April.
|Efekty uczenia się:||
Learning outcomes After completing the seminar, the student:
1. Obtains knowledge of the methods and tools to acquire relevant data and to analyse financial cycles and macro-finance topics.
2. Can provide extensive literature reviews and analyse the sources.
3. Is able to formulate research questions and state hypotheses and then identify the appropriate data and methods to verify the stated hypotheses.
4. Can present the results of his/her work in the form of a scientific paper in line with the formal requirements.
5. Can formulate a plan of action, state the priorities and deliver the work on their own meeting the deadline.
KW01, KW02, KW03, KU01, KU02, KW03, KK01, KK02, KK03
|Metody i kryteria oceniania:||
The grade for the first semester will be based on the students’ presentations on their progress in writing the thesis. The grade for the second semester will be based on the submission of the final version of the thesis.
Właścicielem praw autorskich jest Uniwersytet Warszawski, Wydział Nauk Ekonomicznych.