Learning objectives
Knowledge and understanding The student:
-will learn to understand the main current financial and credit phenomena and key measures taken by ECB since 2007.
-will learn to evaluate what is happening on financial and credit markets, and to evaluate central bank interventions.
Applying knowledge and understanding)
-Learning about specialized tools of finance for the analysis of macroeconomic models at advanced level.
Making judgments
-Ability to assess and make independent evaluations about findings of analysis financial sector and central bank actions.
Communication skills
-Ability to draw up and present criticism of financial and credit markets, the crisis in these markets and central bank solutions.
Learning skills.
-Ability to present complex topics concisely using formal language, description and examination of institutional phenomena
- Ability to use an econometric software
Prerequisites
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Course unit content
The course is divided into two parts. The first is held by prof. Giovanni Verga, the second by prof. Francesco Fallucchi.
The first part of the course presents some financial theories with their applications and describes the monetary policy of the ECB:
- The main concepts of efficiency in finance. Price, return andexpectations
- Asset returns and prices in equilibrium
- A test for information arbitrage efficiency
- Fundamental valuation efficiency and rational bubbles
- Risky bond yields
- Interaction between American and European Interest Rates
- Expectations and Central bank communications
- The impact of heterogeneous expectations on price formation
- Bubbles, Human Judgment, and Expert Opinion
- The ECB's monetary policy
- The credit easing in USA
- Part two:
- The Fed's monetary policy
- Four phenomena of behavioural economics and their applications to finance
- Problems in forecasting
- The degree of integration of economic variables and cointegration
- How to include I(0) and I(1) variables in a regression
- Econometric methods employed in estimating the relation between Euro and American interest rate with cointegration, OLS, GMM
- Logit, Probit and Tobit models
- Nonlinear least squares
- Econometric estimations made by students of the course
Full programme
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Bibliography
FINANCIAL ANALYSIS AND FORECASTING a.a. 2021-22 Parte prima: Prof. Giovanni Verga, Dispensa n.1
FINANCIAL ANALYSIS AND FORECASTING a.a. 2021-22 Parte prima: Prof. Giovanni Verga, Dispensa n.2
FINANCIAL ANALYSIS AND FORECASTING a.a. 2021-22 Parte prima: Prof. Giovanni Verga, Dispensa n.3 “ECB’s and Fed’s Monetary Policy”
FINANCIAL ANALYSIS AND FORECASTING a.a. 2021-22 Prof. Giovanni Verga – Prof. Francesco Fallucchi, Dispensa n.4 “Econometric Estimations”
Academic Articles:
- -Benartzi, S., & Thaler, R. H. (1995). Myopic loss aversion and the equity premium puzzle. The quarterly journal of Economics, 110(1), 73-92.
-Barber, B. M., & Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The quarterly journal of economics, 116(1), 261-292.
-Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The review of financial studies, 21(2), 785-818.
-Cohn, A., Engelmann, J., Fehr, E., & Maréchal, M. A. (2015). Evidence for countercyclical risk aversion: An experiment with financial professionals. American Economic Review, 105(2), 860-85.
Dispense will be available on course website and also available from the “Dipartimento di Scienze Economiche e Aziendali” photocopy service. Academic articles will be available in Elly and on Google Scholar.
Teaching methods
Acquisition of knowledge: class lectures and discussions of concrete problems
Acquisition of the ability to apply knowledge: discussion of financial and credit issues and Central Bank’s interventions
Acquisition of judgment:
During the course students will be encouraged to link theory to real world of finance and credit and to discuss the various possible monetary policy interventions to tackle the economic crisis
Acquisition of learning skills:
for each topic students will start from a description of the problem and critically analyse solutions.
Acquisition of technical language: during the course the meaning of the terms commonly used by the community will be illustrated
Assessment methods and criteria
Written exam with possible oral integration at the discretion of the teacher.
The maximum final score for the first part of the course is 30/30 and will be calculated in the following way:
- Knowledge, ability to apply knowledge, and autonomy of judgment will be ascertained with the answers to two open questions, each divided into several specific points, which will be evaluated up to 15 points.
-The ability to communicate with appropriate technical language will be ascertained through the formal precision of the answers.
- Any oral integration will serves to clarify some doubtful points in the answers.
- The groupwork of the second part, presented in English, will count for 50% of the final grade. Those not willing to present the groupwork can opt for an extra question during the written exam regarding one of the topics of the second part of the course plus a practice test at the pc with the lecturer.
The overall score is given by the average of the scores of the first and second part of the course.
The final mark will be 30 cum laude when all the parts of the exam (written text or oral exposition; teamwork or other forms of cooperative work) are excellent for completeness, clarity, brightness, vividness and organization of the answers, capacity of multidisciplinary connections
Other information
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