Summer Term 2019

 

Target audience and registration

The course is only available for five students each semester of the Masters program in Economics. 6 Credits (PO 2012 and PO 2015) can be obtained. Assignments are based on the "first-come, first-serve" principle. The registration at the examination office has to be done before the early-exams-deadline.

Course

Each student has to conduct an empirical study and write a paper of appr.20 pages.

Topic

The chair  focuses on topics concerning financial markets, commodities and monetary economics. The chosen topic should cover one of these areas. Personal preferences and ideas are always welcomed and considered. Basic knowledge in econometrics and empirical research is mandatory. Knowledge in Excel and econometric software is beneficial.

Master-thesis

Once the project course is successfully completed, the empirical results can serve as the basis for the Master-thesis.

Contact person

Please contact directly the tutor which offers topics concerning your interest.

 

Topic-suggestions

 

Tutor:  Claudia Wellenreuther

1. The Impact of Speculation on Spot and Futures prices in Commodity Markets

     Brunetti, C. and B. Buyuksahin (2009), "Is Speculation Destabilizing?", Working Paper.

     Bohl, M. T. and P. Stephan (2013), "Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity
     Markets" in:  Journal of Agricultural and Applied Economics, Vol. 31, pp. 595-616.

     Kim, A. (2015), "Does Futures Speculation Destabilize Commodity Markets?", in:
     Journal of Futures Markets, Vol. 35 (8), pp. 696-714.

2. Drivers of Price Volatility in Commodity Futures Markets

     Kaufmann, R.K. (2011), “The role of market fundamentals and speculation in recent price changes for crude oil”,
     in: Energy Policy, Vol. 39 (1), S. 105-115.

     Manera, M., M. Nicolini and I. Vignati (2016), “Modelling futures price volatility in energy markets: Is there a role
     for financial speculation?", in: Energy Economics, Vol. 53, S. 220-229.

    

Tutor: Christoph Sulewski

3. Risk Transmission in the Banking Sector

     Demirer, M., F.X. Diebold, L. Liu and K. Yilmaz (2018), “Estimating global bank network connectedness",
     in: Journal of Applied Econometrics, Vol. 33 (1), pp. 1-15.

4. Network Analysis in Commodity Markets

     Diebold, F. X. and K. Yılmaz (2014), "On the network topology of variance decompositions: Measuring the
     connectedness of financial firms", in: Journal of Econometrics, Vol. 182 (1), pp. 119-134.

     Kang, S.H., R. McIver and S. M. Yoon (2017), "Dynamic spillover effects among crude oil, precious metal, and
     agricultural commodity futures markets", in: Energy Economics, Vol. 62, pp. 19-32.

 

Tutor: Martin Stefan

5. Price Discovery in the Bitcoin Market

     Lien, D. and K. Shrestha (2009), „A New Information Share Measure“, in: Journal of Futures Markets,
     Vol. 29 (4), pp. 377-395.

     Brandvold, M., P. Molnar, K. Vagstad und O. Valstad (2015): „Price Discovery on Bitcoin Exchanges”, in:
     Journal of International Financial Markets, Institutions and Money, Jg. 36, S. 18-35.

     Dimpfl, T. and D. Baur (2018): „Price Discovery in Bitcoin Spot or Future?“, Working Paper:
     https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3171464.

6. Price Discovery in Agricultural Commodity Markets

     Gonzalo, J. and C. Granger (1995), “Estimation of Common Long-Memory Components in Cointegrated
     Systems”, in: Journal of Business & Economic Statistics, Vol. 13 (1), pp. 27-35.

     Narayan, P. K. and S. S. Sharma (2018), “An Analysis of Time-Varying Commodity Market Price Discovery”,
     in: International Review of Financial Analysis, Vol. 57, pp. 122-133.

 

Tutor: Alexander Pütz

7. Market Efficiency in Commodity Markets

     Kristoufek, L. and M. Vosvrda (2014), "Commodity futures and market efficiency", in: Energy Economics,
      Vol. 42, pp. 50-57.

     Charles, A., O. Darné and J.H. Kim (2015), "Will precious metals shine? A market efficiency perspective",
     in: International Review of Financial Analysis, Vol. 41, pp. 284-291.

     Rösch, D.M., A. Subrahmanyam and M.A. Van Dijk (2016), "The dynamics of market efficiency", in:
     Review of Financial Studies, Vol. 30 (4), pp. 1151-1187.

8. The Empirical Link between Economic Uncertainty and Financial Markets

     Baker, S.R., N. Bloom and S.J. Davis (2016), "Measuring economic policy uncertainty", in:
     The Quarterly Journal of Economics, Vol. 131 (4), pp. 1593-1636.

     Brogaard, J. and A. Detzel (2015): "The asset-pricing implications of government economic policy uncertainty",
     in: Management Science, Vol. 61 (1), pp. 3-18.

     Pástor, L. and P. Veronesi (2013), "Political uncertainty and risk premia", in: Journal of Financial Economics,
     Vol. 110 (3), pp. 520-545.