Project Course

Winter 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.


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


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.


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.




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. Where are Bitcoin prices made?

     Hasbrouck, J.  (1995), „One security, many markets: Determining the contributions to price discovery", in:
     Journal of Finance, Vol. 50 (4), pp. 1175-1199.

     Lien, D. and K. Shrestha (2009), „A new information share measure“, in: Journal of Futures Markets,
     Vol. 29 (4), pp. 377-395.

     Dimpfl, T. and D. Baur (2018), „Price discovery in Bitcoin spot or future?“,  in: Journal of Futures Markets,
     Vol. 39 (7), pp. 803-817.

6. What determines the price of CO2 allowances?

     Alberola, E., J. Chevallier and B. Cheze (2008), "Price drivers and structural breaks in European carbon
     prices 2005-2007", in: Energy Policy, Vol. 36 (2), pp. 787-797.

     Paolella, M. S. and L. Taschini (2008), “An econometric analysis of emission allowance prices”,
     in: Journal of Banking & Finance, Vol. 32 (10), pp. 2022-2032.

     Chevallier, J. (2009), “Carbon futures and macroeconomics risk factors: A view from the EU ETS”,
     in: Energy Economics, Vol. 31 (4), pp. 614-625.


Tutor: Alexander Pütz

7. Factor Models in Commodity Markets

     Byrne, J. P., Fazio, G. and N. Fiess (2013), “Primary commodity prices: co-movements, common factors and
     fundamentals”, in: Journal of Development Economics, Vol. 101, pp. 16-26.

     Delle Chiaie, S., L. Ferrara and D. Giannone (2017), “Common factors of commodity prices”,
     ECB Working Paper, No. 2112.

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.

     Caldara, D. and M. Iacoviello (2018), “Measuring geopolitical risk”, FRB International Finance Discussion
, No. 1222.