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

Betreuer: Christoph Sulewski

1. Network Analysis in Commodity Markets

     Diebold, F. X. and K. Yılmaz, K. (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.

     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.

2. Speculation in wheat futures markets – Evidence from early commodity exchanges

     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, pp. 220-229.

Betreuer: Dimitrios Kanelis

3. Monetary Policy: Quantifying monetary shocks

     Ramey, V. A. (2016), „Macroeconomic Shocks and Their Propagation”, in: Handbook of
     Macroeconomics, Vol. 2A, pp. 71-162.

     Altavilla, C., L. Brugnolini, R.S. Gürkaynak, R. Matto, G. Ragusa (2019), “Measuring euro
     area monetary policy”, in: Journal of Monetary Economics, Vol. 108, pp. 162-179.

4. Economics of financial crises and credit cycles

     Schularick, M. and A.M. Taylor (2012), “Credit Booms Gone Bust: Monetary Policy, Leverage
     Cycles, and Financial Crises, 1870-2008”, in: American Economic Review, Vol. 102(2), pp. 1029-1061.

     Baron, M. and W. Xiong (2017), “Credit Expansion and Neglected Crash Risk”, in: Quarterly Journal
     of Economics, Vol. 132(2), pp. 713-764.

     Laeven, L. and F. Valencia (2018), “Systemic Banking Crises Revisited”, WP/18/206, IMF Working Papers.

Betreuer: Alexander Pütz

5. Systemic Risk in Financial Markets

     Hautsch, N., J. Schaumburg and M. Schienle (2015), "Financial network systemic risk contributions",
     in: Review of Finance, Vol. 19 (2), pp. 685-738.

     Tobias, A. and M. K. Brunnermeier (2016), "CoVaR", in:  The American Economic Review,
     Vol. 106 (7), p. 1705.

     Härdle, W. K., W. Wang and Yu, L. (2016), "Tenet: Tail-event driven network risk", in:
     Journal of Econometrics, Vol. 192 (2), pp. 499-513.

6.  Informational Efficiency in Financial Markets

     Hou, K. and T. J. Moskowitz (2005), "Market frictions, price delay, and the cross-section of
     expected returns", in: The Review of Financial Studies, Vol. 18 (3), pp. 981-1020.

     Brogaard, J., M. C. Ringgenberg and D. Sovich (2019), "The economic impact of index investing",
     in: The Review of Financial Studies, Vol. 32 (9), pp. 3461-3499.