Project Course

Summer Term 2020

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: Martin Stefan

3. 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. und K. Shrestha (2009), "A new information share measure", in: Journal of Futures Markets,
     Vol. 29 (4), pp. 377-395.

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

4.  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.

 

Betreuer: Alexander Pütz

5. 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.

6.  Effects of Central Bank Policy on Commodity Prices

     Frankel, J. A. (2006), "The Effect of Monetary Policy on Real Commodity Prices", National Bureau of
     Economic Research Working Paper
, No. 12713.

     Anzuini, A., M.J. Lombardi and P. Pagano (2013),  "The Impact of Monetary Policy Shocks on Commodity
     Prices", in: International Journal of Central Banking, Vol. 9 (3), pp. 125-150.