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