Project Course, summer term 2021
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: 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.