Project Course, winter term 2020/2021
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: Martin Stefan
3. Systemic risk in interbank markets
Upper, C. and A. Worms (2004), "Estimating bilateral exposures in the German interbank market:
Is there a danger of contagion?", European Economic Review, Vol. 48 (2), pp. 827-849.
v. Lelyveld, I. and F. Liedorp (2006), "Interbank contagion in the Dutch banking sector: A sensitivity
analysis", in: International Journal of Central Banking, Vol. 2 (2), pp. 99-133.
Nier, E., J. Yang, T. Yorulmazer and A. Alentorn (2007), "Network models and financial stability", in:
Journal of Economic Dynamics & Control, Vol. 31 (6), pp. 2033-2060.
Upper, C. (2011), "Simulation methods to assess the danger of contagion in interbank markets", in:
Journal of Financial Stability, Vol. 7 (3), pp. 111-125.
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. 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.