Academic Year 2017-2018, Semester 1
Course Syllabus in PDF
Time and Location:
- Fridays 13:00 pm – 16:00 pm
- Location：Xin Shang Yuan S303
Office Hour and Contact:
The most efficient way to contact me is by email, and I will usually reply in 24 hours. Office hour is available by appointment. My email address is email@example.com. My office is in Antai College of Economics and Management, B705.
This course focuses on methods and tools in time series analysis. We will apply these methods and tools to analyze problems in macroeconomics and finance. The students are expected to understand and solve problems in estimating and testing various macro-finance models models.
The prerequisite for this course is intermediate-level courses in Macroeconomics, Finance and Econometrics (for example, Econometrics Analysis by William Greene).
Textbooks and References:
- Require textbooks and manuscripts:
- Time Series Analysis, by James Hamilton, Princeton University Press, 1994. (TSA)
- Asset Pricing, Revised Edition, by John H. Cochrane, Princeton University Press, 2005. (AP)
- Time Series for Macroeconomics and Finance, by John H. Cochrane, Lectures Notes for Ph.D. Students in Finance, The University of Chicago, 2005. (TSMF)
- Financial Markets and the Real Economy, by John H. Cochrane (FMRE)
- Reading List (Tentative)
- Recommended textbooks:
- For the tips on preparation of presentation and writing papers
- Cochrane, J. (2005) Writing tips for PhD students
- Useful websites for data and programming
- There will be class assignments and a final exam. You are also required to write a referee report and give a 30-minutes presentation of a research paper of your choice within the pool of required readings (part II). The final grade is based on the weighted average of the homework, presentation, referee report and final exam grades. The following weighting schemes will determine your final grade for the course:
- Class Assignments: 30%
- Presentation and Referee Report: 20%
- Final Exam: 50%
- You are encouraged to work on homework in groups, but each one of you must hand in a copy of homework separately. For empirical parts of the homework, you don’t need to submit your program codes, but you should submit the final results of your computation with explanation. No late submission of homework will be accepted.
Class Presentation and Referee report:
- Each student must sign up to do a 30-minute class presentation of a paper. You should hand out copies of your slides before the presentation. In addition a referee report for the paper you resented will be due by the end of the semester. The referee report should be no more than 10 pages with at least 11 pt Time New Roman Font and 1.5 line spacing.
- A Brief Guide for Writing Your Report as a Referee
- Students are encouraged to actively participate in the class discussion. Such activities include comments and questions for lecturer in the class as well as for presenters in the group presentation.
- Plagiarism is taken very seriously. Students had been caught plagiarizing in class assignments, term paper, and/or quizzes in this course have been severely penalized. Any student caught cheating in any class assignments, term paper, and/or exams will be failed in this course and reported to the school for further penalty.
- If a student is absent from the exam or late for more than 30 minutes without any medical certificate or other verifiable excuses (subject to the approval of lecturer), there will be no make-up exam and the grade will be counted as zero.
Part I: Time Series Analysis
- ARMA Models, Autocorrelation, Prediction and Impulse-Response Functions
- Wold representation, VAR and Kalman Filter
- Spectral Analysis
- Unit Root and Cointegration
Part II: Empirical Analysis of Macro-Asset-Pricing Models
- Return predictability and Time Variation in Risk Premia
- Equity Premium Puzzle and Consumption-Based Asset Pricing Models
- Production Based Asset Pricing and Investment Models
- Cross-Section Variation in Risk Premia
- Uncertainty and Long-Run Risk
- Incomplete Market, Market Frictions and Asset Prices
- Incomplete Market and Idiosyncratic Risk
- Transaction Costs and Liquidity
- Short-Sale Constraints and Borrowing Constraints