This course studies the behavior of the fundamental microeconomic agents -consumers
and producers- and revises the main results of competitive general equilibrium
theory. Likewise, this course provides a rigorous introduction to game theory
with complete information.
Contents:
- Consumer choice and demand theory.
- Production costs and supply theory.
- Competitive general equilibrium theory.
- Fundamental welfare theorems.
- Game theory with complete information.
This course revises the main models of modern information economics,
using the analysis of choice under uncertainty and game theory with incomplete
information as a benchmark.
Contents:
- Theory of choice under uncertainty.
- Game theory with incomplete information.
- Adverse selection and signaling.
- Moral hazard, incentives and contracts.
- Mechanism design.
- Auctions.
After an introduction to the theory of the firm, this course analyzes the main models of Industrial Economics and empirical applications.
Contents:
- Theory of the firm.
- Monopoly and price discrimination.
- Oligopoly.
- Product differentiation.
- Entry and exit.
- Switching costs and network externalities.
- Advertising.
Regulation and Competition Policy (Professor Gerard Llobet)
This course uses the analytical tools introduced in the Industrial Economics course to analyze regulation as a response to market failures and to assess competition policies.
Contents:
- Monopoly regulation.
- Liberalization of utility markets (electricity, telecommunications, etc).
- R&D policies: patents and innovation policies.
- Collusion.
- Vertical and horizontal integration.
- Abuse of dominant position.
This course expands the knowledge acquired in the Macroeconomics I course, extending the set of models and theories following recent developments in the discipline.
Contents:
- Endogenous growth models.
- Real business cycle models.
- Models with nominal price rigidities. - Labor market models with seach frictions.
This course reviews the main models of open economies, with special reference to
the interactions between fiscal, monetary and exchange rate policies.
Contents:
- International trade.
- The current account and the real exchange rate.
- Nominal exchange rate determination in models with price rigidities.
- Exchange rate crises and international financial markets.
The course is intended to provide students with the necessary tools to apply state of the art techniques for the forecasting of macroeconomic variables, with special emphasis on recent developments in "nowcasting" and real-time forecasting and on the questions raised by the recent economic situation.
Contents:
- Model selection: large vs small scale models, dynamic vs static factor models.
- Forecasting turning points.
- Nowcasting and real time forecasting. - Forecasting amplitudes, durations and shapes of recessions and expansions.
- Forecasting evaluation.
This course introduces the techniques of modern quantitative Macroeconomics to study economies with income and wealth inequality. One important aspect of the course is the emphasis on learning how to solve these economies in the computer. As a practical application, we will study how to quantify the aggregate, distributional and welfare implications of different public policy reforms.
Contents:
- The neoclassical growth model with heterogeneous agents and incomplete markets - Numerical techniques for solving heterogeneous agents economies - Adding human capital investment - Endogenous market incompleteness and partial insurance - Evaluation of economic policy reforms: progressive taxation and Social Security
ECONOMETRICS
Statistical Methods in Econometrics (Professor Pedro Mira)
This course provides students with the required knowledge in statistics for econometric
courses and for the topics with statistical content in other courses of the
Program. This course reviews the basic concepts of probability theory, inference
and asymptotic theory, with special reference to regression models.
Contents:
- Random variables and probability distributions.
- Multivariate random variables.
- Sample distributions.
- Estimations and hypothesis testing.
- Asymptotic theory.
This course introduces the main models and methods for estimation and inference
used in econometrics both for time series and for panel and cross-section data.
Contents:
- Regression analysis with time series.
- Simultaneity and errors in variables.
- Inference and estimation methods.
- Time series models.
- Panel data.
- Discrete choice.
This course studies econometric models for describing and predicting economic and financial time series, and analyzing the interrelations suggested by economic theory.
Contents:
- Univariate and multivariate time series.
- Unit roots and cointegration.
- Non-linear models.
- Inference with dependent observations.
- Specification tests.
- Dynamic regression models.
This course is concerned with econometric techniques for the analysis of micro data. Topics in both theoretical and applied econometrics are covered, with a view to illustrate the interaction between models, data, and methods.
The purpose of this course is to present research strategies and recent developments associated with three prominent strands of work in contemporary applied economics.
Contents:
- Evaluation of public policies.
- Structural estimation of dynamic discrete choice models.
- Cities and economic geography.
This course analyzes of the main models of risk valuation and their applications
to different financial instruments.
Contents:
- The fundamental theorem of asset pricing.
- Portfolio selection theory.
- Static models of asset pricing.
- Intertemporal models of asset pricing.
- Pricing of derivatives.
- Pricing of fixed-income securities.
- Microstructure of financial markets.
This course discusses the continuous-time asset pricing theory that is a prerequisite to understanding continuous-time derivative pricing models (such as the Black Scholes model, as well as more elaborate models). The course also covers some applications, such as various exotic options.
Contents:
- Asset pricing in discrete time: the binomial model.
- Some measure theory.
- Stochastic calculus.
- Continuous-time risk-neutral pricing.
- Forwards and futures.
- American derivative securities.
- Change of numeraire.
This course reviews the different theories on the determinants of firms’ financial decisions, most notably those concerning their financial structure as well as events such as mergers and acquisitions, and initial public offerings.
Contents:
- Modigliani-Miller irrelevance propositions.
- Theories based on taxes and financial distress costs.
- Theories based on conflicts of interest and agency problems.
- Asymmetric information theories.
- Payout policies.
- Mergers and acquisitions. - Initial public offerings.
This course focuses on understanding the functioning of the markets for credit and liquidity, and the especial role that banks play in these markets. The course also pays attention to the specificities of industrial organization, risk management, and prudential regulation in banking.
Contents:
- Traditional industrial organization and macroeconomic analysis of banks.
- Lender-borrower relationships and credit markets.
- Banks as delegated monitors.
- Banks as liquidity providers.
- Risk management in banking. - The prudential regulation of banks.
This course looks at the mitigation and management of risks from the perspective of a firm or a bank. It aims to provide a foundation in the technical tools used for hedging and financial risk analysis (e.g. VaR), and highlight some of the limitations of the state of the art. Particular emphasis is placed on interest rate risk and credit risk.
Contents:
- Constructing static and dynamic hedges in practice.
- Coherent risk measures.
- Modelling loss distributions.
- Models of interest rate risk.
- Models of credit risk.
The workshop has two main goals. First, to learn and to practice the techniques of an academic presentation. Second, to become acquainted with some of the methodological issues and the empirical evidence in different areas of Applied Economics. Each session consists of a couple of presentations by students, based on selected papers, followed by an informal discussion in class. Each session will be attended by the coordinator of the workshop and another faculty member whose area of expertise is close to the topic of the session.
Contents:
- Regulation in electricity markets.
- Transmission of monetary policy.
- Growth.
- Experimental economics.
- Natural experiments in labor economics.
- Intergenerational transmission of human capital.
- Economics of ageing.
- Corporate finance and investment.
- Business cycles and structural VAR’s.
- Industry entry models.
- Asset pricing.
The purpose of this workshop is to discuss some important economic policy issues using the tools of economic analysis provided in other courses. Each session will consist of two student presentations, based on the recommended readings as well as other relevant material, which either highlight different aspects of the topic at hand or defend conflicting views about it.
Contents:
- The monetary policy of the European Central Bank.
- Globalization and labor market reform.
- The Stern review on the economics of climate change.
- Evaluating development policy.
- Understanding the subprime crisis.
- Intelectual property rights.
