Financial and Macro Econometrics
| Code | School | Level | Credits | Semesters |
| ECON4027 | Economics | 4 | 15 | Spring UK |
- Code
- ECON4027
- School
- Economics
- Level
- 4
- Credits
- 15
- Semesters
- Spring UK
Summary
The module extends the coverage of advanced econometric modelling techniques and considers their application through the study of selected topics in finance and macroeconomics, developing familiarity and critical awareness of empirical research in these areas.
It covers techniques for the analysis of stationary ARMA processes, Vector Autoregressions (VARs), linear regression models, linear systems of simultaneous equations, cointegration, long-run structural VARs, forecasting, and models of changing volatility. The selected topics include the econometric analysis of business cycle fluctuations, of wage, price and (un)employment determination, of exchange rate determination, and of portfolio choice and stock market returns.
Target Students
Available for PGT and PGR students in the School of Economics. Also available for students on the MSc Financial and Computational Mathematics degree.
Classes
This module is delivered through a series of lectures.
Assessment
- 30% Coursework: Group Project
- 70% Exam (2-hour): Exam
Assessed by end of spring semester
Educational Aims
Having completed the module, students will have:the analytical techniques necessary to be able to read and critically evaluate published academic literature involving econometric analysis in macroeconomics and finance;familiarity with the key features of the published academic literature in selected areas of macro and financial econometrics;understanding of the research methods available to academic economists together with the ability to apply these through project work.Learning Outcomes
A Knowledge and Understanding. Students should demonstrate:
A3: An understanding of advanced quantitative methods
A4: An advanced knowledge of specialisms in economics, including the current state of research in that field
C Professional and practical skills. Students should be able to:
C3: Apply appropriate quantitative methods (mathematical, statistical, graphical) to data and evidence
D Transferable (key) skills. Students should be able to:
D2: Use appropriate IT packages effectively
D3: Undertake independent study of an economic subject.