Macroeconomics of Finance 2400-QFU1MAF
The detailed content of the course is presented below.
Part one (finance)
• Preliminaries: basic financial arithmetic
• Risk and return principles: the Markowitz framework
• Capital Asset Pricing Model: theory and applications
• Introduction to derivatives
Part two (macroeconomics)
• Monetary policy: instruments and goals, monetary policy rules, monetary transmission mechanism,
• Exchange rates: exchange rate regimes, determinants of exchange rates, currency crises;
• Fiscal policy: determinants of sovereign bonds yields, public debt dynamics, fiscal sustaina-bility;
• Financial cycles and business cycles
Type of course
The student after completion of this course should:
• know the concept of mean-variance portfolio efficiency;
• distinguish between idiosyncratic and systematic risk factors and understand why investors are only rewarded for taking systematic risk;
• understand that the expected value of something is not a good guide to its price;
• understand the role of the central bank and be able to explain how the central banks operate;
• know different exchange rate regimes and be able to explain their advantages and disadvantages;
• know theory of exchange rate determination;
• be able to analyze the public debt dynamics and understand risks associated with high public debt;
• know the concept of financial cycle
Final assessment is based on the following components:
• Mid-term – 50%
• Final exam – 50%
Literatura do części dr Jabłeckiego:
Blake, D. (2000). Financial market analysis, Wiley
Blyth, S. (2013). An Introduction to Quantitative Finance.
Oxford University Press.
Derman, E. (2013). The Young Person’s Guide to Pricing
and Hedging. Mimeo, www.ederman.com
Hull, J. C. (2009). Options, Futures, and Other derivatives
Literatura do części dr Joanny Mackiewicz-Łyziak:
Baldacci, E., Kumar, M. (2010). Fiscal Deficits, Public Debt, and Sovereign Bond Yields. IMF Working Paper 10/184.
Bofinger, P. (2001). Monetary Policy: Goals, Institutions, Strategies, and Instruments. Oxford: Oxford University Press.
Bohn, H. (1998). The Behavior of U.S. Public Debt and Deficits. The Quarterly Journal of Economics, 113, 949-963
Borio, C. (2012). The financial cycle and macroeconomics: What have we learnt? BIS Working Paper No 395.
Friedman, B. (2005). Deficits and Debt in the Short and Long Run. NBER Working Paper 11630
Gandolfo, G. (2002). International Finance and Open-Economy Macroeconomics. Berlin: Springer Verlag.
Mishkin, F. (2014). The Economics of Money, Banking and Financial Markets. 11th ed. Boston: Pearson International Edition.
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: