Topics on Economic Analysis

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1 Topics on Economic Analysis Part I : Microeconomics Define and explain economic issues and concepts relative to producers and consumers optimal choice and market equilibrium. Understand how individuals and firms make their optimal choices. Determine consumer and firm s equilibrium both graphically and using calculus. Part II : Macroeconomics Understand different models of aggregate income determination. Apply the different models in determining the equilibrium aggregate income. Demonstrate, for each model, how the general equilibrium is determined Understand different models of economic growth. Apply the different models of economic growth in determining the equilibrium economic growth rate. Demonstrate, for each growth model, its the engine of growth. Demonstrate how each model obtains a constant marginal productivity of capital. Compare and discuss the various models studied. Select appropriate models depending on the topics under analysis. Part I : Microeconomics Economic Models Consumer Theory Theory of the Firm Part II : Macroeconomics Classic Model IS/LM Model Mundell-Fleming Model Solow s Model AK Model

2 Part I: Microeconomics Varian, Hal R. (2010) Microeconomia Intermédia. 8ª Edição. Verlag Dashöfer. Abel Mateus e Margarida Mateus (2001), Microeconomia. Teoria e Aplicações, Vol I, 2001, Editorial Verbo. Part II: Macroeconomics Dornbusch, R., Fischer, S. and Startz, R. (1998), Macroeconomics, 7ªed. McGraw-Hill. Jones, C. (2002) Introduction to Economic Growth, 2ªed. WW Norton&Company. Mankiw, N.G. (2003), Macroeconomics, 6ª ed. Worth Publishers. New York. Thompson M. (2008), Generating Economic Growth: An Analytical Survey. The Open Economics Journal, 1: Teaching Staff Support Texts

3 Topics of Econometrics List the main assumptions for each estimation method. Describe the main properties of each estimation method. Prove the most important properties and theorems. Identify the suitable Econometric methods for different empirical analysis in Economics. Develop strategies to adapt the analysed methods to specific problems in empirical applications, such as missing data, data with noise, endogeneity problems and spurious correlations. Apply different methods to the analysis of economic and financial data. Topics on cross section models: The linear regression model; Inference; Functional form and specification; Heteroskedasticity; Instrumental variables and endogenous regressors Topics on time series models: Autocorrelation; ARIMA processes; ARIMA modelling and forecasting; VAR models and cointegration; Volatility Heij, Christiaan, Paul de Boer, Philip Hans Franses, and Teun Kloek (2004). Econometric Methods with Applications in Business and Economics, Oxford University Press. Brooks, C. (2008), Introductory Econometrics for Finance, 2nd Ed., Cambridge University Press. Wooldridge, J.M. (2006), Introductory Econometrics: A Modern Approach, 3rd Ed., Thomson South-Western.

4 Topics of Financial Economics To discuss, fundament and critic the different models of stock and bond valuation. To identify, discuss and apply the methods of optimal portfolio choice. To interpret, critic and apply the CAPM model and explain its fundamentals. To identify and interpret the relation between arbitrage and preferences and discuss the major underlying theoretical models. To discuss the performance of the models of asset valuation and their applications to the futures and options markets, the term structure of the interest rates, and stochastic volatility. Introduction: present value; stock and bond valuation Portfolio theory and the CAPM model Preferences, risk and portfolio and assets choice: the CAPM model in general equilibrium Arbitrage and preferences: the Arrow-Debreu model; the Lucas model; Black-Scholes model Assets valuation and empirical evidence: puzzles; stock market fluctuations Applications: futures; incomplete markets; stochastic volatility; options; interest rates Brealey, R; Myers, S; Allen, F (2011). Principles of Corporate Finance, 10th Edition. McGraw-Hill, International Student Edition. Cochrane, J. H. (2005). Asset Pricing, Revised Edition. Princeton University Press. Duffie, D. (2001), Dynamic Asset Pricing Theory, 3rd Edition, Princeton University Press. Eichberger, J.; Harper, I. R. (1997). Financial Economics. Oxford University Press. Elton, E. J.; Gruber, M. J.; Brown, S. J.; Goetzmann, W. N. (2009). Modern Portfolio Theory and Investment Analysis, 8 th Edition. Wiley.

5 Topics on Monetary Economics Explain the importance of the currency, market and financial institutions in economic activity. Understanding the determinants of supply and demand for money and the process of formation of interest rate. Describe the process of creation / destruction of currency, monetary multiplier to calculate and explain their determinants. Explain the objectives, instruments and transmission mechanisms of fiscal, monetary and exchange in an open economy. Evaluate the fiscal, monetary and exchange rate of the Euro Area. Interpret reports, news and information quantitative monetary, financial and economic. BLOCK A: Financial System and Monetary Policy BLOCK C: The European Economic and Monetary Union BLOCK B: Macroeconomic Stabilization Policy: A Question of Timing and Relative Efficacy of Monetary and Fiscal. MANUAL E AULAS ESCRITAS NA PLATAFORMA E-LEARNING FERRAZ, A.M.S. (2002), ECONOMIA MONETÁRIA INTERNACIONAL TEORIA E PRÁTICA, ESCOLAR EDITORA, LISBOA. BANCO DE PORTUGAL: SÍTIO NA INTERNET

6 Topics on Banking Economics Interpreting the banking foundations; Analyze the main banking regulation and its implications Reflecting on the main models of the economy bank; To analyze the performance bank; Measuring the influence of the growth of banking in developing economies; Reflecting on the risk and credit policies Bank fundamentals of the economy The banking system; banking regulations; the organization of the banking market. The Basel agreements and their conditions. Measures of performance in banks. Determining the risk Analysis of products banking / financial The theory of the banking firm: key models, credit rationing, new trends and new instruments in the banking Incomplete information and reputation in the banking sector António Afonso e outros, (2004), Introdução à economia financeira teoria e exercícios, Escolar Editora Hull, John (2009), Options, futures and other derivatives, Pearson Education HU Kent MatthewsUH, HUJohn ThompsonUH, (2008), The Economics of Banking, 2 ed Wileys HUOlivier PastreUH, HUEsther JeffersUH, HUHans BlommesteinUH, HUGael de PontbriandUH, eds. (2008), The new banking economics. Llewellyn, D. (1999), The new economics of banking, Société Universitaire de recherches financiers, Amsterdan Shelagh Heffernan, Modern Banking, Wiley

7 Topics in Insurance and Actuarial Mathematics Calculate and explain the values of some probabilities and functions which are used in life insurance. Know how to use a life table and explain its values and also to calculate some functions related to the life table. Identify and explain some individual risk models and premium calculation principles. Identify and explain the different reinsurance treaties. Solve practical exercises using actuarial mathematics and risk theory. An introduction to actuarial mathematics: survival distributions and life tables. An introduction to risk theory: individual risk models; premium calculation principles; reinsurance treaties Bowers, N. L.; Gerber, H. U.; Hickman, J. C.; Jones, D. A. e Nesbitt, C. J. (1997), Actuarial Mathematics, The Society of Actuaries, Schaumburg, Illinois. Garcia, J. A. ; Simões, O. A. (2010), Matemática Actuarial - Vida e Pensões, Almedina. Kaas, R.; Goovaerts, M. ; Dhaene, J. e Denuit, M. (2001), Modern Actuarial Risk Theory, Kluwer Academic Publishers, Boston.

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