Macro Finance : General information

General information

Publié le 4 September 2017

syllabus
Contact information


 Professor Pascal St-Amour
 Office hours By appointment only
 Office INT. 520
 Tel. 3477
 Assistant Yannis Mesquida
 Assistant office hours Tues. 13:00-15:00
 Assistant office Int 506
 Assistant tel. 3324
 Course schedule Tues. 10:15-12:00, ANT 3028


Objectives

 

Macro Finance is taught in English and is opened to both second-year MScE and MScF students (other students may be admitted with Instructor's consent). This Financial Economics course has two objectives. On the one hand it aims at providing more Economics-oriented students with graduate level Asset pricing tools, such as contingent claims pricing, no-arbitrage factor pricing or consumption-based equilibrium valuations. On the other, it also aims at providing more Finance-oriented students with graduate level Macro tools such as investment theory, production-based pricing, or money demand models. Finally, topics of interest to both groups such as incomplete markets pricing, or frictions will also be discussed.


Evaluation

  • Final exam (100% of grade)

    note: In the event where a makeup exam would be required, only the grade from this exam will be used to compute the final grade.


                                   

    1. Contents
     
     Course  Readings  Contents
     
    1- Complete contingent claims
    • Altug and Labadie, ch. 1, 
    • Cochrane, ch. 3,
    • Danthine and Donaldson, ch. 8. 
    • Static security market equilibrium. 
    • Optimality and representative consumer.
     2- Arbitrage and asset valuation
    • Altug and Labadie, ch. 2,
    • Cochrane, ch. 4, 
    • Danthine and Donaldson, ch. 10 
    • Absence of arbitrage.
    • Existence of state-price vector.
    • Binomial security markets
     3- CAPM and APT 
    • Altug and Labadie, ch. 4
    • Cochrane, ch. 9
    • Danthine and Donaldson, chs. 7, 13 
    • Capital Asset Pricing Model.
    • Arbitrage Pricing Theory 2.
     
    4- Consumption and savings 
    • Altug and Labadie, ch. 5
    • Deterministic economy. 
    • Portfolio choices.
    • Random walks.
    • Permanent income.
    • Precautionary savings.
     5- Inter-temporal risk sharing*
    • Altug and Labadie, ch. 7,
    • Cochrane, ch. 9, 
    • Ljungvist and Sargent, ch. 8
    • Danthine and Donaldson, ch. 10
    • Multi-period contingent claims.
    • Idiosyncratic endowment risk. 
    • Risk sharing with idiosyncratic and aggregate risk.
     6- Consumption and asset pricing 
    • Altug and Labadie, ch. 8,
    • Cochrane, ch. 21,
    • Ljungvist and Sargent, ch. 13,
    • Danthine and Donaldson, ch. 9. 
    • Consumption-based CAPM.
    • Pricing alternative assets. 
    • Growth and cointegration.
     7- Economies with production 
    • Altug and Labadie, ch. 10
    • Recursive competitive equilibrium with production.
    • Extensions: Distortions and expectations.
    • Solving production models.
    • Financial structure
     8- Investment 
    • Altug and Labadie, ch. 11
    • Neoclassical theory of investment. 
    • Q theory with adjustment costs.
    • Irreversibility and asset prices.
     9- Cash-in-advance*
    • Altug and Labadie, ch. 13
    • Basic CIA model.
    • Inflation and interest rates.
    • Transactions services (MIU).
    • Growth. Real impacts of money.
     10- Asset pricing with frictions*
    • Altug and Labadie, ch. 15,
    • Ljungvist and Sargent, ch. 17
    • Role of idiosyncratic risks.
    • Transaction costs
     11- Borrowing constraints*
    • Altug and Labadie, ch. 16 
    • Idiosyncratic risk and borrowing constraints.
    • Turnpike model (Townsend)

    *: If time permits.
        

    References

    • Altug, Sumru, and Pamela Labadie (2008) Asset Pricing for Dynamic Economies (Cambridge, UK: Cambridge University Press)
    • Cochrane, John H. (2005) Asset Pricing, revised ed. (Princeton, NJ and Oxford, UK: Princeton University Press)
    • Danthine, Jean-Pierre, and John Donaldson (2005) Intermediate Financial Theory Advanced Finance Series, 2 ed. (Burlington, MA: Elsevier Academic Press)
    • Ljungvist, Lars, and Thomas J. Sargent (2004) Recursive Macroeconomic Theory, 2 ed. (Cambridge, Massachussetts; London, England: MIT Press)