Module Handbook for the Master s Programme in Economics

Transcription

1 University of Konstanz Faculty of Law, Economics, and Politics Department of Economics Module Handbook for the Master s Programme in Economics August 2016

2 Master's Programme in Economics I. Competences A) Subject-specific competences A1) Broadening of knowledge In the three core lectures on Quantitative Economics taught in the first semester, the students acquire a deep understanding of modern methods and topics from the three pillars of economics: microeconomics, macroeconomics, and econometrics. They are able to assess the advantages and the drawbacks of different methods. Moreover, they can evaluate the positions held by members of different schools of economic thought critically. A2) Deepening of knowledge In the subsequent semesters, the students select special subjects, in which they deepen their skills further. In a seminar, but also in other courses where students work independently or in teams, they develop research questions and analyze these questions with the help of the tools acquired before. B) Generic competences The students are in a position to quickly and independently delve into new subjects. They can apply the methods acquired during the Master's program, e. g. from econometrics, to solve problems from other fields. The students are able to present their findings in. They can enter into a critical dialogue with others about the underlying premises and the methods used to derive the findings. II. Learning outcomes In written exams, students prove that they have an in-depth understanding of the core concepts in economics and that they can apply these concepts to solve simple problems in a short time. In tutorials, students show that their knowledge and skills enable them to also solve more complex tasks. In tutorials, students work successfully in teams. They present their results to other students, who discuss these results critically. In advanced classes, students write short essays that satisfy scientific standards and reveal a detailed knowledge in special areas. In seminars, students show that they can grasp the essence of scientific papers and can organize the insights distilled from the literature in a well-structured manner. They communicate these insights to their fellow students and respond adequately to critical questions from the audience. Moreover, they formulate critical questions about other students' presentations. 2

3 The students write seminar papers on topics of their choice. For this purpose, they draw on the modern scientific literature and relate the findings in a meaningful way. They develop own ideas for small research projects and design approaches to solving these problems. In the Master's thesis, students demonstrate their ability to formulate more extensive research questions and to address them with the help of modern tools from economics. They organize the time period of several months for the preparation of the thesis independently and effectively. They are successful in developing a clear and logical structure for an extensive research project. They critically assess the applied methods and premises and derive convincing conclusions. 3

4 Contents 1 Introduction... 7 Curriculum of the Master s Programme in Economics... 8 Subject Areas... 9 Subject Area 1: Quantitative Economics... 9 Subject Area 2: Econometrics and Applied Economics... 9 Subject Area 3: International Financial Economics... 9 Subject Area 4: Macroeconomics and International Economics Subject Area 5: Microeconomics and Decision Making Subject Area 6: Public Economics Module List Subject Area 1: Quantitative Economics QE: Advanced Econometrics QE: Advanced Macroeconomics I QE: Advanced Macroeconomics I (cont.) QE: Advanced Microeconomics Subject Area 2: Econometrics and Applied Economics EAE: Applied Time Series Analysis EAE / PhD: Microeconometrics EAE / PhD: Advanced Time Series Analysis EAE / PhD: Advanced Time Series Analysis (cont.) EAE: Empirical Labour Economics EAE / IFE: Financial Econometrics EAE / PhD: Topics in Advanced Econometrics EAE: Probability Theory and Statistical Inference EAE: Probability Theory and Statistical Inference (cont.) EAE S: Seminar in Econometrics and Applied Economics Subject Area 3: International Financial Economics IFE / MIE: International Finance IFE: Portfolio Management IFE: Accounting Theory IFE: Accounting Theory (cont.) IFE / PhD: Numerical Option Pricing IFE : Numerical Option Pricing (cont.)

5 EAE / IFE: Financial Econometrics IFE: Bank Management IFE: Risk Management IFE / MIE: International Monetary Economics IFE: Behavioural Finance IFE: Audit Theory IFE S: Seminar in International Financial Economics Subject Area 4: Macroeconomics and International Economics IFE / MIE: International Monetary Economics MIE: International Macroeconomics IFE / MIE: International Finance MIE / PhD: Topics in Advanced Macroeconomics MIE / PhD: Computational Economics MIE: The Labour Market and the Business Cycle MIE: Labour Market Search MIE S: Seminar in Macroeconomics and International Economics Subject Area 5: Microeconomics and Decision Making MDM: Advanced Microeconomics II MDM: Behavioural Economics MDM: Behavioural Economics (cont.) MDM: Organisational Behaviour MDM / PhD: Topics in Advanced Microeconomics MDM / PE: Political Economy: Theory and Experiments MDM / PE: Law and Economics MDM / PE / PhD: Poverty, Inequality and Income Distribution MDM S: Seminar in Microeconomics and Decision making Subject Area 6: Public Economics PE: Economics of Taxation PE: Political Economy PE: Political Economy (cont.) PE: Health Economics MDM / PE: Law and Economics PE / PhD: Economics of Education PE / PhD: Economics of Education (cont.) MDM / PE / PhD: Poverty, Inequality and Income Distribution MDM / PE: Political Economy: Theory and Experiments

6 PE S: Seminar in Political Economy Master s Thesis MT: Master s Thesis MT: Master s Thesis (cont.)

7 1 Introduction This handbook provides outlines of the modules offered for the Master s Programme in Economics. Aside from the Master s thesis, the modules are: courses comprising lectures and tutorials courses comprising lectures seminars. The modules are grouped under the subject area to which they belong: 1. Quantitative Economics 2. Econometrics and Applied Economics 3. International Financial Economics 4. Macroeconomics and International Economics 5. Microeconomics and Decision Making 6. Public Economics. Each module outline gives the following information: Module Code and Title Credits Workload Recommended Background Recommended Semester Compulsory / Optional The module code comprises the subject area prefix, e.g. QE for Subject Area 1: Quantitative Economics. Modules for Track A (fast track) are indicated by PhD in the module code, e.g. MIE / PhD for modules from Subject Area 4: Macroeconomics and International Economics. The module title gives the name of the module Specifies the subject area to which the module belongs. Each module has a credit value based on the student s workload required to successfully complete the module, in accordance with the European Credit Transfer and Accumulation System (ECTS). To complete the Master s Programme, 120 credits in total are required and 30 credits per semester should be accumulated. Track A students, aside from the Master s thesis (20 credits), need to obtain 100 credits in taught modules (courses and seminars). Track B and C students, aside from the Master s thesis (30 credits), need to obtain 90 credits in taught modules (courses and seminars). Describe what students should be able to do on completing the module. Describes the topics covered in the module. Chair responsible for the module. The type of module (a course comprising lectures, with or without tutorials, or a seminar) and its hours of tuition per week. The workload indicates the time students typically need to spend to successfully complete the module. Indicates whether specific prior knowledge would be beneficial for completing the module. The modules of the Master s Programme are taught in. The semester in which the module is taught (winter semester, summer semester or both winter and summer semester). Specifies in which semester it is recommended to take the module. Informs whether the module must be taken to complete the Master s Programme. This applies, for instance, to Subject Area 1: Quantitative Economics. All modules of this subject area must be taken. Track A or B students, majoring in one of the subject areas (2 to 6), must take the two specified compulsory modules (courses), two optional modules and one seminar from the selected subject area. 7

8 Semester 1 Semester 2 Semester 3 Semester 4 Curriculum of the Master s Programme in Economics Track A: Fast Track to a PhD ECTS Track B: Specialization or Track C: Generalization ECTS All 3 compulsory modules from the subject area Quantitative Economics: Advanced Econometrics Advanced Macroeconomics I Advanced Microeconomics I. Modules to the value of 30 ECTS, comprising courses totalling 24 ECTS and 1 seminar à 6 ECTS, from the following optional subject areas: Econometrics and Applied Economics International Financial Economics Macroeconomics and International Economics Microeconomics and Decision Making Public Economics. Students wishing to major in a subject area must take the 2 compulsory modules, 2 optional modules and 1 seminar from the selected subject area. 3 modules (courses) from the Doctoral Programme in Quantitative Economics and Finance à 10 ECTS, including 2 of the following modules: Topics in Advanced Econometrics Topics in Advanced Microeconomics Topics in Advanced Macroeconomics. 1 module (course) from the Doctoral Programme Master's thesis (3 months). If majoring in a subject area, the Master's thesis must be from the selected subject area All 3 compulsory modules from the subject area Quantitative Economics: Advanced Econometrics Advanced Macroeconomics I Advanced Microeconomics I. On application, one compulsory module can be taken in the 3rd semester Each semester modules to the value of 30 ECTS, comprising courses totalling 24 ECTS and 1 seminar à 6 ECTS, from the following optional subject areas: 30 Econometrics and Applied Economics International Financial Economics Macroeconomics and International Economics Microeconomics and Decision Making Public Economics. Track B students, majoring in a subject area, must take the 2 compulsory modules, 2 optional modules and 1 seminar from the selected subject area Master's thesis (4 months). For Track B students, majoring in a subject area, the Master's thesis must be from the selected subject area Total

9 Subject Areas Subject Area 1: Quantitative Economics The objective of the compulsory subject area Quantitative Economics is to give students an advanced proficiency in economic theory and econometrics. A solid theoretical-methodological background is essential for advanced studies in economics. In the area of economic theory, modules are offered in microeconomics and macroeconomics. The emphasis here is on conveying methodological concepts, e.g. game theory and general equilibrium theory and their applications to economic issues. The module in econometrics gives students a background in estimation theory and its applications. The theoretical-methodological education in Bachelor s programmes in economics differs considerably among universities, both nationally and internationally. Graduates of economics often lack an adequate education in quantitative economics. Graduates with a non-economics background typically have an intensive methodological background, but lack a substantive background in economics. These compulsory modules have been designed to accommodate the heterogeneous backgrounds of first-semester Master s students and to bring the students to the same level. The subject area Quantitative Economics provides the foundation for the modules of the optional subject areas. Subject Area 2: Econometrics and Applied Economics The overarching goal of this subject area is to make students experts in analysing and understanding complex economic issues on the basis of real world data. To achieve this objective, students are trained in the functioning and use of advanced econometric methods for the analysis of economic and financial data. This involves training in the statistical analyses of estimation and inference for models relevant to microeconometrics, macroeconometrics and financial econometrics, as well as making students aware of the opportunities and limitations in applying these tools to real world data. The modules in applied economics centre around empirical research in labour economics, public economics and financial economics using these econometric methods and emphasise the specific aspects of empirical research in these fields. Students majoring in this subject area will be well prepared to undertake their own empirical research, either for their PhD or for empirical investigations of the highest academic standards in non-university establishments, such as empirical research institutes, the consulting business, international institutions, ministries and NGOs, etc. Subject Area 3: International Financial Economics The purpose of this subject area is to examine key issues in international financial economics, focusing on theoretical, institutional, policy, and empirical aspects. In risk management, an understanding of the tools for analysing and managing risks is provided. Aside from the theoretical analysis of static and dynamic models of risk management, different approaches for managing interest rate risks are presented at the applied level. A further main component of this subject area is portfolio management. Aside from basic concepts, new concepts are introduced, including minimal versus maximal market rationality, inferring market consensus probabilities from observed prices, equilibrium sharing rules, and behavioural bias in human decision making. Optional modules concentrate on financial econometrics, managerial accounting, finance, bank management and international monetary economics. 9

10 Subject Area 4: Macroeconomics and International Economics The objective of this subject area is to give students a comprehensive overview of macroeconomic modelling and its quantitative applications. At the centre are dynamic stochastic general equilibrium models, which are applied to the study of traditional macroeconomic issues, such as economic growth, business cycles, consumption and asset prices, employment and unemployment, money and inflation, and international macroeconomics. Starting from the benchmark neoclassical macroeconomic model, successive limiting assumptions are cancelled and extensions to several issues, such as heterogeneity, market incompleteness and market frictions, are incorporated. The modelling of exchange rates and their policy implications are of central importance in the area of international monetary economics. The compulsory modules for majoring in this subject area include advanced macroeconomics and international monetary economics. Optional modules cover economic growth and development, international macroeconomics, the labour market and the business cycle and topics in macroeconomics. Subject Area 5: Microeconomics and Decision Making The aim of this subject area is to familiarise students with the study of economic behaviour deriving from individual behaviour. It is based on models of human decision making. These not only include the standard model assuming rationality and selfishness, but also models of time inconsistent behaviour, non-standard models of risk preferences or models of social preferences. In order to understand real world phenomena, such as bubbles in financial markets or involuntary unemployment, the implications of these models are analytically investigated. Furthermore, empirical, in particular, experimental studies allow for the testing and enhancing of the models. Students learn the major models in the field, as well as the theoretical, empirical and experimental tools to apply, analyse and test the models. Students majoring in this subject area will become experts in human economic decision making from a theoretical, as well as from an empirical point of view. This knowledge can be used, for instance, by companies in general and business consultancies in particular. Furthermore, the methodology learned also provides a good basis for graduates to undertake their own research in an academic career. Subject Area 6: Public Economics The goal of this subject area is to make students acquainted with the advanced economic analyses of public sector activities. The scope of topics in the compulsory modules comprises methods of positive and normative public economics. Normative public economics deals with questions of optimal income and commodity taxation within a general equilibrium framework. Positive public economics or political economy, in contrast, is based on the behavioural postulate that political agents are rational utility maximisers and examines the consequences of this assumption for government activities, such as the provision of public and private goods, the regulation of markets and macroeconomic stabilisation policies. Optional modules concentrate on specific policy issues, e.g., taxation, education, health care. 10

11 Module List Subject Area 1: Quantitative Economics Module Code QE Module Titel Compulsory Hours ECTS Semester Recommended Workload Lecture Tutorial Offered Semester Advanced Econometrics Chair of Economics and Econometrics WS WS QE Advanced Macroeconomics I Chair of International and WS WS Monetary Macroeconomics, Junior Professor- ship in Macroeconomic Theory QE Advanced Microeconomics I Junior Professorship in Public WS WS Economics, Chair of Economic Theory (Microeconomics) Subject Area 2: Econometrics and Applied Economics Module Code EAE Module Titel Compulsory Hours ECTS Semester Recommended Workload Lecture Tutorial Offered Semester Applied Time Series Analysis Chair of Statistics and Econometrics, Department of Mathematics & Statistics SS EAE / PhD EAE / EAE Microeconometrics Advanced Time Series Analysis Empirical Labour Economis Chair of Economics and Econometrics Chair of Statistics and Econometrics Junior Professorship of 3 1 8/10 SS / /10 WS / SS Educational and Labour Economics EAE / IFE EAE / PhD Financial Econometrics Topics in Advanced Econometrics Chair of Economics and Econometrics Chair of Economics and Econometrics, Department of WS /10 WS / 300 Mathematics and Statistics EAE Probability Theory and Statistical Inference Department of Mathematics & Statistics WS EAE S Seminar in Econometrics and Applied Economics Chair of Economics and Econometrics 2 6 WS/SS 2/

12 Subject Area 3: International Financial Economics Module Code IFE / MIE IFE IFE Module Titel Compulsory Hours ECTS Semester Recommended Workload Lecture Tutorial Offered Semester International Finance Portfolio Management Accounting Theory Chair of Finance Chair of Finance Chair of Accounting WS WS WS IFE / PhD EAE / IFE IFE Numerical Option Pricing Financial Econometrics Bank Management Chair of Corporate Finance Chair of Economics and Econometrics Chair of Corporate Finance 2 1 6/10 WS / WS SS IFE IFE / MIE Risk Management International Monetary Economics Chair of Finance Chair of International Economics and SS SS Political Economy IFE Behavioural Finance Chair of Corporate Finance SS IFE Audit Theory Junior Professorship in Accounting SS IFE S Seminar in International Financial Economics Chair of Economics and Econometrics, Chair of Finance, Chair of Corporate 2 6 WS/SS 2/3 180 Finance Subject Area 4: Macroeconomics and International Economics Module Code MIE Module Titel Compulsory Hours ECTS Semester Recommended Workload Lecture Tutorial Offered Semester Advanced Macroeconomics II Chair of Economic Theory, Junior Professor-ship in Macroeconomic Theory SS IFE / MIE International Monetary Economics Chair of International Economics and SS Political Economy MIE International Macroeconomics Chair of International WS Economics and Political Economy IFE / International Finance Chair of Finance WS MIE MIE / PhD Topics in Advanced Macroeconomics Junior Professorship in Family Economics 2 1 6/10 WS / 300 MIE / PhD Computational Economics Junior Professorship for Dynamic Programming / WS Dynamic Choice MIE The Labour Market and the Business Cycle Junior Professorship in Macroeconomic WS/SS 2/3 180 Theory Details 12

13 MIE / Labour Market Search Visiting Professor SS PhD MIE S Seminar in Macroeconomics and International Economics Chair of International and Monetary 2 6 WS/SS 2/3 180 Macroeconomics Subject Area 5: Microeconomics and Decision Making Module Code MDM Module Titel Compulsory Hours ECTS Semester Recommended Workload Lecture Tutorial Offered Semester Advanced Microeconomics II Chair of Economic Theory (Microeconomics) SS MDM Behavioural Economics Chair of Applied Research in Economics WS MDM Organisational Behaviour Junior Professorship in Personnel SS Economics MDM / PhD Topics in Advanced Microeconomics Chair of Economic Theory (Microeconomics) 2 1 6/10 WS / 300 MDM / PE Political Economy: Theory and Experiments Junior Professorship in Behavioral WS Economics MDM / PE Law and Economics Chair of Economic Theory (Microeconomics) WS MDM / PE / PhD MDM S Poverty, Inequality and Income Distribution Microeconomics and Decision Making Junior Professorship in Public Economics Chair of Applied Research in Economics, Chair of Political 3 6/10 WS / WS/SS 2/3 180 Economy Subject Area 6: Public Economics Module Code PE Module Titel Compulsory Hours ECTS Semester Recommended Workload Lecture Tutorial Offered Semester Economics of Taxation Chair of Public Economics SS PE / PhD Political Economy Chair of Internatioanl and Monetary Macroeconomics, 3 1 8/10 SS / 300 Chair of Political Economy PE Health Economics Chair of Economic and Social Policy WS MDM / PE Law and Economics Chair of Economic Theory (Microeconomics) WS PE / PhD MDM / PE / Economics of Education Poverty, Inequality and Income Distribution Chair of Public Economics Junior Professorship in /10 WS / /10 WS / 300

14 PhD Public Economics MDM / PE Political Economy: Theory and Experiments Junior Professorship in Behavioral WS Economics PE S Seminar in Public Economics Chair of Political Economy, Junior Professor-ship in 2 6 WS/SS 2/3 180 Public Economics 14

15 2 Subject Area 1: Quantitative Economics Module Code / Title QE: Advanced Econometrics Subject Area 1: Quantitative Economics Credits 10 Module Grade Workload 8.3% Based on one mid-term exam (20 %), two take-home exams (20%) and a final exam (60%). On completion of this module, students will be able to: Demonstrate a sound understanding of econometric estimation theory beyond the linear model Demonstrate an awareness of major estimation methods and testing principles for nonlinear econometric models Programing with MatLab in order to understand the applied aspects of estimation principles and to apply modern econometric estimators, which are not available in standard commercial software packages. Fundamental of Regression Analysis Asymptotic theory Instrumental variables Maximum likelihood and Pseudo-ML Generalized method of moments Computer Intensive Methods Shrinkage Estimation Chair of Economics and Econometrics lecture (3 hours), tutorial (2 hours) 300 hours one mid-term exam, two take-home exams, one final exam winter semester Recommended Semester 1 compulsory 15

16 QE: Advanced Macroeconomics I Subject Area 1: Quantitative Economics Credits 10 Module Grade 8.3% Based on a final exam and homework assignments. On completion of this module, students will be able to demonstrate an understanding of modern macroeconomics and dynamic economic analysis develop techniques to solve dynamic optimisation problems apply these methods to the study of various macroeconomic issues, such as economic growth, business cycles, monetary policy, consumption and asset prices The course covers deterministic and stochastic dynamic general equilibrium modelling and their applications to macroeconomic issues. Analytical results and numerical solution techniques (dynamic programming, value-function iteration, and loglinearization) are discussed. 1. Dynamic programming 2. Value-function iteration 3. Log-linearization 4. Linear difference equations 5. The neoclassical growth model 6. Uncertainty in dynamic equilibrium models 7. Real business cycle theory 8. Dynamic models of money Chair of International and Monetary Macroeconomics Workload lecture (3 hours), tutorial (2 hours) 300 hours final exam, homework assignments winter semester 16

17 QE: Advanced Macroeconomics I (cont.) Recommended Semester 1 Compulsory 17

18 QE: Advanced Microeconomics Subject Area 1: Quantitative Economics Credits % Module Grade Based on a midterm (20%) and a final written exam (80%). Workload On completion of this module, students will be able to use their knowledge of general equilibrium and game theory for understanding microeconomic analysis and following more advanced courses. The course has two parts. The first part covers general equilibrium theory, including both consumer and production theory, and ends with an introduction to the analysis of externalities and public goods. The second part concentrates on game theory, including both normal-form and extensive-form games. Chair of Economic Theory (Microeconomics) or Junior Professorship in Public Economics lecture (3 hours), tutorial (2 hours) 300 hours a written exam microeconomics at Bachelor s level winter semester Recommended Semester 1 compulsory 18

19 3 Subject Area 2: Econometrics and Applied Economics Module Code / Title EAE: Applied Time Series Analysis Subject Area 2: Econometrics and Applied Economics Credits 8 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on a take-home exam (30%) and a written exam (70%). Workload On completion of this module, students will be able to: Specify and estimate econometric models for time series data Use these models for forecasting Apply these methods in practice using appropriate computer programs Understand and interpret the results from empirical research papers in time series analysis. Introduction and descriptive methods Stationary stochastic processes (AR, MA, ARMA) Estimation, specification and validation of ARMA models Nonstationary processes (ARIMA, unit root tests) Forecasting ARCH and GARCH processes. Chair of Statistics and Econometrics Lecture (3 hours), tutorial (1 hour) 240 hours take-home exam, written exam Bachelor level econometrics courses summer semester Recommended Semester 2 Compulsory for majoring in Subject Area 2: Econometrics and Applied Economics, otherwise optional. 19

20 EAE / PhD: Microeconometrics Subject Area 2: Econometrics and Applied Economics Credits 10 (Track A), 8 (Track B or C) Track A: 8.3%. Track B and C: 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on two take-home exams (20 %) and a final exam (80 %). On completion of this module, students will be able to: Model the behavior of individuals, households and firms at the micro level, on the basis of economic approaches and with the use of large scale data sets Identify under which conditions these models can be applied, interpret the estimation results and assess their quality Apply these methods in practice using STATA and MatLab. Qualitative response models Limited dependent variables models Evaluation econometrics Nonparametric Estimation Chair of Economics and Econometrics lecture (3 hours), tutorial (1 hour) Workload 300 hours (Track A), 240 hours (Track B or C) two take-home exams, one final exam QE: Advanced Econometrics summer semester Recommended Semester 2 Compulsory for majoring in Subject Area 2: Econometrics and Applied Economics, otherwise optional. 20

21 EAE / PhD: Advanced Time Series Analysis Subject Area 2: Econometrics and Applied Economics Credits 10 (Track A), 8 (Track B or C) Track A: Based on take-home exam (30%) and a final exam (70%). Track B: Based on take-home exam (30%), student presentation (10%), and a final exam (60%). Module Grade Based on a final exam (100%). On completion of this module, students will be able to: Use a range of methods to analyse multiple time series data Use and program standard econometric software to analyse time series data Critically discuss and interpret the results of empirical time series related research papers. Emphasis is given on the vector autoregressive framework, which is very popular in empirical macroeconomics and finance. The course covers the analysis of stable vector autoregressive (VAR) models, as well as the statistical analysis of integrated and cointegrated variables. Further topics to be discussed include recent advances in structural VAR modelling, panel unit roots and cointegration, factor augmented VARs, time-varying parameters and Bayesian VARs. Stable vector autoregressive (VAR) models Integrated variables and cointegrated VAR models Structural VARs and VECMs Unit roots and cointegration in panels Time-varying parameters and Bayesian VARs Multivariate GARCH models. Chair of Statistics and Econometrics lecture (3 hours), tutorial (1 hour) Workload 300 hours (Track A), 240 hours (Track B or C) Track A: take-home exam and a final exam, Track B: student presentation, take-home exam, and a final exam. QE: Advanced Econometrics, EAE: Applied Time Series Analysis 21

22 EAE / PhD: Advanced Time Series Analysis (cont.) winter semester Recommended Semester 3 optional 22

23 EAE: Empirical Labour Economics Subject Area 2: Econometrics and Applied Economics Credits 8 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on problem sets, a presentation and a final exam. The objective of the course is to provide the student with a solid understanding of the literature in several important areas of labor economics and empirical approaches commonly used by labor economists Empirical strategies in labour economics Immigration Human Capital Labour supply Discrimination Workload Junior Professorship of Educational and Labour Economics lecture (3 hours), tutorial (1 hour) 240 hours problem sets, a presentation, a final exam QE: Advanced Econometrics summer semester Recommended Semester 2 optional 23

24 EAE / IFE: Financial Econometrics Subject Area 2: Econometrics and Applied Economics Credits 8 5%.The exact contribution depends on the weighting according to credits. Module Grade Generally on one take-home exam (30%) and a final exam (70%). On completion of this module, students will be able to: Employ econometric methods to analyze financial data Demonstrate a particular understanding of stochastic processes in order to describe the dynamics of financial variables and their implications for estimating key concepts in finance To apply these methods in practice using MatLab Properties of financial data Forecasting in finance Volatility models Time varying correlations Estimation of downward risks and extreme events Systemic risk Workload Chair of Economics and Econometrics Lecture (2 hours), tutorial (1 hour) 240 hours take-home exam, final exam (1 1/2 hours) QE: Advanced Econometrics, EAE: Applied Times Series Analysis Winter semester Recommended Semester 3 Optional 24

25 EAE / PhD: Topics in Advanced Econometrics Subject Area 2: Econometrics and Applied Economics Credits 10 (Track A), 8 (Track B or C) Track A: 8.3%. Track B and C: 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on two presentations (30%) and a final paper (70%). On completion of this module, students will be able to: Demonstrate an understanding of computer intensive econometric methods that allow for the estimation of complex structures, for which conventional parametric and nonparametric procedures are difficult to apply. These models either require nonparametric or semiparametric estimation or Monte Carlo integration methods To program and apply these methods Write and present small research papers. Nonparametric estimation Simulation estimators Bayesian estimation Shrinkage estimation Statistical learning. Chair of Economics and Econometrics lecture (2 hours), tutorial (1 hour) Workload 300 hours (Track A), 240 hours (Track B or C) two presentations, one final exam QE: Advanced Econometrics winter semester Recommended Semester 3 May be taken as one of the compulsory topics modules of Track A, otherwise optional. 25

26 EAE: Probability Theory and Statistical Inference Subject Area 2: Econometrics and Applied Economics Credits 8 Module Grade 5%. The exact contribution depends on the weighting according to credits. Weekly homework assignments, surprise quizzes, mid-term takehome exam, final exam The course covers the major topics from probability theory and statistical inference that lay the grounds for econometric theory. It conveys a proper understanding of the basic theoretical concepts and ideas needed to work in applied and theoretical econometrics. The course gives an introduction to the basic mathematical foundations of probability theory and of statistical inference on a graduate level. The foundations of probability theory part of the course covers the following topics: Basics of probability theory: a. events, probability, conditional probability, independence, product spaces and completeness; b. discrete and continuous random variables, probability distributions; c. expectation, conditional expectation, conditional distributions; d. moment generating and characteristic functions, their applications. Basics of asymptotic theory: a. convergence concepts, modes of convergence; b. limit theorems. The statistical inference part of the course covers the following topics: 1. Random sample, properties; 2. Principles of data reduction, the sufficiency and the likelihood principles; 3. Point estimation, finding and evaluating point estimators; 4. Interval estimation, finding and evaluating interval estimators; 5. Estimation theory for parametric models: regression models and least squares method. Department of Mathematics and Statistics 26

27 Workload EAE: Probability Theory and Statistical Inference (cont.) lecture (2 hour), tutorial (2 hour) 240 hours Weekly homework assignments, surprise quizzes, mid-term take-home exam, final exam Solid mastery of calculus, up to and including series, limits, partial differentiation, and multiple integration. Knowledge of these topics will be assumed and invoked freely. Basic knowledge of statistics is required. winter semester Recommended Semester 3 optional 27

28 EAE S: Seminar in Econometrics and Applied Economics Subject Area 2: Econometrics and Applied Economics Credits 6 Module Grade 5%. The exact contribution depends on the weighting according to credits. Based on a presentation and a seminar paper On completion of this module, students will be able to pursue independent research based on specific economic problems. Workload Seminar participants develop and critically examine scientific economic literature within the context of the seminar. Chair of Economics and Econometrics, Chair of Statistics and Econometrics, Chair of Finance, Chair of Public Economics or Junior Professorship of Educational and Labour Economics seminar (2 hours) 180 hours a presentation and a seminar paper QE: Advanced Econometrics, EAE: Applied Time Series Analysis winter and summer semester Recommended Semester 2 or 3 One seminar in Subject Area 2: Econometrics and Applied Economics is compulsory for majoring in this subject area. For other students: optional. 28

29 4 Subject Area 3: International Financial Economics Module Code / Title IFE / MIE: International Finance Subject Area 3: International Financial Economics Credits 6 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on a final exam (100%). The goal of the course is to provide students with an understanding of the key working mechanisms of international capital markets and international financial decision making. Workload The topics include drivers of exchange rates, financial instruments used in international financial markets, and international financing decisions. Chair of Finance lecture (2 hours), tutorial (1 hour) 180 hours a final exam lectures on Investments and Finance, Capital Market Theory winter semester Recommended Semester 3 Compulsory for majoring in Subject Area 3: International Financial Economics, otherwise optional. 29

30 IFE: Portfolio Management Subject Area 3: International Financial Economics Credits 6 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on a final exam (100%). Workload On completion of this module, students will be able to: Explain different financial investments and their relevance in today s economy Apply their knowledge with respect to portfolio optimisation and risk assessment Solve complex problems relating to asset allocation problems, which they face as investors. Economic concepts will first be developed with intuitive reasoning. Many results will be formally proven mathematically, and typically in the simplest mathematical context possible. Many concepts will be illustrated by algebraic or numerical examples. Chair of Finance lecture (2 hours), tutorial (1 hour) 180 hours a final exam International Investments and Finance, Capital Market Theory winter semester Recommended Semester 3 Compulsory for majoring in Subject Area 3: International Financial Economics, otherwise optional. 30

31 IFE: Accounting Theory Subject Area 3: International Financial Economics Credits 6 Module Grade 5%. The exact contribution depends on the weighting according to credits. Based on a presentation and a final exam. On completion of this module, students will be able to: Demonstrate an understanding of the agency conflicts between managers and owners and between owners and creditors; understand how financial reporting can mitigate these conflicts Describe the role of financial reporting in the context of capital markets and management s incentives regarding earnings management Explain the institutional setting of financial reporting, auditing, and corporate governance Understand how earnings quality and value relevance can be empirically measured Understand game-theoretic models related to problems in the field of accounting and auditing Critically assess important papers in the field of financial accounting. Problems in the field of financial accounting and auditing are discussed on the basis of analytical, empirical and experimental studies. The lecture covers the following topics: the role of financial accounting, the preparers incentives regarding earnings management, financial reporting and the capital market (decision-usefulness of accounting information, information efficiency, value relevance of accounting information), incentive-usefulness of accounting information, the effects of voluntary vs. mandatory disclosures, the role of auditing, auditor independence, and the effects of auditor liability. Chair of Accounting lecture (2 hours), tutorial (1 hour) 31

32 Workload IFE: Accounting Theory (cont.) 180 hours one presentation in class (30 minutes), one final exam (1 1/2 hours) A basic knowledge of bookkeeping; a thorough knowledge of financial accounting according to the International Financial Accounting Standards (IFRS) and the German Commercial Law (HGB); a working knowledge of contract theory and applied game theory; a basic knowledge of econometrics; a basic knowledge of experimental economics. winter semester Recommended Semester 3 optional 32

33 IFE / PhD: Numerical Option Pricing Subject Area 3: International Financial Economics Credits 10 (Track A), 6 (Track B or C) Track A: 8.3%. Track B and C: 5%. The exact contribution depends on the weighting according to credits. Module Grade Final exam (100%) At the end of the course, students will know the major specifications of options traded on exchanges or over the counter be proficient in programming efficient MATLAB codes know the strength and weaknesses of Trees and Monte Carlo Simulation choose the best methods to price a given option be able to numerically price a wide range of options know how to compute Value-at-Risk of option portfolios understand the dynamic modeling of interest rates know how to price interest-rate options This course is on the numerical valuation of a wide range of securities, such as common stocks, junior and senior bonds, convertible bonds, plain-vanilla options, exotic options, swap options, employee stock options, structured products, and interest-rate derivatives. The course focuses on the valuation, via tree-based methods and Monte Carlo simulations, of the option component embedded in all of the above mentioned instruments. The course specifically addresses implementation issues in MATLAB. The structure of the course is as follows: 1. MATLAB and Programming 2. Tree-based Valuation Methods 3. Monte Carlo Simulation and Options 4. Quantitative Risk Management 5. Interest-Rate Derivatives Chair of Corporate Finance lecture (2 hours), tutorial (1 hour) Workload 300 hours (Track A), 180 hours (Track B or C) final exam 33

34 IFE: Numerical Option Pricing (cont.) winter semester Recommended Semester 3 optional 34

35 EAE / IFE: Financial Econometrics Subject Area 2: Econometrics and Applied Economics Credits 8 Module Grade 5%.The exact contribution depends on the weighting according to credits. Generally on one take-home exam (30%) and a final exam(70%). On completion of this module, students will be able to: Employ econometric methods to analyze financial data Demonstrate a particular understanding of stochastic processes in order to describe the dynamics of financial variables and their implications for estimating key concepts in finance To apply these methods in practice using MatLab Properties of financial data Forecasting in finance Volatility models Time varying correlations Estimation of downward risks and extreme events Systemic risk Workload Chair of Economics and Econometrics Lecture (2 hours), tutorial (1 hour) 240 hours take-home exam, final exam QE: Advanced Econometrics, EAE: Applied Times Series Analysis Winter semester Recommended Semester 3 Optional 35

36 IFE: Bank Management Subject Area 3: International Financial Economics Credits 6 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on a final exam (100%). Workload On completion of this module, students will be able to: Explain the history of banking and its relevance to today s economy Apply their knowledge with respect to bank funding and risk assessment Solve complex problems relating to fixed income securities, which the banks hold. The subject matter of this module is the organisation and accounting in banks. This is connected to the problem of how banks control their portfolios and how they make a profit. The details of asset and liability management are explained. A discussion of bank supervision is also included. Chair of Corporate Finance lecture (2 hours), tutorial (1 hour) 180 hours a final exam lectures on Investments and Finance summer semester Recommended Semester 2 optional 36

37 IFE: Risk Management Subject Area 3: International Financial Economics Credits 8 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on a final exam (100%) Workload The goal of the course Risk Management is to enable students to describe the risk management process from the perspective of financial institutions as the process by which risk exposures are identified, measured, and controlled. Topics include the concepts of Value-at-Risk, Credit Risk as well as regulatory issues such as the Basel regulations. Chair of Finance lecture (3 hours), tutorial (1 hour) 240 hours Final exam lectures on Investments and Finance, Capital Market Theory summer semester Recommended Semester 2 optional 37

38 IFE / MIE: International Monetary Economics Subject Area 3: International Financial Economics Credits 8 Module Grade Workload 5%. The exact contribution depends on the weighting according to credits. Based on a presentation and a final exam. On completion of this module, students will be able to analyse and address typical questions in international monetary economics. Traditional and modern macroeconomic models of open economies are developed to study the following topics: The monetary model of exchange rates Nominal price rigidities and the exchange rate Monetary and fiscal policy under fixed and floating exchange rates Currency crises The intertemporal approach to the current account Monetary exchange rate models with maximising Individuals. In addition, empirical evidence and case studies are used to illustrate the concepts and theories. Chair of International Economics and Political Economy lecture (3 hours), tutorial (1 hour) 240 hours a presentation and a final exam summer semester Recommended Semester 2 optional 38

39 IFE: Behavioural Finance Subject Area 3: International Financial Economics Credits 6 5%. The exact contribution depends on the weighting according to credits. Module Grade Final exam (100%) Workload This course aims at complementing and challenging the set of theories, concepts, and empirical findings traditionally taught in asset pricing (investments) and corporate finance. Upon successful completion of this course, students will understand differences between the traditional and the behavioral approach to finance have a solid knowledge of the main findings in all the three pillars of behavioral finance: o limits of arbitrage o relevant insights from (cognitive) psychology o empirical anomalies in finance This course will cover three areas: 1. psychological theories of information processing and decision making 2. empirical facts that challenge traditional financial models, 3. Behavioral Finance theories To reinforce the validity of certain psychological patterns, experiments in class will integrate traditional lecturing. Chair of Corporate Finance lecture (2 hours), tutorial (1 hour) 180 hours final exam solid background in financial economics summer semester Recommended Semester 2 optional 39

40 IFE: Audit Theory Subject Area 3: International Financial Economics Credits 6 Module Grade Workload 5%. The exact contribution depends on the weighting according to credits. Based on a presentation and participation in class (30%) and a final exam (70%). On completion of this module, students will be able to: Describe the functioning and the fundamental problems of an audit Explain the economic role of the audit in free and regulated markets Describe the interdependencies between audit strategy and earnings management and analyze auditors and managers incentives within an auditor-client relationship Describe the interdependencies between audit strategy and investors litigation strategy and analyze optimal audit and litigation strategies dependent on different auditing standards Explain the occurrence of quasi rents, low balling, and fee cutting Apply different approaches to analyze quasi rents and auditors independence The main objective of the course is to analyse the economic role of the audit. Therefor the relationship between auditors and clients as well as the structure of the audit market is taken into account. The analysis is based primarily on theoretical models but empirical results are also considered. Junior Professorship in Accounting lecture (2 hours), tutorial (1 hour) 180 hours presentation (30 min), participation in class and final exam A basic knowledge of financial accounting; a working knowledge of applied game theory and contract theory; a basic knowledge of econometrics. 40

41 summer semester Recommended Semester 2 optional 41

42 IFE S: Seminar in International Financial Economics Subject Area 2: International Financial Economics Credits 6 Module Grade Workload 5%. The exact contribution depends on the weighting according to credits. Based on a presentation and a seminar paper On completion of this module, students will be able to pursue independent research based on specific economic problems. Seminar participants develop and critically examine scientific economic literature within the context of the seminar. Chair of Economics and Econometrics, Chair of Corporate Finance or Chair of Finance seminar (2 hours) 180 hours a presentation and a seminar paper lectures on Investments and Finance winter and summer semester Recommended Semester 2 or 3 One seminar in Subject Area 3: International Financial Economics is compulsory for majoring in this subject area. For other students: optional. 42

43 5 Subject Area 4: Macroeconomics and International Economics Module Code / Title MIE: Advanced Macroeconomics II Subject Area 4: Macroeconomics and International Economics Credits 6 5%. The exact contribution depends on the weighting according to credits. Module Grade Based on homework (40%) and a final exam (60%). Workload On completion of this module, students will be able to: Demonstrate an understanding of macroeconomics with heterogeneity and frictions in labour and capital markets Apply the modelling tools to address questions on labour market dynamics, intergenerational redistribution and on the macroeconomic effects of fiscal policy. The course covers advanced topics in dynamic macroeconomics. Departing from the benchmark models of complete and frictionless markets, this course emphasises the role of heterogeneity and market imperfections. The first part develops overlapping-generation models which are useful for the analysis of social security and public debt. The second part covers market incompleteness and wealth inequality. The third part deals with search frictions in the labor market which are helpful to analyze unemployment and labor market dynamics. Chair of Economic Theory or Junior Professorship in Macroeconomic Theory homework and a final exam 180 hours lecture (2 hours), tutorial (1 hour) QE : Advanced Macroeconomics I summer semester Recommended Semester 2 43