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Academic year 2023/2024

Course ID
Fabio Cesare Bagliano (Lecturer)
2nd year
Teaching period
First semester
Related or integrative
Course disciplinary sector (SSD)
SECS-P/01 - economics
Formal authority
Type of examination
The formal analysis of economic and financial models requires familiarity with mathematical and statistical tools acquired in a suitable three-year undergraduate program. Moreover, a good knowledge of the contents of the undergraduate and first-year Master's Econometrics courses is an essential requirement for this course.

Sommario del corso


Course objectives

The course deals with some key themes of modern monetary and financial economics, exploring both the relevant theory and the econometric techniques used in applied research. The aim of the course is to provide students with a deep and up-to-date knowledge of recent theoretical and empirical developments on each of the topics covered.


Results of learning outcomes

During the course, students will learn how to apply economic concepts and methodologies to relevant issues in monetary and financial economics, related in particular to monetary policy implementation and effectiveness and to the analysis of interest rate determination. Moreover, students will learn how to autonomously apply rigorous economic reasoning with the support of quantitative methods, in order to formulate personal judgements on economic and financial developments and related policy issues. Students will also learn how to effectively organize ideas both in written and oral form with the help of presentations of scientific papers at the end of the course.

- Knowledge and understanding: this course will provide students with a deep and up-to-date knowledge of some important topics in modern monetary economics and related estimation and testing techniques.

- Applying knowledge and understanding: students will learn how to apply econometric techniques to actual monetary economics issues. To this aim students will be introduced to a professional econometric software (E-views) which will be used for the computations presented in this course.

- Making judgements: the students will learn how to assess the validity of the assumptions of a wide range of monetary economics models with the purpose of realizing potential drawbacks or dangers in their application to relevant empirical issues.

- Communication skills: students will learn how to effectively organize ideas both in written and oral form with the help of presentation of scientific papers during the course.

- Learning skills: this course will enable students to understand the recent developments in monetary economics and will be a suitable basis for further research work in the area.



Main topics are:

1. Monetary policy analysis with VAR models. Vector autoregressive (VAR) models are one of the main tools of applied econometric analysis in macroeconomics. In this course, we will introduce technical aspects of VAR modelling and apply them to the empirical analysis of the monetary policy transmission mechanism.

2. Empirical analysis of the term structure of interest rates. The study of the links between interest rates on bonds with different maturities is crucial for monetary policy and the analysis of financial markets. In this course, the main modelling techniques and empirical estimation and forecasting of the term structure of interest rates will be presented, in the perspective of the "expectations theory" of the term structure.

3. Financial returns, risk and consumption choices in a macroeconomic perspective. The analysis of financial returns, risk factors and the determinants of returns differentials among financial assets are key themes of the literature developed from the Consumption Capital Asset Pricing Model (CCAPM). Recent empirical studies provided evidence in contrast with the implications of the basic theory, motivating several extensions. In this course, both the basic models and more recent extensions will be presented, with a focus on the empirical methodology and results.


Course delivery

Lectures on all topics in the syllabus. Paper presentations by students at the end of the course.


Learning assessment methods

There will be a closed-book written exam (lasting 90 minutes) at the end of the course, with 3 formalized and theoretical questions on the topics discussed in the lectures, assigning 80% of the overall mark (30). The paper presentation will assign the remaining 20%.


Suggested readings and bibliography


The course is not based on a textbook. For each topic, lecture notes will be circulated and a set of readings (mostly drawn from scientific international journals) will be provided, containing the original presentations of the models discussed in the lectures. A complete reading list (with access to papers and other resources, and with a list of papers for students' presentations) will be available on the Moodle platform at the beginning of the course.


Class scheduleV

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