Macro and Financial Econometrics - ECON8200
The module offers a research-oriented introduction to contemporary macro and financial econometrics by linking econometric theory to empirical studies of the macro-economy and financial markets. It introduces models and methods used in central banks and research institutions for policy analysis and forecasting the macroeconomy as well as those used by financial institutions for low-frequency trading, risk assessment and portfolio allocation. It integrates empirical illustrations through the use of computer-based analysis of macroeconomic and financial data using appropriate software. We commence by with providing a comprehensive introduction to stationary and nonstationary stochastic processes as well as the methods and models of univariate time series. We then proceed with modelling and predicting asset prices and returns and their volatility. Finally, we introduce multiple time series techniques for policy analysis and for macro-finance models.
Private Study: 120
Contact Hours: 30
This is a compulsory module for:
• MSc Financial Economics
This is an optional module for:
• MSc Economics
• MSc Development Economics
Method of assessment
Main assessment methods:
*Both elements are pass compulsory and must be passed to achieve the learning outcomes of the module
Reassessment: Like for like
The University is committed to ensuring that core reading materials are in accessible electronic format in line with the Kent Inclusive Practices.
The most up to date reading list for each module can be found on the university's reading list pages.
See the library reading list for this module (Canterbury)
On successfully completing the module you will be able to:
1 Have comprehensive understanding of econometric techniques used with time series data
2 Demonstrate critical assessment in reading and interpretation of empirical macroeconomic research
3 Be practised in own modelling of economic series using advanced econometric theory
4 Comprehensively understand the role of financial markets in modern economies
5 Critically apply financial theories (including Efficient Market Hypothesis and Behavioural Finance)
6 Have the ability to undertake complex empirical research using statistical software for time series analysis.
Credit level 7. Undergraduate or postgraduate masters level module.
- ECTS credits are recognised throughout the EU and allow you to transfer credit easily from one university to another.
- The named convenor is the convenor for the current academic session.
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