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Магистерская программа «Финансовая экономика»

International Finance

2019/2020
Учебный год
ENG
Обучение ведется на английском языке
3
Кредиты
Статус:
Курс по выбору
Когда читается:
2-й курс, 1 семестр

Преподаватель

Course Syllabus

Abstract

This course is designed to give an overview of the key issues in international finance. We first consider macroeconomic accounting and how to interpret stylised facts. We then study risksharing in international finance within the Arrow-Debreu paradigm. Next we consider the empirical evidence for the standard open economy results and investor behaviour. Then we move to considering Sovereign debt and financial frictions and how they extend our understanding of crises. We then study the real example of Argentina and study models which specifically describe such situations of sovereign and exchange rate crises. Finally we conclude by considering the models of currency crisis.
Learning Objectives

Learning Objectives

  • The course provides students with an overview of the key issues in International Finance. Upon successful completion of the course students will develop a coherent analytical framework upon which to think about open economy issues in Industry, particularly in Investment Banking. Students wishing to continue on to a PhD will obtain an insight into the issues and models which are pertinent in academia.
  • The course provides a solid and technical foundation in economic and financial theory and then seeks to motivate and challenge these results with empirical evidence. The level of the course is aimed at an MSc level though the material is commonly found at the PhD level.
Expected Learning Outcomes

Expected Learning Outcomes

  • Explain and use basic accounting concepts that describe the modern open economy; outline stylized facts about the world economy and capital flows
  • Explain models of international risk sharing and evaluate the role of financial frictions and incomplete markets
  • Compare model predictions with empirical observations
  • Explain and use models of exchange rate determination and trading, models of international flows and investment decisions
  • Explain how and why firms make capital decisions in a global context
  • Explain how and why countries default and models of financial crisis
  • Assess how policy can affect undesirable economic/financial fluctuations
  • Outline recent developments of the Russian economy
  • Apply macro-finance modelling frameworks developed throughout the course
Course Contents

Course Contents

  • International Accounting, Risk Sharing and Business Cycles
    Here we will look at the basics of national accounting for open economies and examine stylized facts about the world economy. We will construct a formal model that reflects the accounting relationships. We will also study the Russian and Brazillian crisis. These lectures will provide a motivation for the theoretical frameworks that will follow.
  • International Exchange Economies, Risk Sharing and Incomplete Markets
    We will first extend the basic asset pricing result of Arrow-Debreu to an international context and examine the predictions for risk sharing. We will extend this analysis first to International CAPM and then see how market incompleteness and default affect the results.
  • Exchange Rates and International investments
    Here we will study the empirical evidence for the key results of open economy finance/economy theory from pricing to portfolio/investor behaviour.
  • The Global Capital Market: Equity, IPOs and Venture Capital
    We will study how global capital flows into different asset classes, investor preferences and market and regulatory risk.
  • National Debt and Sovereign Risk
    We consider models of sovereign default and currency crisis, motivated by the episode in Argentina and Greece. We then consider models of capital flows and sovereign lending and default
  • Financial Stability, Macro/Micro-prudential policy and international spillovers
    We will cover banking regulations, financial stability and international spillover of risk through the banking system.
  • Russia as an Open Economy and Review
    The post-soviet Russian experience will be examined through the lens of the course material covered. We will go through the material in the course and discuss how various aspects considered tie in together
Assessment Elements

Assessment Elements

  • non-blocking home assignment
    Students who were unable to hand in the assignment due to a valid reason are assigned an additional date to do so.
  • blocking final exam
Interim Assessment

Interim Assessment

  • Interim assessment (1 semester)
    0.7 * final exam + 0.3 * home assignment
Bibliography

Bibliography

Recommended Core Bibliography

  • Maurice Obstfeld, & Kenneth S. Rogoff. (1996). Foundations of International Macroeconomics. The MIT Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.mtp.titles.0262150476

Recommended Additional Bibliography

  • Economic growth, Barro R. J., Sala-i-Martin X., 2004