Empirical Finance
- Credits: 7
- Ending: Examination
- Range: 26sP
- Semester: winter
- Year: 2
- Faculty of Economics and Finance
Teachers
Included in study programs
Teaching results
The aim: the course will improve students’ methodological knowledge in empirical finance with focus on time series and panel analysis. A particular emphasis will be put on the discussion of individual research projects (preferably as a part of dissertation) and the application of econometric software to data analysis.
The students should gain experience in the following areas:
• collect experience in empirical financial analysis;
• knowledge of standard and new data sources;
• learn selected advanced methods of empirical finance;
• apply methods of quantitative research in individual empirical research projects, preferably as a part of their dissertation.
• present own research and critically discuss early research results of colleagues
• cooperate on larger research projects.
Indicative content
Introduction
• discussion of topics and student presentations;
• selection of econometric software (stata, R).
Analysis of stationary time series
• selected unit root tests;
• vector autoregression (VAR) models, impulse response functions, variance decomposition, forecasting (extension);
Analysis of non-stationary time series – cointegration
• Granger-Engle cointegration test, error correction model
• Johansen cointegration test, vector error correction model, forecasting (extension)
Panel Data Analysis
• fixed versus random effect models
• dynamic panels
• panel unit root tests and panel cointegration tests
Extensions
• survey models (probit and panel probit models)
The focus of the course will be selected according to research focus of PhD students, who will be supposed to present their research projects and discuss appropriate methods. The expected topics should cover especially the analysis of exchange rates, interest rate, selected assets including e.g. cryptocurrencies and/or access to finance of small and medium enterprises.
Support literature
Baltagi, B. H. (2008) Econometric Analysis of Panel Data, 4th ed., John Wiley, New York, 2008.
Lütkepohl, H. (2005): New Introduction to Multiple Time Series Analysis, Springer.
Stock, J.H., Watson M. W. (2007): Introduction to Econometrics, 2nd Edition. Addison Wesley
Verbeek, M. (2012): A Guide to Modern Econometrics, 4th edition, Wiley.
Wooldridge, J. M. (2013). Introductory Econometrics: A Modern Approach. South-Western.
Selected Papers.
Collins, S., James, D., Servátka, M. & Vadovič, R. “Attainment of Equilibrium via Marshallian Path Adjustment: Queueing and Buyer Determinism,” Games & Economic Behavior, 125, 2021, 94-106.
Deck, C. Servátka, M. & Tucker, S. “Designing Call Auction Institutions to Eliminate Price Bubbles: Is English Dutch the Best?” American Economic Review: Insights, 2(2), 2020, 225-236. Collins, S., James, D. Servátka, M. & Woods, D. “Price-Setting and Attainment of Equilibrium: Posted Offers Versus An Administered Price,” Games & Economic Behavior, 106, 2017, 277-293. Kapounek, Svatopluk/ Kučerová, Zuzana/ Fidrmuc, Jarko et al.: Lending conditions in EU: The role of credit demand and supply. In: Economic Modelling, 2017, 67, 7, 285 - 293.
Crespo Cuaresma, Jesús/ Fidrmuc, Jarko/ Hake, Mariya et al.: Demand and supply drivers of foreign currency loans in CEECs: A meta-analysis. Economic Systems, 2014, 38, 26 - 42.
Fidrmuc, Jarko/ Hake, Mariya/ Stix, Helmut et al.: Households’ foreign currency borrowing in Central and Eastern Europe. Journal of Banking and Finance, 2013, 37, 6, 1880 - 1897.
Fidrmuc, Jarko/ Hainz, Christa: The effect of banking regulation on cross-border lending. In: Journal of Banking and Finance, 2013, 37, 5, 1310 - 1322.
Requirements to complete the course
30% two tests during the semester using software, 10% activity during the semester, 60% final exam
Student workload
Total study load (in hours): 182 h
Consultations 26 h, preparation for consultation 56 h, preparation for final exam 100 h.
Language whose command is required to complete the course
slovak
Date of approval: 06.02.2023
Date of the latest change: 24.01.2022