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1、ECO507:TOPICSINEMPIRICALMACROANDFINANCESprint2013AtifMianPrincetonUniversityThisisanewPh.D.coursegearedtowards,(i)understandinghowfinanceandthemacroeconomyinteractwitheachother,and(ii)introducingmicro‐empiricaltechniquesanddatasetsforansweringtraditional
2、macroquestions.Thefocusoftheclassisempiricalbutwebegineachtopicwithadiscussionofitstheoreticalfoundation.Formostofthiscourse,wedefinefinanceastheprocessofdebtaccumulation.Whyshouldthelevelofdebtanditsinteractionwithassetpricesmatterfortherealeconomy–i.e.
3、thefirstandsecondmomentsofquantitiessuchasconsumption,investmentandemployment?Priorto2008,therewasnotmuchfinanceinmacro:debtwaslargelyasideshow.ThestandardDSGEmodelincorporatedrationalexpectations,inter‐temporaloptimizationandKeynesianperspectiveofsticky
4、prices.Buttherewasnoroleforfinanceordebtinthesemodels.Now,everyonerecognizesthatweneedto“bringfinanceintomacro”.Buthow?Thisisthefocusofthiscourse.Ourapproachispurelyempiricalinnature.Wewilltrytobuildapiecemealpictureofhowfinanceactuallyimpactstherealecon
5、omy.Wewillconstantlyreferencebacktorelevanttheories,bothtodesignempiricaltestsappropriatelyandtotestwherecertaintheoriesmaybelackingrealism.Wewillpaycarefulattentiontoeconometrictheory,hypothesistestingandidentification.Alongtheway,Iwillintroduceanumbero
6、fnewandexcitingdatasetsthatallowustolookatthemacroeconomyatamuchmoregranularlevelthaneverbefore.ItistimetoharvestthefruitsoftheITrevolution.CourseGrading:Mostofall,thiscourseisgearedtowardshelpingyouwritepapersinempiricalfinanceandmacro.Developingaresear
7、chideaisthemostimportantpartofthecourse.Thecourseassignmentsarebasedon(i)Dataexercises,(ii)Replication/Extensionexercises,and(iii)presentingadevelopedresearchideaattheendrelatingtothebroadthemeofthecourse.CourseOutline:(subjecttochange.Updatedversiononli
8、ne)DOESFINANCEAFFECTTHEREALECONOMY?Week1TUE ‐‐ BasicTheoryI*Modigliani,F.andMiller,M.H.(1958).TheCostofCapital,CorporateFinanceandtheTheoryofInvestment.AmericanEconomicReview,48,261‐97.*Eggertsson,GautiandM.Woodford,(2003)
