This compact course teaches several methods and models for studying financial crises: signal accounting, binary choice models, extreme value theory, Bayesian model averaging, sudden stop and sovereign debt model. Each method will be demonstrated using real-world data.
The course is conducted by Prof. Dr. Tai-kuang Ho (National Taiwan University, Department of Economics).
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
Aim of the course -
This course will teach you several methods and models for studying financial crises. We will start with the simplest one, signal accounting, a tool based on business cycle analysis. Next, we will cover conventional binary choice models and how to select useful explanatory variables from many possible regressors.
We will also discuss models related to sudden stops in capital flows and sovereign debt defaults. This course focuses on practical, empirical research, so I will explain relevant programs and numerical methods during the lectures.
Each lesson unit is three hours long. In the first hour, I will introduce the model and its details, including its setup and estimation methods. During the second hour, I will cover representative empirical studies that have used this model for research. The third hour will focus on explaining the estimation program used and include a discussion.
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
This course will teach you several methods and models for studying financial crises. We will start with the simplest one, signal accounting, a tool based on business cycle analysis. Next, we will cover conventional binary choice models and how to select useful explanatory variables from many possible regressors.
We will also discuss models related to sudden stops in capital flows and sovereign debt defaults. This course focuses on practical, empirical research, so I will explain relevant programs and numerical methods during the lectures.
Each lesson unit is three hours long. In the first hour, I will introduce the model and its details, including its setup and estimation methods. During the second hour, I will cover representative empirical studies that have used this model for research. The third hour will focus on explaining the estimation program used and include a discussion.
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
Literature -
Course Slides The teacher will use teaching materials prepared by himself.
General References Reinhart, Carmen M. and Kenneth S. Rogoff (2009), This Time Is Different: Eight Centuries of Financial Folly, Princeton University Press. Eichengreen, Barry (2015), Hall of Mirrors: The Great Depression, the Great Recession, and the Uses-and Misuses-of History, Oxford University Press. Marcus, Nathan (2018), Austrian Reconstruction and the Collapse of Global Finance, 1921-1931, Harvard University Press. Straumann, Tobias (2019), 1931. Debt, Crisis, and the Rise of Hitler, Oxford University Press. James, Harald (2022), Schock Momente: Eine Weltgeschichte von Inflation und Globalisierung 1850 bis heute, Herder Verlag. Hinrichsen, Simon (2023), When Nations Can't Default: A History of War Reparations and Sovereign Debt, Cambridge University Press.
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
Course Slides The teacher will use teaching materials prepared by himself.
General References Reinhart, Carmen M. and Kenneth S. Rogoff (2009), This Time Is Different: Eight Centuries of Financial Folly, Princeton University Press. Eichengreen, Barry (2015), Hall of Mirrors: The Great Depression, the Great Recession, and the Uses-and Misuses-of History, Oxford University Press. Marcus, Nathan (2018), Austrian Reconstruction and the Collapse of Global Finance, 1921-1931, Harvard University Press. Straumann, Tobias (2019), 1931. Debt, Crisis, and the Rise of Hitler, Oxford University Press. James, Harald (2022), Schock Momente: Eine Weltgeschichte von Inflation und Globalisierung 1850 bis heute, Herder Verlag. Hinrichsen, Simon (2023), When Nations Can't Default: A History of War Reparations and Sovereign Debt, Cambridge University Press.
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
Requirements to the exam -
Online test after the end of the course. 50% threshold to pass the course applies.
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
Online test after the end of the course. 50% threshold to pass the course applies.
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
Syllabus -
January 7 (Tuesday) Signal Accounting Binary Choice Models
January 8 (Wednesday) Extreme Value Theory Bayesian Model Averaging
January 9 (Thursday) Sudden Stop Model Sovereign Debt Model
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
January 7 (Tuesday) Signal Accounting Binary Choice Models
January 8 (Wednesday) Extreme Value Theory Bayesian Model Averaging
January 9 (Thursday) Sudden Stop Model Sovereign Debt Model
Last update: Baxa Jaromír, PhDr., Ph.D. (11.10.2024)
