Courses

Instructor:
Friday,
12:00am to 02:00pm
at HU Berlin, Spandauer Str. 1, Room 23
Description:

This course introduces the students to recent developments in empirical asset pricing. The central question addressed in the course is: What causes the fluctuations in prices of risky assets? This question has been a source of intense debate among financial economists over the last decades, with no resulting consensus. It has divided our profession into two broad groups, “rational” and “behavioral”. The course starts with a brief review of the basic concepts of the asset pricing theory. The main part of the course is divided into three sections:
1. Time-series facts and excess volatility
2. Cross-sectional facts and anomalies
3. Empirical methods
Each section will include (i) lectures, (ii) empirical work and (iii) student presentations and discussions of the papers from the reading list.

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Instructor:
Tuesday, 02:15pm at DOR1, 3.04
Description:

Capital-Structure Theory, Financial Constraints, Internal Capital Markets, Delegated Investment Management, Empirical Methods

Corporate Governance, Behavioral Finance, Corporate Risk Management

Financial Contracting: Decision and Control Rights, Strategic Default, Investor Monitoring: Takeovers

Implementation of models and calculations of select papers from the seminar using GNU/R.

A component of the Seminar is an ungraded presentation of research paper, referee report.

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Instructor:
Wednesday, 12:15pm at HU, Spandauer Str. 1, room 22
Description:

Evaluating marketing decisions and developing goal-oriented marketing strategies, e.g. maximizing firm profits, depend on the measurement of causal relationships between firms’ objectives and marketing activities. In this course, we discuss in depth advanced methods to empirically determine the causal relationship between marketing activities and firms’ objectives. In exercise courses students learn how to apply these methods to real data. Special attention is given to modeling the effects of marketing on sales and market share data. In this course we also focus on discrete choice models for individual purchase data and aggregate sales data. Successful participation in this class will enable students to quantify the impact of marketing on key performance measures and to evaluate the success of marketing activities.

Literature:


1. Anderson, S.P., de Palma A. and Thisse, J.-F. (1992), Discrete Choice Theory of Product Differentiation, The MIT Press.
2. Cody, R.P. and Smith, J.K. (2006), Applied Statistics and the SAS® Programming Language, Pearson.
3. Dubin, J. A. (1998), Studies in Consumer Demand – Econometric Methods Applied to Market Data, Kluwer Academic Publishers Group.
4. Franses, P.H. and Paap, R. (2010), Quantitative Models in Marketing Research, Cambridge University Press.
5. Hanssens, D.M., Parsons, L.J. and Schultz, R.L. (2003), Market Response Models: Econometric and Time Series Analysis, Kluwer Academic Publishers Group.
6. Train, K.E. (2009), Discrete Choice Methods with Simulation, Cambridge University Press. 1st edition is available here: http://elsa.berkeley.edu/books/train1201.pdf.
7. Verboven, F. (1996), International Price Discrimination in the European Car Market. RAND Journal of Economics, 27(2), 240–268.
8. Wooldridge, J.M. (2008), Introductory Econometrics, South-Western Cengage Learning.

Exam:
 4 non-graded Special Work Performances plus Graded written Assignment

Credits:
6.00
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Instructor:
Monday, 01:30pm at HU, Spandauer Str. 1, room 23
Description:

The course aims at providing the basic concepts and methods for analysing panel data. It begins with introducing different static panel models with fixed and random effects, and discusses the problem of estimation in these models. The course covers tests of hypotheses with panel data as well as techniques for serial correlation, heteroscedasticity, simultaneous equations, dynamic models and models for qualitative dependent variables.
In the tutorials the methods are revisited and applied to empirical data using the software STATA. A deeper insight into advanced methods and additional topics is offered by means of assignments, empirical studies and/or literature reviews.

Literature:
- Baltagi, B.H., (2005), Econometric Analysis of Panel Data, 3rd ed., Wiley, New York.
- Hsiao, C., (2003), Analysis of Panel Data, 2nd ed., Cambridge University Press.
- Arellano, M. (2003), Panel Data Econometrics, Oxford: Oxford University Press.

Exam: written exam (90 min)

Weekdays/Times: Mon, 10:00-12:00, room 23
Thu, 12:00-14:00, room 25

Credits:
6.00
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Instructor:
Tuesday, 02:30pm at FU Berlin, Garystr.
Description:

The aim of applied microeconometrics is to analyze individual behavior on the basis of micro data (cross-section and panel data) of individuals, households, and firms. The standard linear regression model is generally not applicable to micro data due to the non-metric measurement and censoring of dependent variables at the individual level, selectivity and incomplete observability of endogenous variables, and the dependence of individual observations over time. The empirical methods most frequently applied in empirical microeconomics are surveyed and several applications in empirical microeconomics are presented. Students learn how to apply these methods using real-world micro data and the software package STATA.

Time(s): 2:30 - 4 pm (lectures); 8:30 - 10:00 am (tutorials)

Literature:
M. Verbeek, A Guide to Modern Econometrics (4 ed.), Wiley, 2012.
A. C. Cameron and P. K. Trivedi, Microeconometrics. Methods and Applications, Cambridge University Press, 2005
W. H. Greene, Econometric Analysis (7 ed.), Pearson, 2012, Chapters 11 and 17-19.
J. M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, MIT Press, 2 ed. 2010
Selected journal articles on empirical applications.

Credits:
6.00
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Instructor:
Friday, 02:00pm at HU Berlin, Dorotheenstr. 1, Room 2.04
Description:

The course aims at equipping you with the necessary background and skill-set to read, comprehend and evaluate empirical work in the area of financial accounting research. It is aimed at second year PhD-students and requires a sound background in economics
and microeconomics. In addition, students should have a general understanding of the institutions of capital markets in general and financial accounting in particular. Master students are invited to attend but it is not possible to obtain credits. If you are
interested in attending please contact Joachim Gassen (gassen@wiwi.hu-berlin.de).

Credits:
0.00
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Instructor:
Description:

The Institute of Accounting and Auditing is offering a Financial Accounting Research Group. This seminar is targeted at interested students which have an active interest in current financial accounting topics and in cutting-edge financial accounting research. The main objective of this seminar is to introduce eligible students to current research in the area of financial accounting and auditing.
In this context, we will provide participants with the necessary skills to comprehend common research design choices and to identify shortcomings of these choices. To achieve this, participants of the seminar will be invited to several lectures, tutorials and talks of international guests, which will take place at the institute. Since it is common to discuss the content of these talks beforehand, participants will also be invited to the corresponding discussion meetings at the institute. Each seminar period will last for one academic year and we expect participating students to commit to the full year. We expect to have around 12 meetings (6 research talks and 6 discussion meetings) scattered throughout the academic year.
A final seminar schedule will be distributed at beginning of each term. The discussion meetings prior academic talks will be arranged on short notice.
Enrolment into the seminar is possible at the beginning of winter or summer term. Students can chose to obtain 6 ECTS by submitting three reviews (or two reviews and a discussion protocol) on papers that are presented throughout the seminar.
The number of participants is limited. Relevant literature and additional material will be announced throughout the seminar.
The number of participants is limited to 8.
An application form will be available on our institute's website approximately two weeks before the term starts. The application period will end on 18 April 2016.

The exact dates will be announced due time.

Credits:
6.00
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Instructor:
Thursday, 10:15am at DIW, Garystr. 21, room 105
Description:

Participating students are expected to be familiar with basic time series analysis and methods of econometrics. The course covers advanced methods of modelling and analysing multiple time series. Students are introduced to the models, parameter estimation and specification of the relevant models. They will learn to use them for economic analysis and forecasting.

Contents

Review of univariate time series analysis
Vector autoregressive (VAR) models
Specification and estimation of VAR models
Cointegration
Vector error correction models (VECMs)
Estimation of VECMs
Cointegration tests and specifications of VECMs
Structural vector autoregressive analysis

Literature

Hamilton, J., Time Series Analysis, Princeton University Press, Princeton, NJ, 1994.
Johansen, S., Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford, 1995.
Lütkepohl, H., New Introduction to Multiple Time Series Analysis, Springer, Berlin, 2005.

Thursdays from 10:15 to 11:45 and 14:15 to 15:45. The first lecture will take place on April 21.

Credits:
6.00
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Instructor:
Friday, 10:00am at DIW, Mohrenstrasse 58, Friedensburg Room
Description:

The seminar deals with changes and new developments in the theoretical and empirical literature on monetary policy. Topics covered through lectures and seminar papers include the following: the appropriate mandates and objective function of central banks, the relationship between monetary policy and financial supervision, the role of the exchange rates, the functioning of monetary policy in a monetary union, the importance of fiscal dominance, quantitative easing during financial crises, the role of communication of objectives and policies, the functioning of central bank committees, transparency and independence and accountability, global coordination of monetary policy, the international role of the euro and the US dollar.

The course will first start with a series of lectures addressing these various issues. The seminar participants are then asked to prepare a seminar paper on one of the issues, which then have to be presented and discussed towards the end of the semester.
To allow an intensive dialogue among the students, the seminar is organized in block classes. Many topics are closely related to each other.

The lectures will take place on 22 and 29 April and 3 May. The seminar presentations will take place on 14 and 19 July.

Location: DIW, Mohrenstr. 58, Friedensburg Room
Restriction to participation: 20
Registration: 11. to 15.04.2016 via e-mail to mfratzscher@diw.de

Grading: Seminar paper (10 - 15 pages, 70 %) + presentation and discussion (30 %)

Credits:
6.00
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Instructor:
Monday,
12:00am to 02:00pm
at HU Berlin, Spandauer Str. 1, Room 125
Tuesday,
02:00pm to 04:00am
at HU Berlin, Spandauer Str. 1, Room 22
Credits:
6.00
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Wednesday,
02:30pm to 05:30pm
at Friedensburg Room 2.2.008, DIW Berlin, Mohrenstraße 58
Description:

Course objectives:

Discuss advantages and limitations of structural econometric models. Give students an understanding
of why and when adding structure is important.

Provide insights into strategy (especially, identi cation) in important papers in structural Labour,
Public & IO literature. Give a feel of how one may go about establishing a structural model.

Establish basic estimation techniques & numerical methods such as Simulation, Numerical integration
and Discretisation.

Provide introduction to the matrix programming language Matlab. Loops vs. vectorisation; read-
ability vs. speed; sustainable coding for several projects

Credits:
6.00
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Instructor:
Thursday, 02:15pm at FU Berlin, Garystr. 21, Lecture Hall 104a
Description:

The course “Taxation” consists of a lecture (2 class hours) and problem class (1 class hour) covering the economics of taxation. The course is primarily concerned with the microeconomic theory of taxation.

We cover the following topics:
• Fundamentals of Taxation
• Taxation and Labor Supply
• The Excess Burden of Taxation
• Tax Incidence
• Optimal Direct Taxation
• Optimal Indirect Taxation
• The Effects of Taxation on Savings
• Taxation and Risk Taking
• Taxation and Investment
• Taxation and Capital Structure
• Tax Evasion

Literature:
• Textbook: Salanié, Bernard (2011): "The Economics of Taxation", 2nd edition, Cambridge, MA: MIT Press.
• Further literature will be announced in class.

Exam:
Participants take a final written exam (120 minutes). In addition, PhD students are required to write a term paper (theoretical or empirical).

Dates and Venue:
The lecture and problem class take place in Lecture Hall B, Henry Ford Building, Garystr. 35-37, in the first seven weeks of the summer term (20.4.-2.6.16).
Problem class: Wednesday 16:15-17:45,
Lecture: Thursday 14:15-17:30.

Credits:
9.00
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Instructor:
Monday,
10:00am to 12:00am
at TU Berlin, Main Building, Room tba
Friday,
02:00pm to 04:00am
at TU Berlin, Main Building, Room H 0107
Description:

The Economics of Climate Change is an introductory course into the economic assessment of climate change impacts and optimal mitigation and adaptation response. Welfare-economic concepts such as cost-benefit analysis, (inter-generational) discounting, non-market valuation, and different concepts of social welfare are applied to understand the impact of climate change and climate change mitigation on long-term welfare and growth. Since these concepts can be applied to many public policy problems, the course is also an introduction into intertemporal welfare theory and public economics.

The Economics of Climate Change is taught in the summer semester. In the winter semester, there is a complementary course on The Economics of Climate Policy. That course takes a decentralized policy perspective, discussing incentives, policy instruments, and game theory.

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Instructor:
Monday, 02:00pm at HU, Spandauer Str. 1, room 22
Description:

The course aims at providing the basic concepts and methods for analysing time series data. The focus is on univariate modelling tools. The lecture begins with classical components models. Then we cover different types of stochastic processes like ARIMA and GARCH models, deal with the unit root methodology and procedures for forecasting as well as for the specification, estimation and validation of models. Multivariate extensions are demonstrated, with emphasis on vector autoregressive (VAR) processes and its application in causality and impulse response analyses. Nonstationary systems with integrated and cointegrated variables will also be treated.

In the tutorials the time series methods are applied to empirical data. We will intensively make use of econometric software packages. A deeper insight into advanced methods and additional topics is offered by means of assignments, empirical studies and/or literature reviews.

Literature:
- Hamilton (1994). Time Series Analysis. Princeton, University Press.
- Schlittgen/Streitberg (2001). Zeitreihenanalyse. Oldenburg Verlag, München.
- Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer Verlag, Heidelberg.

Exam: written exam (90 min)

Credits:
9.00
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Instructor:
Friday, 10:00am at TU Berlin, Main Building, Room H 0107
Friday,
08:00am to 10:00am
at TU Berlin, Main Building, Room H 0112
Description:

Was ist ein kausaler Effekt? Wie kann man den kausalen Effekt einer „Behandlung“ (z.B. eines Arbeitsmarktprogramms oder einer Universitätsausbildung) auf eine Resultatsvariable (z.B. auf das Einkommen oder die Beschäftigungswahrscheinlichkeit) mit nicht experimentellen Beobachtungen schätzen? Die grundsätzliche Frage nach der Kausalität in der empirischer Forschung hat in den letzten Jahren enorme Bedeutung gewonnen und zwar nicht nur bei der Entwicklung von Methoden und Modellen zum Thema sondern auch in der Praxis. So versuchen die jüngst im Auftrag des Wirtschaftsministeriums durchgeführten Evaluierungen der Hartz-Reformen allesamt den kausalen Effekt dieser Reformen auf die Arbeitsmarktchancen der Betroffenen zu ermitteln mit Methoden, die in dieser Veranstaltung behandelt werden. Da Kausale Effekte sehr oft Ziel der Forschung sind, ist diese Veranstaltung nützlich als orbereitung für empirischen Forschungsarbeiten aller Art (Seminararbeiten, Masterarbeiten, Studienprojekte, Doktorarbeiten). Ziel ist es, in die Schätzung, Spezifikation, Interpretation und Anwendung der ökonometrischen Modelle einzuführen, die für die Analyse kausaler Effekte entwickelt wurden. Ein sehr wichtiger Bestandteil, um die Qualifikationsziele zu erreichen, sind die Übungen am Computer, um die Methoden selbständig auf reale Daten anzuwenden.

Credits:
9.00
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