Courses

Please check with the BSE Handbook which mandatory courses you have to choose in your PhD track. Not all courses listed here can be approved as Core Courses for all BSE PhD tracks.

Instructor:
Tuesday,
03:15pm to 05:45pm
at FU Berlin, Garystraße 21, Room 104
Description:

The aim of microeconometrics is to analyze individual behavior on the basis of micro data (crosssection 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 microdata and the software package STATA.

Literature:
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

The classes will be held by Kai-Uwe Müller (DIW).

Exam: Final exam and small empirical paper with presentation.

Credits:
6.00
Click here to get more information or to sign up
Friday, 09:00am at Eleanor Dulles Room, DIw Berlin, Mohrenstr.58, 10117 Berlin
Description:

Sept 20, 2012 14:00-18:00
Sept 21, 2012 09:00-12:30
If you would like to attend the masterclass, please register with Yun Cao at ycao@diw.de

Click here to get more information or to sign up
Instructor:
Wednesday,
09:00am to 01:00pm
at ESMT (the room number will be displayed on the info screen, foyer Schlossplatz entrance)
Description:

Prerequisite:

To attend this class students must have completed the core micro courses (Microeconomics 1 and 2).

This course presents psychological and experimental research in economics indicating departures from perfect rationality, self interest, and other classical assumptions of economics. To do so, a variety of empirical results are discussed. The course, however, focuses on different ways of how these departures from the standard assumptions can be formally modelled. It also discusses the implications of these formal behavioral model for positive and normative predictions in different institutional settings. The course has three aims: (i) familarizing students with the lively debate in experimental and behavioral economics; (ii) providing them with the methodological competence necessary to understand and judge original emprical research; (iii) provide formal tools for using so-called behavioral approaches in other areas of economics.

Literature:

There is no standard textbook in behavioral economics and the course is not based on a given textbook. Instead, students are expected to read original papers. Nevertheless, a good starting point is: Kahneman, Daniel and Amos Tversky. Choices, Values and Frames, New York: Russell Sage Foundation; Cambridge, U.K.; New York: Cambridge University Press, 2000.

Details of grading / exams depend on the number of participants and will be dicussed in the first session.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Tuesday,
12:00pm to 02:00pm
at HU Berlin, Spandauer Str. 1, Room 202
Monday,
10:00am to 12:00pm
at HU Berlin, Spandauer Straße 1, Room 202
Thursday,
02:00pm to 04:00pm
at HU Berlin, Spandauer Straße 1, Room 202
Description:

Lecture:

Mon. 10-12 a.m., Tue. 12-2 p.m.

Tutorial:

Thu. 2-4 p.m., Fri. 12-2 p.m.

 

Estimation and testing in the general linear model, generalized least squares estimation, asymptotic theory, nonlinear regression models, stochastic regressors, instrumental variable estimation, method of moments.

 
Literature:
  • Davidson, R. and MacKinnon, J.G. (2004): Econometric Theory and Methods, Oxford University Press.
  • Hayashi, F. (2000): Econometrics, Princeton University Press.

Exam: written exam

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Friday,
09:00am to 01:00pm
at DIW, different rooms (see schedule)
Description:

The course deals with advanced estimation techniques in modern econometrics and standard single equation and systems of equations models. It covers time series as well as microeconometric methods.

Literature: to be determined

Exam: written

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Tuesday,
10:00am to 12:00pm
at HU Berlin, Spandauer Str. 1, Room 220
Thursday,
12:30pm to 02:00pm
at HU Berlin, Spandauer Straße 1, Room 203/025
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 (which take place at room 025) 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; 3/4 of final grade) and assignments (1/4 of final grade)

Credits:
9.00
Click here to get more information or to sign up
Monday,
02:00pm to 06:30pm
at Eleanor Dulles Room (5.2.010), DIW Berlin, Mohrenstr. 58, 10117 Berlin
Tuesday,
09:00am to 12:30pm
at Eleanor Dulles Room, DIw Berlin, Mohrenstr.58, 10117 Berlin
Description:

On December 10/11, we will invite the Bernstein Distinguished Professor Eric Ghysels from the the University of North Carolina - Chapel Hill and Professor of Finance at the Kenan-Flagler Business School to give a GC Masterclass on the topic:
Econometrics of Mixed Data Sampling (MIDAS) regressions and related methods.
Please find the short summary of the course attached.

Prof. Ghysels' main research interests are time series econometrics and finance. You can find his profile here:
http://www.unc.edu/~eghysels/

Time: 14:00-18:30 (Dec 10, Monday) ; 09:00-12:30 (Dec 11, Tuesday)
Place: Eleanor Dulles Room (5.2.010)

All are welcome to join us. If anyone is interested in participating in the masterclass, please drop me a short note at ycao@diw.de

Click here to get more information or to sign up
Instructor:
Friday,
04:00pm to 08:00pm
at HU Berlin, Spandauer Str. 1, Room 203
Description:

The course focuses on theoretical concepts, which are fundamental for corporate finance. Topics include: moral hazard, adverse selection, signaling, incomplete contracts and control rights, coordination failure – all with applications to theory of the firm, organizational design, and financial structure.

Literature:
Bolton and Dewatripont. Contract Theory. MIT Press, 2005,
Tirole. Theory of Corporate Finance. Princeton University Press, 2006, and selected articles

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
02:00pm to 04:00pm
at HU Berlin, Dorotheenstraße 1, Room 005
Thursday,
10:00am to 12:00pm
at HU Berlin, Dorotheenstraße 1, Room 005
Description:

This course is based on academic articles and covers major theories and empirical studies in corporate finance, including financing & investment decisions, risk management, behavioral theories, capital structure, corporate governance and the market for corporate control. In addition, we will examine the impact of financial market regulations on corporate decisions.

Literature:
academic articles

Exam:
seminar papers

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Wednesday,
08:30am to 12:00pm
at Schumpeter Hall, DIW Berlin, Mohrenstr.58, 10117 Berlin
Description:

Contents Prof. Burda: Methods of modern macroeconomics for researchers in the field. Stationary Markov environments, state-space methods, stochastic difference equations. Dynamic programming and Lagrangian methods, Complete markets, Dynamic stochastic general equilibrium models, Solution techniques. Empirical consequences of macroeconomic shocks; structural estimation, the Ramsey problem.

Contents Prof. Weinke: This course develops dynamic stochastic general equilibrium (DSGE) models and uses them for positive and normative macroeconomic analysis. To this end a number of theoretical and empirical concepts are presented. Examples include the computation of impulse response functions, structural vector autoregressions, as well as an introduction to structural estimation. On the normative side the concept of Ramsey optimal policy is presented.

Moodle link: http://moodle.hu-berlin.de/course/view.php?id=51296.

Literature for Prof. Burda's part:

  • Ljungqvist and Sargent, Recursive Macroeconomics, 2nd edition (Cambridge, USA: 2004) Chapters 2-4
  • selected journal articles

Literature for Prof. Weinke's part: 

  • chapters 8 and 15 of Ljungqvist and Sargent, Recursive Macroeconomics, 2nd edition (Cambridge, USA: 2004)
  • selected articles, e.g., Galí, Jordi and Pau Rabanal (2004), Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Postwar U.S. Data?, in: NBER Macroeconomics Annual.

Exam: 
Written (90 minutes)

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Thursday,
09:00am to 12:30pm
at ESMT
Description:

The theories and methods of social network analysis have increasingly been harnessed to better understand a diverse array of topics, such as the spread of obesity, the diffusion of innovations, mobility in labor markets, risk-taking behavior in tournaments, and affiliation-based market signaling. This course offers an introduction to the theoretical perspectives and quantitative methods of the network-analytic tradition. A number of key concepts will be introduced, together with opportunities to apply corresponding methods and approaches to measurement using data made available in class. The literature on networks is approached with two goals in mind: (1) understanding the foundations of social network theory and (2) applying methods.

Exam: Project work and presentations.

Please note that this class starts at 9am s.t..

The first session (18.10.12) is taking place in the ESMT Admin Building, room 0.35 on the ground floor. Please use the entrance on Breite Str. 1. All further sessions are taking place in the ESMT Learning Center. Please use the entrance Schlossplatz 1 and refer to the info screen for room numbers.
  

 

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Monday,
09:00am to 04:00pm
at Burgstr. 26 (Theologische Fakultät), room 013
Description:

This background course on mathematics aims to provide fundamental mathematical knowledge essential for advanced economic analysis. Although open to all master students, it is specifically tailored to those wishing to directly pursue the advanced Y-track of courses. Therefore in content and form, this intensive course is intended to deliver methods beyond refreshing advanced calculus and linear algebra. The course solely deals with deterministic mathematics. For some theorems formally rigorous proofs are presented in order to make participants more comfortable with - and ideally to provide some intuition for – constructing and understanding of mathematical proofs. Throughout the course proper use of notation will be stressed. Topics presented in class constitute the minimal required program given the above aim, and the maximal feasible program given time. Self study should cover topics skipped in class, as well as the areas of personal weakness. The lecture takes place as an intensive crash course in the week before the semester.

Exam:
written or oral

Click here to get more information or to sign up
Monday,
10:00am to 02:00pm
at Spandauer Str. 1
Description:

This course is a short course organized by the RTG. It is open to all BDPEMS students. The course will take place on five Mondays from 10 a.m. to 2 p.m. (room 112).

Dates:

  • November 5
  • November 12
  • November 19
  • November 26
  • December 3

Grading is based on two take home exams. The first exam will be handed out after the 4th lecture on November 12 and is due on November 19 before the lecture (see attached syllabus).

Credits:
4.00
Click here to get more information or to sign up
Instructor:
Monday,
01:00pm to 05:00pm
at DIW Berlin, Mohrenstr.58, Schumpeter Hall
Description:

This course is devoted to the economic theory of preferences and choice, consumer choice, demand, production, market equilibrium, decision making under uncertainty, and game theory. The intention of the course is to familiarize students with the advanced tools of modern microeconomic theory.

Exercise classes:    

Andreas Asseyer: Thursday, 8-10am, Spandauer Str., 21a

Jano Costard: Tuesday, 4-6pm, DIW, Dulles (5.2.010)

Dietmar Fehr/Tobias Schmidt: Tuesday, 1:30-3:30pm and 4-6pm, DIW, Schmoller (1.2.026)

Literature: 
Mas-Colell, Whinston, Green: Microeconomic Theory (1995).

Exam:
4 during the course, 1 final exam

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Friday,
08:00am to 12:00pm
at HU Berlin, Spandauer Str. 1, Room 203
Description:

Most of the observable phenomena in the empirical sciences are of a multivariate nature. In financial studies, assets in the stock markets are observed simultaneously and their joint development is analyzed to better understand general tendencies and to track indices. In medicine recorded observations of subjects in different locations are the basis of reliable diagnoses and medication. In quantitative marketing consumer preferences are collected in order to construct models of consumer behavior. The underlying theoretical structure of these and many other quantitative studies of applied sciences is multivariate. The course of Multivariate Statistical Analysis (MVA) describes a collection of procedures which involve observation and analysis of more than one statistical variable at a time.

Literature:
Härdle, Simar (2007, 2nd extended ed.) Applied Multivariate Statistical Analysis, Springer Verlag

Exam:
one part presentation, other part(s) to be announced

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Thursday,
10:00am to 12:00pm
at HU Berlin, Spandauer Str. 1, Room 21a
Description:

The course Non- and Semiparametric Modelling gives an overview over the flexible regression methods. The course starts with an introduction into the density estimation (histogram, kernel density estimation). Nonparametric regression methods and their applications are discussed. Furthermore additive models will be introduced in the course. At the end of the course the students will be able to implement methods to solve practical problems.

Literature:

  • Härdle, Müller, Sperlich, Werwatz (2004): Non- and Semiparametric Modelling, Springer
  • Fan, J. and Gijbels, I. (1996): Local Polynomial Modelling and Its Applications, Chapman and Hall, New York
  • Härdle, W. (1990): Applied Nonparametric Regression, Econometric Society Monographs No. 19, Cambridge University Press
  • Härdle, W. (1991): Smoothing Techniques, With Implementations in S, Springer, New York
  • Härdle, Klinke, Müller (1999): XploRe - Academic Edition, The Interactive Statistical Computing Environment, Springer, New York
  • Scott, D. W. (1992): Multivariate Density Estimation: Theory, Practice, and Visualization, John Wiley & Sons, New York, Chichester
  • Silverman, B. W. (1986): Density Estimation for Statistics and Data Analysis, Vol. 26 of Monographs on Statistics and Applied Probability, Chapman and Hall, London
  • Wand, M. P. and Jones, M. C. (1995): Kernel Smoothing, Chapman and Hall, London
  • Yatchew, A., (2003): Semiparametric Regression for Applied Econometrician, Cambridge University Press, Cambridge

Students can purchase the Professional Edition of XploRe and/or a bookset for a reduced price. For details please ask the lecturer or send an email to mdtech@mdtech.de.

Exam:
written
Credits:
6.00
Click here to get more information or to sign up
Instructor:
Wednesday,
08:00am to 12:00pm
at HU Spandauer Str. 1, room 026 (PC pool)
Description:

This course will cover a variety of numerical methods for solving dynamic stochastic general equilibrium models, including policy and value function iteration, log-linearization and Euler equation methods. In addition, students will learn how to choose parameters for models by calibration.

Exam: 3 take-home problem sets

Credits:
6.00
Click here to get more information or to sign up
Friday,
09:00am to 01:00pm
at ESMT (the room number will be displayed on the info screen, foyer Schlossplatz entrance)
Description:

This seminar aims to provide foundation knowledge in the Organizational Behavior (OB) field, including classic and contemporary theories, ongoing controversies, and ground breaking empirical studies. Drawing primarily on psychology and sociology, this course has a special focus on the role of the individuals and teams within organizations. Major topics include: individual personality, attitudes and emotions, motivation, leadership, organizational justice, group/team diversity and processes, power and influence, organizational culture, and social networks. It is critical to read the required readings before class and spend some time thinking about the implications of the readings, both separately and as a collection.

Some background readings include:

Davis, M. (1971). That’s interesting! Philosophy of Social Science, 309-344.
Dutton, J. E. & Dukerich, J. M. (2006). The relational foundation of research: An underappreciated dimension of interesting research. Academy of Management Journal, 49, 21-26.
Heath, C., & Sitkin, S. (2000). Big-B versus Big-O: An examination into what is distinctly organizational about organizational behavior. Journal of Organizational Behavior, 22, 1-16.
Sutton, R. I. & Staw, B. M. (1995). What theory is not. Administrative Science Quarterly, 40, 371-384.

There will be no in-class exam in this course. However, each participant is expected to turn in a term paper and present it in class, which is the equivalent of the final exam. Specifically,

The term paper is a research proposal due in our last class. The research proposal provides each student the opportunity to conceive and plan a study on some issue within the domain of the course. An initial one-page proposal for your study is expected. In the term paper, you should provide a literature review of the related work to-date, a theoretical framework consisting of hypotheses, and methodology to be used for testing the hypotheses (for the format, use AMJ publications as examples). The paper should be in no more than 15 double-spaced pages of text. Each student will give a 20 minutes presentation of his or her term paper in the last class (pending on the number of participants).

Dates:
November 30, 2012
December 7, 2012
December 14, 2012
January 11, 2013
January 18, 2013
January 25, 2013
February 1, 2013

Credits:
4.50
Click here to get more information or to sign up
Instructor:
Monday,
02:00pm to 04:00pm
at TU Berlin, Main Building, Room H 0107
at TU Berlin, Main Building, Room H 5143a (tutorial)
Description:

The course discusses aspects of international taxation from a public economics point of view. The focus is on capital tax competition between jurisdictions (countries, states, municipalities). The students gain insights into the reasons for the inefficient provision of public goods due to detrimental tax competition and become acquainted with policy instruments to mitigate tax competition. We also address other issues like, e.g., commodity tax competition, international profit shifting (tax planning) of multinational firms and taxation of foreign profits.

There will be a tutorial, the time slot will be discussed in the first session of the lecture in order to account for the Ph.D. students’ preferences.

Syllabus:
- Basic principles of international taxation
- Basic framework of capital tax competition and harmonization
- Tax competition and foreign firm ownership
- Tax competition and fiscal equalization
- (Further) Reasons for inefficient overtaxation
- Taxation of foreign profits of multinational firms
- Profit shifting of multinational firms
- Separate Accounting versus Formula Apportionment in corporate taxation
- Preferential tax regimes in international taxation
- Commodity tax competition

Literature: A reading list is provided in the first session of the lecture.

Exam: 1 written exam at the end of the semester

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Friday,
02:00pm to 04:00pm
at HU Berlin, Spandauer Straße 1, Room 22
Description:

The objective of the course is twofold. First, it familiarizes students with the most standard results and standard analyses of regulation in product markets. The course addresses, in particular, regulatory issues due to market power and concentrates on monopoly, merger regulation and anti-trust. Second, the course discusses regulatory issues that are directly related to the research themes of the doctoral program, in particular environmental regulation and regulation in vertical relationships.

 
Course Outline:
I. Antitrust and Merger Regulation (Bester)
II. Price and Monopoly Regulation (Strausz)
III. Regulation in Vertical Markets (Baake)
IV. Environmental Regulation (Schmidt)
 
Literature:
see RTG website
 
Exam:
written exam (90 min)
Credits:
6.00
Click here to get more information or to sign up
Instructor:
Wednesday,
04:30pm to 06:00pm
at ESMT (the room number will be displayed on the info screen, foyer Schlossplatz entrance)
Description:

Prerequisite:

Students should have taken a PhD-level class in behavioral or experimental economics.
Please note that you have to participate in this research class for two semesters in order to achieve 6 ECTS. Students who want to take the two-semester sequence for credit should also attend the preliminary (organizational) meeting: Wednesday, October 24, 16:00 at ESMT, Room 'Garden View'.

The course offers students the possibility to learn about ongoing research in behavioral and experimental economics through seminar presentations from external scholars. Students who want to take this course for credit need to write three referee reports per semester selected from the list of papers that are presented and hand these in three working days before the seminar (i.e. deadline is 1pm on the last Friday prior to the seminar). In addition, they need to attend both semi-annual internal all-day workshops and present own original research in at least one of these workshops.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Monday,
12:00pm to 02:00pm
at HU Berlin, Spandauer Straße 1, Room 21a
Description:

The course covers a part of mathematical statistics which deals with the limiting behavior of different sample statistics, U-statistics, M-, L- and R-Estimates. This course gives better understanding for the basic tools learned in the elementary Statistics I and II, like Law of Large Numbers, Central Limit Theorem, Kolmogorov-Smirnov and Cramer-von-Mises tests, sample mean and sample variance behavior, etc. This course is laying a bridge between the probability theory and the mathematical statistics by manipulating with "probability" theorems to obtain "statistical" theorems. In the first part of the course we discuss basic tools of asymptotic theory in statistics: convergence in distribution, in probability, almost surely, in mean. We also consider main probability limit laws: LLN and CLT. Then we deal with the usual statistics computed from a sample: the sample distribution function, the sample moments, the sample quantiles, the order statistics. Properties, such as asymptotic normality and almost sure convergence will be derived in the lecture. Afterwards, comes the asymptotics of statistics concocted as transformations of vector of more basic statistics. Next part concerns statistics arising in classical parametric inference and contingency table analysis. These include maximum-likelihood estimates, likelihood-ratio tests, etc. Last part of the course treats U-statistics, statistics obtained as solutions of equations (M-estimates), linear function of order statistics (L-estimates) and rank statistics (R-estimates).

 
Literature: 
Sering R.J. (1980) Approximation Theorems of Mathematical Statistics / Wiley.
 
Exam: 
oral exam
Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
10:00am to 12:00pm
at HU Spandauer Str. 1, rom 21a
Description:

The course offers an overview of advanced statistical methods in quantitative finance and insurance which should be comprehensible for a graduate student in financial engineering as well as for an inexperienced newcomer who wants to get a grip on advanced statistical tools applied in these fields.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Monday,
04:00pm to 08:00pm
at HU Berlin, Spandauer Str. 1, Room 23
Description:

The course starts with an introduction into the basic concepts of option pricing and its probabilistic foundations. Next, stochastic processes in discrete time are presented and the Wiener process is introduced. Itô's Lemma is derived and the Black-Scholes (BS) Option model is presented leading to the analytic solution for the BS Option price. Numerical solutions via a binomial or trinomial tree constructions are discussed in detail.

Literature: 
  • Franke, J., Härdle, W., and Hafner, C. (2011) Statistics of Financial Markets: an Introduction. 3rd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-16520-7 (599 p)
  • Härdle, W., Hautsch, N. and Overbeck, L. (2009) Applied Quantitative Finance. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p)
  • Hull (2005) Options, Futures, and Other Derivatives. 6th ed., Prentice Hall. ISBN 0-13-149908-4 (816 p)
  • Härdle, W., Simar, L. (2007) Applied Multivariate Statistical Analysis. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 3-540-72243-4 (456 p)
  • Cizek, P., Härdle, W., Weron, R. (2011) Statistical Tools for Finance and Insurance. 2nd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-18061-3 (420 p)
Exam: 
oral
Credits:
9.00
Click here to get more information or to sign up
Monday,
10:00am to 12:00pm
at HU, Spandauer Str. 1, room 112
Description:

This short course by John Roemer (Yale University) consists of three lectures:

December 10: 10:00 a.m. to 12:00 p.m., room 112: "A theory of sustainability for a warming planet"
December 11: 10:00 a.m. to 12:00 p.m., room 112: "North-South convergence in the presence of climate change"
December 12: 10:00 a.m. to 12:00 p.m., room 112: "Kantian equilibrium: A game-theoretic approach to cooperation"

Assignment: Students who would like to obtain credits will be asked to hand in a report after the course.

You can sign up for the course on this site or by writing an e-mail to bdpems@hu-berlin.de. The course material will be provided via e-mail in due time.

Credits:
2.00
Click here to get more information or to sign up
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