Courses in monetary economics and econometrics
Since January 2013, I have been a Professor of Economics and BB&T Scholar at Clemson University.
I teach time-series econometrics and monetary economics at Clemson University. Teaching these courses has brought home that making up slides for a full semester course is like writing a book. I am comfortable with the slides for time-series econometrics. The Ph.D. course in monetary economics is more of an introduction than anything else. The slides reflect this. The slides for the undergraduate class reflect a financial-markets and special-topics emphasis.
In addition, I was an adjunct lecturer at Trinity College, Dublin where I taught a course in financial econometrics from 2009 to 2016. I taught the whole course in one week about 25 hours of lectures in a week. Students do not learn the material in one week of course, but they generally do quite well writing a paper and on an exam a couple of months after the lecture.
The material here is provided freely but it is copyrighted by me.
At Clemson, I teach a course in time-series econometrics. I use Enders' book Applied Econometric Time Series. I do not do everything in the book and I cover some material not in the book, but this book comes closest to what I want to cover among books on the market.
I think the material is well organized, although the material on multivariate time series is a work in progress.
The topics are:
Univariate time series analysis, basically Box-Jenkins time series analysis.
Volatility in Part 1 Univariate and Part 2 Multivariate.
Multivariate Time Series in Part 1 Part 2 Part 3 Part 4 and Part 5.
Nonlinear time series, a fairly general overview.
Among other additional material, students also have notes on Cointegration and on Nonlinear time series. I also provide an extremely brief discussion of Bayesian Model Averaging in the context of a discussion of an application. At the least I hope to discourage them from using any variant of stepwise regression.
From 2009 to 2016, I taught a one-week, 25-hour course in Financial Econometrics at Trinity College, Dublin. (No, I didn't present one equation after another for 25 hours in one week. The students would have been bored beyond bearing.) This course is for students in the Masters in Finance program. The exam is a few months after the lectures, so the students have my lectures, the book, what they learned doing detailed assignments plus occasional correspondence to help them actually learn the material. This works better than I anticipated. Making up the lectures is a daunting task but the students are interested and an interesting group of people. The syllabus provides an overview of the course.
The lectures are divided by topics. I think the notes cover the topics reasonably well given the time available.
Algebra is used to present material but not to derive results because it's not what they are expected to learn
in this program and it probably would not be helpful for quite a few of them.
Some things are covered in more detail than the textbook's presentation, such as estimation
and especially maximum-likelihood estimation.
The topics covered are:
Introduction to Financial Econometrics,
Univariate linear time series,
Multivariate time series — Vector autoregressions,
Multivariate time series — Cointegration,
Volatility (ARCH and variants),
Value at Risk,
and Nonlinear time series.
The coverage of the topics is nowhere near even in terms of time. A couple of topics are discussed for only an hour. Some others are discussed for more than four hours. I analyze data in class in EViews, which seems to help the students understand the material.
I use Chris Brook's book Introductory Econometrics for Finance which students seem to find very helpful and comprehensible. Brooks uses EViews in his examples, which is consistent with what I am doing in class.
At Clemson, I teach undergradute and graduate courses in monetary economics.
This undergraduate course is for seniors and it is, more or less, Money and Banking for Economics majors. I organize it as a special-topics course with an emphasis on financial markets. The syllabus lays out the content and my intent for the course.
I assign several books which I think are more interesting than a Money and Banking book and cost less in total.
Investments, Second edition by Keith Cuthbertson and Dirk Nitzsche
A Random Walk down Wall Street by Burton Malkiel
The Great Contraction by Milton Friedman and Anna J. Schwartz
The Federal Reserve System: Purposes and Functions by the Federal Reserve System
Modern Money Mechanics by the Federal Reserve Bank of Chicago
The Financial Crisis of 2007-2008 by Gerald P. Dwyer and Paula Tkac
Selected chapters in The Financial Crisis and the Free Market Cure by John Allison and Financial Turmoil by George Soros
The Rise and Fall of Bitcoin by Benjamin Wallace
The Economics of Bitcoin and Similar Private Digital Currencies by Gerald P. Dwyer
The material is reasonably well organized but changes somewhat each year.
The lectures by topic (which can take more than one lecture) are:
Financial Markets, Part 1 Part 2 Part 3
Stock Markets, Part 1 Part 2 Part 3
Cost of capital
Measuring asset returns
Portfolio risk and return
Diversification and risk factors
Fixed income markets
Term structure of interest rates
The Federal Reserve
The Federal Reserve and financial regulation
The Financial Crisis of 2007-2008
The Financial Crisis of 1929-1933
Bitcoin and Cryptocurrencies
This Ph.D. course is an introduction to Monetary Economics which cannot assume prior knowledge of dynamic programming or time-series econometrics. I use Walsh's book Monetary Theory and Policy (MIT Press) and selected readings. The syllabus has details.