Theory and Empirics of Unconventional Monetary Policy
Instructors
Kazuo UEDA / Junko KOEDA
Credits / Language / Semester
2Credits / English / Summer
Objectives/Overview
This course overviews the theoretical and empirical aspects of unconventional monetary policies currently pursued by many central banks, such as forward guidance, credit and quantitative easing policies. The second half of the course introduces term structure models with the aim to deepen understanding of unconventional monetary policy effects on the long-term interest rates.
Keywords
Unconventional monetary policies, Term structure model of interest rates
Schedule
1) Unconventional monetary policy: an overview (W1-3)
2) Estimating unconventional monetary policy effects
-Effects on financial markets (W4-5）
-Macroeconomic effects (W6）
3) Term structure of interest rate
-Basic yield curve concepts (W7)
-Expectations hypothesis (W8)
4) Macroeconomics and the term structure
-What is macrofinance approach? (W9)
-Affine term structure models (W10)
-Adding macro dynamics (W11-14)
Teaching Methods
Lectures and discussions. Papers will be assigned to students to present to the class.
Grading
Class presentation, participation and, possibly, a written exam.
Required Textbooks
There are no required textbooks.
Reference Books
A reference list will be distributed in the first class.
Notes on Taking the Course
This course is designed for masters students who are interested in graduate-level empirical finance and macroeconomics.