This module is not currently running in 2024 to 2025.
The module offers a research-oriented introduction to contemporary macro and financial econometrics by linking econometric theory to empirical studies of the macro-economy and financial markets. It introduces models and methods used in central banks and research institutions for policy analysis and forecasting the macroeconomy as well as those used by financial institutions for low-frequency trading, risk assessment and portfolio allocation. It integrates empirical illustrations through the use of computer-based analysis of macroeconomic and financial data using appropriate software. We commence by providing a comprehensive introduction to stationary and nonstationary stochastic processes as well as the methods and models of univariate time series. We then proceed with modelling and predicting asset prices and returns and their volatility. Finally, we introduce multiple time series techniques for policy analysis and for macro-finance models. The module contributes to the overall course by enabling knowledge on specific problems and policy issues in Financial Economics and by developing analytical skills specific to Financial Economics. This aims to raise the employability of students in this area.
Private Study: 120
Contact Hours: 30
Total: 150
This is a compulsory module for:
• MSc Financial Economics
This is an optional module for:
• MSc Economics
Main assessment methods:
Project 30%
Examination 70%
Reassessment: Like for like
*Exams will be online*
The University is committed to ensuring that core reading materials are in accessible electronic format in line with the Kent Inclusive Practices.
The most up to date reading list for each module can be found on the university's reading list pages.
See the library reading list for this module (Canterbury)
The intended subject specific learning outcomes
On successfully completing the module students will be able to:
12.1 have comprehensive understanding of econometric techniques used with time series data
12.2 demonstrate critical assessment in reading and interpretation of empirical macroeconomic research
12.3 be practised in own modelling of economic series using advanced econometric theory
12.4 comprehensively understand the role of financial markets in modern economies
12.5 critically apply financial theories (including Efficient Market Hypothesis and Behavioural Finance)
12.6 have the ability to undertake complex empirical research using statistical software for time series analysis
The intended generic learning outcomes
On successfully completing the module students will be able to:
13.1 utilise modern computing resources to access and acquire data from relevant sources
13.2 demonstrate enhanced problem-solving skills with complex structures
13.3 proficiently communicate and present sophisticated economic and/or financial ideas through short articles and formal reports
University of Kent makes every effort to ensure that module information is accurate for the relevant academic session and to provide educational services as described. However, courses, services and other matters may be subject to change. Please read our full disclaimer.
