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Graduates - Syllabi of MSc Courses

Please read the notes before proceeding to look at the syllabi of the MSc courses.

MSc Course Index

ADVANCED ECONOMETRICS (double unit) Not available in 2008-9

This is a course in advanced econometric theory, providing a rigorous basis for the techniques of analysis of economic data. The emphasis is on analytical methods and tools of econometric analysis. We focus upon likelihood methods. Maximum likelihood estimation, elements of asymptotic theory and the principles of hypothesis testing are covered. The implementation of these techniques to important special linear and nonlinear models is studied. Methods of non-parametric estimation are also analysed. The application of computer-based methods (Monte-Carlo analysis, the bootstrap) to econometric problems is discussed. The modern area of empirical likelihoods is introduced, combining the principles of non-parametrics and the likelihood, and is related to the bootstrap.

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ADVANCED MACROECONOMICS

This module presents a dynamic general equilibrium model of the open economy in which agents are optimising intertemporally. The model is then used to study growth, inflation, exchange rates, monetary and fiscal policy and the business cycle

Topics covered will include: the Ramsey model of a closed economy; the current account in the basic open economy model; real exchange rate determination; optimal growth; money, inflation and the nominal exchange rate; monetary and fiscal policy; business cycles.

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ADVANCED MICROECONOMICS (double unit)

The object of the course is to examine the current state of microeconomic theory at several of its frontiers. The course covers theories of consumer and producer behaviour under certainty and uncertainty, general equilibrium theory with complete and incomplete markets, cooperative and non-cooperative games, asymmetric information and rational expectations.

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APPLIED MICROECONOMETRICS

The course examines the techniques available in applied research for the analysis of micro- level data in the study of economic behaviour and policy problems. The course examines binary choice, multiple choice and ordered response models, limited dependent variable techniques, including censored and truncated regression, selectivity and double hurdle models and switching regression models, and associated diagnostic tests. The applications to labour supply and labour force participation, commodity consumption, durable good ownership and the choice of transport mode, of these models and techniques will be considered. Students must also attend Introductory Econometrics to take this course.

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APPLIED MICROECONOMICS FOR DECISION-MAKING AND POLICY ANALYSIS (double unit)

The objective of the course is to introduce the student to the microeconomic analysis that is relevant to understanding a wide range of decision-making and policy problems in the public and private sectors, and their possible solutions. The course aims to combine the insights that are obtainable from a theoretical analysis of different microeconomic contexts, including intertemporal choice, choice under uncertainty, social and ethical choices, consumer and production theory, asymmetric information, imperfect competition, natural monopolies, welfare evaluation, and the presence of externalities and public goods, with an appreciation of their relevance to real-world problems in the fields of finance, economic policy, health economics, investment appraisal and the analysis of consumer behaviour.

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APPLIED STATISTICS

The aim of this module is to introduce a number of the standard techniques of applied statistics making use of a number of case studies using statistical computing techniques.

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BAYESIAN STATISTICS

The aim of this module is to introduce the basic notions of Bayesian statistics, showing how Bayes Theorem provides a natural way of combining prior information with experimental data to arrive at a posterior probability distribution over parameters and to show the differences between classical (sampling theory) statistics and Bayesian statistics.

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CLINICAL DECISION ANALYSIS

The aim of this module is to provide an understanding and experience of the application of basic methods of clinical decision analysis to a range of decision problems in health care. In particular it provides a thorough understanding of the way clinical decision analysis can be used to evaluate diagnostic information, provide a framework for the economic evaluation of alternative strategies of patient management, and can also be used to inform allocative decisions about which health care technologies should be adopted and what research may be required to inform these decisions in the future. Only available for students registered for the MSc program in Health Economics and visiting students.

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CONTINUOUS-TIME FINANCE AND DERIVATIVE ASSETS

This course provides the theoretical foundation for asset valuation in continuous time. The content reflects the fast pace of development of finance theory and product innovation in recent times. The course introduces the basic ideas and tools of stochastic calculus and shows how these can be used for asset and derivative valuation in continuous time. The topics covered include: stochastic integration; martingales and equivalent measures and partial differential equation valuation methods.

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CORPORATE FINANCE

This course brings together the relevant theory and practice of finance theory appropriate to the behaviour of firms. Topics to be covered include: corporate financial structure and governance (financing and capital structure and the cost of capital), dividend policy (leverage and taxes, dividends and value) and further topics including mergers and acquisitions, financial distress, leasing and warrants.

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COST-BENEFIT ANALYSIS

This course examines the principles and practice underlying cost-benefit analysis (CBA) and cost-effectiveness analysis (CEA). It examines the concept of willingness to pay, the role of time, the project boundary, shadow pricing for marketed and non-marketed goods, and the use of hedonic price indices and contingent valuation. It examines examples of the use of CBA and CEA in transport, recreation, environmental and health applications.

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DEVELOPMENT AND FINANCE

This module builds on the comparative advantage of the department in finance economics. The module is both theoretical and empirical, is based on the international, national and local environment and embraces new thinking on resource allocation and micro finance.

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DEVELOPMENT PROJECT APPRAISAL

This course examines the particular problems and issues raised by the application of project appraisal to projects in Less Developed Countries (LDCs), including problems of shadow pricing, foreign exchange, labour use and savings, traded and non-traded goods, issues of intra- and inter-generation income distribution, and the use of conversion factors and accounting ratios. The course makes use of both the UNIDO and the Little-Mirlees approaches and includes a detailed exercise applying different possible approaches.

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ECONOMETRIC METHODS FOR RESEARCH (double unit)

The course is intended to help students to understand econometric techniques that are widely used in modern economic research. These include multiple linear regression, the seemingly unrelated regression, simultaneous equation models, nonlinear models, generalized method of moments and some time series analysis. The understanding of these topics is very important for those who intend to do some applied research in economics. It is essential for those who want to fully understand either theoretical or applied econometrics papers.

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ECONOMETRICS (double unit)

The course provides an introduction to the econometric techniques that are available to estimate economic relationships and are used in best practice empirical research, and considers problems that may be encountered when applying these techniques. It examines simple and multiple regression models, the incorrect choice of explanatory variables, autocorrelation, heteroskedasticity, distributed lag models, tests for unit roots and cointegration, simultaneous equation systems, and logit and probit models, and gives experience in the use of modern econometric software to apply such techniques to empirical problems.

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ECONOMICS OF EUROPEAN INTEGRATION

The module gives a broad overview of the main economic issues and policies related to the European Union. Some of the topics discussed in the module are: the euro and its consequences, fiscal policy in Euroland, the economics of preferential trading areas, the economic impact of the enlargement, the common agricultural policy, the common fisheries policy, trade policy, competition policy, and the EU’s regional policy.

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EMERGING MARKET MACROECONOMICS

This module gives students a wide and deep understanding of the variety of macro theories used to identify and explain the problems of developing economies at the beginning of the twenty first century. As such, the module introduces classical and endogenous growth theory and continues to explore a variety of macro economic issues, encompassing credit and debt, exchange rate and trade policy, finance and growth and public finance.

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ENVIRONMENTAL ECONOMICS

This module covers the economics of the environmental effects of production and consumption activities. Topics include: principles of welfare economics, efficiency, optimality and market failure; open access, common pool; and common property resources; environmental public goods; environmental externalities; stock and flow externalities; the valuation of externalities; pollution and the depletion of assimilative capacity; environmental policy including property rights-based approaches, market-based instruments, user charges and fees, marketable emission permits, regulations and standards; risk and uncertainty; international agreements.

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ENVIRONMENTAL VALUATION

This module is concerned with applied welfare economics as the basis for valuation of the environment. Emphasis will be both on theory and empirical applications, including examples from developing countries where relevant. The main topics covered include: compensating and equivalent variation, consumer and producer surplus as measures of welfare change; household production function models for indirect benefit estimation; hedonic and contingent valuation models to value environmental amenities; valuing the environment as input into production.

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EVALUATION OF HEALTH CARE (double unit)

The aim of the module is to provide a thorough understanding of the methods used to evaluate health care technologies. This requires an understanding of methods across different disciplines including epidemiology, clinical evaluation and economic evaluation. By the end of the module students should have a thorough knowledge of the relevant literature, be able to critically appraise published evaluations and have practical experience of implementing appropriate methods.

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EXPERIMENTAL ECONOMICS

Experimental economics is now recognized as an important empirical tool, enabling the economist to test economic theories under controlled conditions. The course objective is to expose students to the methodology of experimental economics and to give a number of illustrations of its use in different areas of economics. To allow the student hands-on experience of participating in experiments and in designing them. to encourage the student to appraise critically the experimental work of others.

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FINANCE AND INVESTMENT

This course examines two main decision problems for private sector firms from the viewpoint of economic and financial analysis. These are those of determining which investments the firm should make, and how it should finance these investments. The course examines different investment decision rules under conditions of both certainty and uncertainty, optimal risk diversification, portfolio analysis, and the hedging of foreign exchange and other project risks. It also examines issues of the optimal capital structure for the firm, leasing, project finance, insolvency risk, options pricing, the capital asset and arbitrage pricing models in corporate finance, and the influence of corporate and personal taxation on optimal financial decisions.

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FINANCIAL ENGINEERING

This course enables students to master contingent claims valuation methods and techniques, useful for those progressing to financial industry or to research in finance. The core content is mathematical in nature and is suited to the technical student. The emphasis is placed upon the use of partial differential equations for pricing contingent claims. Topics include: closed form solutions, Monte Carlo methods, lattice methods and finite difference methods for the valuation of equity, currency, interest rate and credit derivatives as well as other credit sensitive securities. Applications of these methods will stress the valuation of complex contingent claims.

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FINANCIAL MARKET MICROSTRUCTURE

This course provides a theoretical and empirical analysis of the relationship between underlying investor demands and observed prices, returns and volumes of asset trade. It analyses financial market structure and price discovery in the light of modern theories of private/asymmetric information and looks at issues such as transparency; IPO pricing; multiple listing and cross-border flows. The topics covered include: trading structures; continuous trading and the consequences for data measurement, transactions data as well as foreign exchange market microstructure.

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FINANCIAL MARKETS

This course seeks to provide an understanding of the principal characteristics of domestic and international financial markets, with special emphasis on the stock exchange, bond markets and foreign exchange markets. It is particularly suitable for someone seeking a career in finance or proposing to undertake further research in the area. Topics examined include the structure and organisation of financial markets, the regulation of financial markets, financial econometrics, the stock market, futures and options markets, the bond market and international asset markets.

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FINANCIAL RISK MANAGEMENT

This course provides a broad theoretical and practical grasp of the latest risk management and security valuation techniques used in financial industry and corporate treasury. Although the core content is mathematical in nature, the non-technical student should be able to understand the mathematics through application. The emphasis is placed upon the use of martingale techniques for pricing risk. Topics include the basic hedging techniques used to handle equity and exchange rate risk; forwards, futures and derivative contracts and models of bond pricing and the term structure of interest rates.

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FINANCIAL STATEMENT ANALYSIS AND SECURITY VALUATION

The module introduces students to fundamental analysis in order to estimate the "fundamental value" of stocks as opposed to the "market price" of stocks. The module stresses stock valuation based on published financial statements. Prior study of financial accounting is helpful, but not strictly necessary.

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GAME THEORY: ECONOMIC APPLICATIONS

The course seeks to provide students with the theoretical background necessary to understand the application of game theory to numerous economic problems, in macroeconomics, industrial organisation, political economy, international trade, and environmental economics. The main emphasis is on the discussion and description of solution concepts appropriate for various types of economic problem. Topics covered include static and dynamic games of complete information and of incomplete information.

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HEALTH AND DEVELOPMENT

This module builds on the comparative advantage of the department in health economics. The module will adopt both a theoretical and empirical approach in introducing students to current controversies in funding and allocating resources and to measuring the economic implications of disease regimes.

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HEALTH CARE MANAGEMENT

The course aims to give a broad overview of problems facing the management of health care services, including the National Health Service, and a more detailed examination of several key topics of current concern, such as the management of information, capital and nursing resources, and resource allocation by formula. Particular emphasis is placed on the detailed application of the principles of sound economic analysis and financial management to problems of health care management.

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HEALTH ECONOMICS (double unit)

The course seeks to train students in the use of economic analysis in all aspects of health and health care. It examines the supply of and demand for health and health care, and the economic analysis of health care systems and health care reforms. It also examines the economic evaluation of health care technologies and the measurement and valuation of health.

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INDUSTRIAL ECONOMICS

The aim of the course is to introduce students to the theory of New Industrial Organization and to provide training in its methods and results. It covers such topics as game theory, oligopoly theory, entry deterrence and contestability theory.

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INSTITUTIONS AND DEVELOPMENT Not available in 2008-9

This module complements the macro and micro theory modules by adopting and introducing students to an applied approach to the study of the role of institutional quality on development. Property rights, corruption, multiple institutional equilibria will be among the issues covered.

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INTERNATIONAL MACROECONOMICS

The course examines Inter-temporal Models of Current Account, PPP and the Behaviour of Nominal and Real Exchange Rates, International Financial Markets; diversification, capital flows and puzzles, International Business Cycles, Exchange Rate Systems- effects, costs, benefits of alternative systems, Choice of an exchange rate system and implications of different, Optimal Currency Areas, Monetary Union in Europe, Currency Crises. On completing the module a student will be able to have a better understanding of the main underlying sources of exchange rate behaviour both on a daily basis and in long term; have a better understanding of the main underlying determinants of current account; have a better understanding of the main features of the functioning of international financial markets, capital flows and portfolio diversification; have a better understanding of the cost and benefits of different exchange rate regimes and the implications of this choice for economic outcomes; have a better understanding of the common features of financial and currency crises as well as policy measures to avoid them.

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LABOUR ECONOMICS

This module introduces some of the major issues that are encompassed within modern labour economics. The program begins with an exploration of issues in labour supply, followed by studies of human capital theory and wage determination, the demand for labour, discrimination and earnings, and collective bargaining and wage differentials. The latter section of the module considers the implications of simultaneous job creation and destruction over the business cycle; gross worker flows; job search and the duration of unemployment; and mismatch and the structure of unemployment.

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MACRO AND FINANCIAL ECONOMETRICS

The aim of this course is to explain some recent developments in the use of Time-Series Econometrics in Macroeconomics and Finance. The Vector Auto-Regressive (VAR) model, including the case of cointegration, and its use in Macroeconomics and Finance is discussed. Then, it is shown how expectations (including rational expectations) are formed, and how they can be modelled. Conditional variance models, which are common in Finance, are introduced. Finally, the Econometrics of real business cycle models is studied.

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MANAGEMENT DECISION ANALYSIS

The purpose of this course is to show how the methods of management science can be used to appraise policy options in government and industry. Topics examined include decision analysis, linear programming, network models and the analysis of productivity. The emphasis throughout is on the principles of problem formulation, the choice of appropriate models, the identification of data needs, and the interpretation of results, rather than on mathematical proofs.

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MATHEMATICS FOR ECONOMISTS
(not formally assessed or for credit)

The course aims to cover the mathematical material needed for the advanced study of economics within the MSc in Economics programme, including topics related to concavity and quasi-concavity, inequality-constrained static optimization, differential and difference equations and stability issues, and some basic pointset topology.

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MICRO DEVELOPMENT THEORY

This module comprises micro theories used to identify and explain the problems of developing economies at the beginning of the twenty first century. The module introduces a range of theoretical approaches which approach development as an equilibrium problem involving, for example, market failure, co-ordination and institutional problems.

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MULTIVARIATE ANALYSIS

The aim of this course is to introduce methods of analysis for datasets comprising more than one variable. The multivariate normal distribution and its properties are studied. Hotelling's T² is analysed. We also cover the techniques of principal components, factor analysis, Multivariate Analysis of Variance (MANOVA), canonical correlations, multidimensional scaling, cluster analysis, and analysis of categorical data.

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POLITICAL ECONOMY FROM THE GENERAL EQUILIBRIUM POINT OF VIEW

Political economy understood in a broad sense deals with the study of the relationships between the state (more generally all public authorities) and the economy and, more specifically, with the economic implications of monetary, fiscal, financial and industrial policies. This module is focused on the role of industrial and fiscal policies from the perspective of efficiency and wealth distribution.

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PORTFOLIO SELECTION AND MANAGEMENT

This module will provide a theoretical and practical understanding of the latest portfolio management techniques, suitable for those progressing to the fund management industry; corporate treasury or to research in finance. Although the core content is mathematical in nature, the non-technical student should be able to understand the mathematics through application. The module is based on the mean-variance portfolio optimisation; capital asset pricing and arbitrage pricing models. Topics include: the efficient frontier; estimating beta; performance measurement and multiperiod optimisation.

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PROJECT

The aim of this unit is to link instructional courses with applied research by showing students how to bring together the main building blocks of economic theory, computational econometrics packages (such as Microfit, Limdep and Shazam), the main UK cross-section and time-series data sets, such as the Family Expenditure Survey and Datastream, and empirical methodology to analyse empirical problems. After examining a number of existing case studies, students pursue an applied project of their own under supervision. A pre- requisite for this course is either Introductory Econometrics, or Advanced Econometrics, or Econometric Methods for Research.

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PROJECT MANAGEMENT

The objective of the course is to introduce the student to the principles of sound project management and the problems which arise when projects are not managed well. In doing so, the course aims to draw upon available interdisciplinary insights from economics, financial management, management science, business management and other relevant literature, and their application to project management in numerous different contexts.

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PUBLIC FINANCE

The purpose of this module is to provide a rigorous economic analysis of the methods used by governments to raise the revenues necessary to finance their activities. The intention is to enable students to apply theoretical models to real policy problems.

Topics covered include the role of public finance, source of finance, purposes of taxation, recent debates on taxation, partial and general equilibrium analysis, positive analysis of taxation, normative analysis of taxation and fiscal federalism.

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PUBLIC SECTOR ECONOMICS: MICROECONOMIC APPLICATIONS

The course examines the theoretical issues involved in optimising the use of scarce public resources and in providing efficient incentives for different agents to achieve this goal. It develops the theoretical analysis in the context as its application to numerous applied problems for the public sector.

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QUANTITATIVE ANALYSIS (double unit)

The course provides an introduction to a range of statistical and econometric techniques commonly used in quantitative analysis. Theoretical analysis will be supported by practical examples of the use of quantitative techniques in applied work. A strong emphasis will be placed on the use of computer packages to solve empirical exercises. Topics covered include elementary probability, simple sampling theory and statistical inference (e.g. estimation and tests of hypotheses using sample means and proportions), ANOVA and nonparametric statistical analysis.

The second part of the course focuses on the regression model in detail, including estimation and statistical inference using the regression model, problems with the basic model, heteroskedasticity, autocorrelation, specification errors, dummy variables, errors in variables, instrumental variables techniques, and discrete dependent variable models.

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RESOURCE ECONOMICS AND MANAGEMENT

This module aims at providing students with a relatively detailed exposure to the theory of resource economics as well as mastering of the mathematical and numerical techniques to solve key problems in this area. The first part of the module deals with the dynamic solution in discrete time of optimal allocation problems of renewable and non-renewable resources. The second part of the course deals with the continuous time analogues. Throughout, the students are expected to be supported in their mathematical endeavours by using recursive solution techniques in
Excel (solver) and in analytical solutions by using Maple v8.

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SOCIAL POLICY ANALYSIS (double unit)

The aim of the course is to enable students to apply the concepts and principles in the Applied Microeconomics course, together with those of other perspectives and disciplines, to the analysis of social policy in fields such as education, health, welfare, social security, housing and pensions. It examines the objectives of social policy, and alternative concepts and measures of equity, poverty and welfare, and alternative instruments and schemes for achieving these objectives.

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THEORY OF FINANCE (double unit)

This course provides the core static and dynamic finance theory for graduate study. The topics covered reflect the fast pace of development of finance theory over recent times. Having established the basic ideas and tools of choice under uncertainty, risk and arbitrage, topics covered include portfolio analysis (optimal portfolios and mean-variance analysis) , asset pricing models (the CAPM, APT and static general equilibrium model), intertemporal models and derivative pricing (hedging and option pricing).

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TIME SERIES

The aim of the course is to introduce the special statistical character of series of observations measured over time, and to show how this affects modelling Time Series data. Stochastic processes are introduced, and measures of their heterogeneity and memory are investigated. Special important processes are covered, and these include Vector Auto-Regressive Integrated Moving-Average (VARIMA) models. The analysis covers both the time and frequency domains. We also analyse the effects of seasonality, co-movements (such as cointegration and error-correction), spurious correlations, structural breaks and outliers.

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Notes

In the event of insufficient student demand or other circumstances, the Department reserves the right not to offer all of the course options below in every year. In addition individual course proprietors may advise some students against taking some courses if their background (e.g. in mathematics) is judged to be insufficiently strong.

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