授業の目的 【日本語】
Goals of the Course(JPN) | | | 本講義の目的は下記の点です。１．マクロ経済学を基礎としたマンデル―フレミングモデルや為替を中心とした国際金融の理論を学習する。２．ファイナンスやリスク管理、銀行について理論と実証研究成果について学ぶ。 |
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授業の目的 【英語】
Goals of the Course | | | The objectives of this course, Development Finance, are two-holds. Firstly, the students will learn the Mundell-Fleming Model and acquire how to handle the model to analyze the impact of fiscal and monetary policy. Developing countries are vulnerable to and less resilient against external shocks. Understanding the consequence of fiscal and monetary policy in an open economy is crucial in sound economic management. Secondly, the students will learn financial market theory and risk management. The roles of banking sector, financial instruments and financial market in developing counties have become critical than ever in last few decades. This is because its congenial and detrimental reverberation on other sectors and other countries have been magnified by financial globalization and recognized so by the international community since the Asian crisis and even more after the Lehman shocks. The course will be always discussed in the context of developing countries and be conducted with many hand-on exercised based on spread sheet software. |
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到達目標 【日本語】
Objectives of the Course(JPN) | | | 履修者は国際金融およびファイナンス理論に関する理解を深め、国際金融や金融現象に関する経済分析ができるようになる。 |
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到達目標 【英語】
Objectives of the Course | | | The students will learn international finance and monetary policy and be able to make an economic analysis in the area of international finance and monetary policy. |
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授業の内容や構成
Course Content / Plan | | Structure of the Course / Schedule授業の構成・計画
Week 1: Brief Revision of IS-LM Analysis
Week 2: Fiscal and Monetary Policy in Mundell-Fleming Model under Fixed Exchange Regime
Week 3: Fiscal and Monetary Policy in Mundell-Fleming Model under Free-Float.
Week 4: Bond pricing and how bonds market functions to determine long term interest rate is explained with linkage among financial markets, government and real sector through bond market.
Week 5: Yield curve and term structure are analyzed with expectation, spot and forward rate, and arbitrage condition. Bootstrapping and regressions are used to construct yield curve.
Week 6: Monetary Approach to Exchange Rate: PPP and Uncovered Interest Parity
Week 7: Monetary Model of the Balance of Payments
Week 8: Introduction to Intertemporal Optimization
Week 9: Intertemporal Trade and the Current Account Balance
Week 10: Portfolio theory and optimization of portfolio in a two asset framework with risk minimization. Sharp ratios, reward-to-variability and capital allocation lines are covered.
Week 11: Monetary Policy, Duration, convexity and immunization strategy in View of Risk management for Banking Sector.
Week 12: Capital Asset Pricing Model (CAPM), Discounted Dividend Model (DDM), auto-regressive model and factor model are introduced.
Week 13: Monte Carlo simulation with brief reviews on statistics and statistical distribution.
Week 14: Value-at-Risk by historical data method and delta method.
Week 15: Value-at-Risk by stochastic simulation.
The lectures are subject to changes. |
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履修条件・関連する科目
Course Prerequisites and Related Courses | | Development Finance, Development Economics, Macroeconomics, Microeconomics.
There is no precondition to take this course. |
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成績評価の方法と基準
Course Evaluation Method and Criteria | | In-class quiz and homework (50%) and final exam (50%).
Credit is given to C- or C (where applicable) or higher grade for each criterion. |
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教科書・参考書
Textbook/Reference Book | | （１）Gregory Mankiw, 2016, Macroeconomics (9th edition), Macmillan Education
ISBN-10 : 1319243584
(2) F. S. Mishkin, 2016, The Economics of Money, Banking, and Financial Market, Pearson.
ISBN-10 : 1292268859 |
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課外学習等（授業時間外学習の指示）
Study Load(Self-directed Learning Outside Course Hours) | | | Students are expected before the class to read relevant chapters and sections in those textbooks above from (1) to (3). |
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注意事項
Notice for Students | | | Students are not expected to have a solid background in international finance and macroeconomics since the lecture starts from introductory levels. However, having a background in economics is an advantage. |
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使用言語
Language(s) for Instruction & Discussion | | |
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授業開講形態等
Lecture format, etc. | | 対面で実施します。
Classes will be held in-person. |
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遠隔授業（オンデマンド型）で行う場合の追加措置
Additional measures for remote class (on-demand class) | | |
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