Updated A.Y. 2019-2020
This course aims to provide an overview of important topics in empirical banking.
Students will be introduced to the relevant literature and presented with empirical applications.
Students are helped to read, understand and assess the scientific contribution of papers in empirical banking.
Moreover, students will manage with real banking data.
Review of basic concepts on financial markets and banking intermediaries
Market-based vs bank-based economies
The role of banking intermediaries
Finance and growth
M&As in the banking sector
Managing credit risk – the scoring models
Individual bank run and systemic risk
Microeconometrics of Banking – Methods, Applications, and Results. H. Degryse, M. Kim, S. Ongena, Oxford University Press, 2009.
Modern Banking. S. Heffernan, John Wiley & sons, 2005.
Microeconomics of Banking. X. Freixas and J-C. Rochet, II Edition, The MIT Press, II Edition, 2008.
Slides, notes and do-files.
Papers (they will be available during the course).
These materials could be downloaded from the web-site of the course by enrolled students.
Econometrics: basic knowledge of econometric analysis: Linear regressions, dummy variables, interaction terms, transformation of variables (e.g. logarithms).
Suggested textbook: Introduction to Econometrics, James H. Stock and Mark W. Watson, updated third Edition. Pearson Education Limited, 2015.
Suggested chapters: Ch.1 (1.2, 1.3); Ch.3 (3.1, 3.2, 3.3, 3.4, 3.7 ); Ch.4; Ch.5 (5.3, 5.4); Ch.6 (6.2-6.7); Ch.8 (8.2, 8.3).
Banking and the Financial System: basic knowledge of the functioning of the financial system and of the banking system in particular.
Suggested textbook: R.W. Melicher, E.A. Norton. "Introduction to Finance - Markets, Investments, and Financial Management" (16th edition), Wiley.
Suggested chapters: Ch 1-3.