Empirical I.O. Methods for Financial Institutions

Empirical IO Methods for Financial Institutions

This course covers recent empirical industrial organization papers that estimate structural models. In particular, we will focus on financial sector, including the markets for mutual funds, hedge funds, underwriters, stock market, interbank loan market, consumer finance, and so on. For each topic, we briefly overview how such markets work and then discuss the recent papers.

MIMA Search

授業計画

1. Introduction 2. Stock Market: Underwriters and Market Makers 3. Banking 1: Deposit market and demand estimation 4. Banking 2: Merger waves and dynamic games 5. Banking 3: Short term liquidity and double auctions 6. Payment Industry 1: Interbank loan market and cooperative games 7. Payment Industry 2: Retail payments and discrete choice models 8. Hedge Fund Industry: Managers behavior and industry dynamics models 9. Mutual Fund Industry: Investor behavior and consumer search models

授業の方法

Lecture and student presentations

成績評価方法

Class participation, homework assignment and presentation

教科書

No textbooks

参考書

A reading list will be distributed in the first class meeting

履修上の注意

Pre-requisites: (Graduate-leve) Microeconomics, Econometrics, and Industrial Organization I and II. In order to fully understand the papers that we will cover in the class, you must be very familiar with microeconomics and econometrics. Moreover, as we will cover the papers that estimate structural models, you are encouraged to take Industrial Organization I and II before taking this course. Or, at least, you must know basic structural IO papers, such as Berry, Levinsohn, and Pakes (1995), Olley and Pakes (1996), Bajari, Benkard, and Levin (2007) and so on.