Phone: (574) 631-2803
Fax: (574) 631-5255
Office Hours: M, W, And F: 9:30 – 11:30 AM
T, TH: 3:30 – 5:30 PM
Other times by appointment
Teaching Assistant: Tom Mitchell ( email@example.com )
Office Hours by Appt.
- Mishkin, Frederic, The Economics of Money, Banking, and Financial Markets, 6th Ed., Addison-Wesley, 2001
- Kohn, Meir. Financial Institutions and Markets, 2nd Edition,
Press, 2004 Oxford University
- Hubbard, Glen, Money, The Financial System and the Economy, 4th Ed. , Addison – Wesley, 2002.
- Bodie, Zvi, Alex Kane, and Alan Marcus, Investments, Irwin, 1993
- Brealey, Richard and Stewart Meyers, Principles of Corporate Finance, 4th Ed, McGraw Hill, 1991
- Smith, Clifford, The Modern Theory of Corporate Finance, 2nd Ed., McGraw-Hill, 1990.
- Abel, Andrew and Ben Bernanke, Macroeconomics, 4th Ed., Addison-Wesley, 2001
- Walsh, C.E, Monetary Theory and Policy, MIT Press, 1998
Grading: There will be two midterms given during the semester, a non-cumulative final given during finals week, regular problem sets (approximately one per week), 4 projects, and a final paper. The final grade will be computed as follows:
Problem Sets: (10 @ 10 points each) = 100
Midterms (2 @ 100 points each) = 200
Projects (4 @ 25 points each) = 100
Final = 100
Paper = 100
Total = 600
Problem sets will be handed out on Tuesday and will be due the following Tuesday. LATE HOMEWORK WILL NOT BE ACCEPTED!!! Problem sets and the final paper are to be done individually, but you may work in groups (no larger than three) for the projects. There is also the possibility of random, unannounced quizzes throughout the semester, so attending class and keeping up with the material is very important. Bonus points will be awarded for exceptional class participation.
The median score (out of 600 points) will receive a 'B' for the course. The ranges for other grades will be at 20 point intervals around the median. For example, if the median score for the class is 500, the grade distribution would be as follows:
560 - 600: A
540 - 560: A-
520 - 540: B+
480 - 520: B
460 - 480: B-
440 - 460: C+
420 - 440: C
400 - 420: C-
380 - 400: D+
360 - 380: D
<360 : F
Note that this distribution is a minimum. That is, if for example, your total score is 20 points above the class median, you are guaranteed at least a B+.
Honor Code: This course, like all other courses at Notre Dame, is subject to the Academic Code of Honor. Please read the Handbook to refresh your understanding of the code.
I: Overview of the Financial System
II: Interest rates: Theory and Evidence
III: Pricing Cash Flows and the Valuation of Securities
- Santomero/Babbel, Chapters 6,8,9,11-16
- Campbell, John, "Understanding Risk and Return", NBER Working Paper No.4554, November 1993
- Hall, R.E., "Struggling to Understand the Stock Market", 2001 Ely Lecture
- Stigum, Marcia and Frank Fabozzi, Bond and Money Market Instruments,
, Dow Jones – Irwin, 1987 Homewood, Ill.
- Fabozzi, Frank, T. Dessa Fabozzi, and Irving Pollack, The Handbook of Fixed Income Securities,
, Business One Irwin, 1991 Homewood, Ill.
- Campbell, John Y. and Robert Shiller "Valuation Ratios and the Long Run Stock Market Outlook", The Journal of Portfolio Management, Winter 1998
Edison, Hali and Torsten Slok, "New Economy Stock Valuations and Investment in the 1990s", IMF Working Paper, June 2001
- Jagannathan, Ravi, Ellen R. McGrattan, and Anna Scherbina, "The Declining
Equity Premium" NBER Working Paper No. 8172, March 2001 U.S.
- Boyd, John, Ravi Jagannathan and Jian Hu, "The Stock Market’s Reaction to Unemployment News; Why Bad News is Usually Good", NBER Working Paper No. 8092, January 2001
- Fama, E.L, M. Fisher and R. Roll, "The Adjustment of Stock Prices to New Information", International Economic Review, February 1969
- Patell, J. and M. Wolfson, "The Intraday Speed of Adjustment of Stock Prices to Earnings and Dividend Announcements", Journal of Financial Economics
- Geske, Robert and Richard Roll, “On Valuing American Call Options With the Black-Scholes European Formula”, Journal of Finance, 39, June 1984
- Whaley, Robert, “Valuation of American Call Options On Dividend Paying Stocks”, Journal of Financial Economics, 10, 1982
- Jarrow, Robert and George Oldfield, “Forward Contracts and Futures Contracts”, Journal of Financial Economics, 9, 1981
- Cox, John, Jonathon Ingersolland Stephen Ross, “The Relation Between Forward Prices and Futures Prices, Journal of Financial Economics, 9, 1981
- Siegel, Daniel and Diane Siegel, Futures Markets, Dryden Press, 1990
IV: Understanding Money Demand
Baumol, William, "The Transactions Demand For Cash: An Inventory Theoretic Approach", Quarterly Journal of Economics, 67: 545-556, 195
Tobin, J, “The Interest Elasticity of the Transactions Demand For Cash”, The Review of Economics and Statistics, 38, 1956
Cooley, Thomas and Stephen LeRoy, “Identification and Estimation of Money Demand” American Economic Review, Vol. 17., #5, 1981
MacDonald, Ronald and Mark Taylor, “A Stable
Money Demand Function: 1874-1975”, Economics Letters, 39-2, 1992 US
Mulligan, Casey and Sala-i-Martin, Xavier, “Adoption of Financial Technologies; Implications for Money Demand and Monetary Policy”, NBER Working Paper Series #5504, 1996
Mehra, Yash, “A Review of the Recent Behavior of M2 Demand”, Federal Reserve Bank of
Economic Quarterly, Summer 1997. Richmond
Ball, Laurence, “Another Look at Long Run Money Demand”, NBER Working Paper Series # 6597, 1998
V: Federal Reserve System, Commercial Banks, and the Supply of Money
VI: The Conduct of Monetary Policy
- Miller/VanHoose, Chapters 25-27
- McCallum, Bennett, "Alternative Monetary Policy Rules; A Comparison of Historical Settings for the
United States, the United Kingdom, and ", NBER Working Paper No. 7725, June 2000 Japan
- Mishkin, Frederic and Arturo Estrella, "Rethinking the Role of NAIRU in Monetary Policy; Implications of Model Formulation and Uncertainty", NBER Working Paper No. 6518, September 2000
- Mankiw, Gregory, "
Monetary Policy During the 1990s", NBER Working Paper No. 8471, September 2001 U.S.
- McCallum, Bennett, "Should Monetary Policy Respond Strongly to Output Gaps?", NBER Working Paper No. 8226, April 2001
- Hamilton, James and Oscar Jorda, "A Model For the Federal Funds Rate Target", NBER Working Paper No. 7487, August 2000
VII: The Financial System and the Macroeconomy