Courses in monetary economics and econometrics

Since January 2013, I have been a Professor of Economics and BB&T Scholar at Clemson University.

I teach time-series econometrics and monetary economics at Clemson University. For the last four years, I have been teaching a new course in Cryptocurrencies and Blockchains to a mostly undergraduate audience.

In addition, I was an adjunct lecturer at Trinity College, Dublin where I taught a course in financial econometrics from 2009 to 2016. I taught the whole course in one week — about 25 hours of lectures in a week. Students do not learn the material in one week of course, but they generally do quite well writing a paper and on an exam a couple of months after the lecture.

The material here is provided freely but it is copyrighted by me.

Cryptocurrencies and Blockchains at Clemson University

The Cryptocurrencies and Blockchains course is a reading and discussion class. About a quarter of the material for this class is new each year. The syllabus shows what I cover and the readings for Fall 2021. I generally bring in news items related to the week's topic and that provides some immediacy to the week's topic.

Time-series Econometrics at Clemson University

At Clemson, I teach a course in time-series econometrics. I use Enders' book Applied Econometric Time Series. I do not do everything in the book and I cover some material not in the book, but this book comes closest to what I want to cover among books on the market.

I think the lectures are well organized, although the material on multivariate time series is a work in progress.

The topics are:
Estimation. Also Estimation and Estimation
Difference equations.
Univariate time series analysis, basically Box-Jenkins time series analysis.
Unit roots.
Volatility in Part 1 Univariate and Part 2 Multivariate.
Multivariate Time Series in Part 1 Part 2 Part 3 Part 4 and Part 5.
Nonlinear time series, a fairly general overview.
State space models, also a fairly general overview.

Among other additional material, students also have notes on Cointegration and on Nonlinear time series. I also provide an extremely brief discussion of Bayesian Model Averaging in the context of a discussion of an application by me and John Devereux,What determines output losses after banking crises?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 69-94. At the least I hope to discourage them from using any variant of stepwise regression.

Monetary Economics at Clemson University

I also teach graduate Monetary Economics at Clemson. This Ph.D. course is an introduction to Monetary Economics which does not assume prior knowledge of dynamic programming or time-series econometrics. I use Walsh's book Monetary Theory and Policy (MIT Press) and selected readings. The syllabus has details.

The topics are:
Basic monetary economics from Friedman
Evidence on money, inflation and nominal GDP
A money-in-the-utility-function model
Introduction to dynamic programming, deterministic and stochastic.
Walsh's money-in-the-utility-function model.
Monetary and fiscal policy and Monetary and fiscal policy and pricel-level indterminancy.
Real effects of monetary policy
Rules and discretion
Sticky wages and prices
The New Keynesian model
Interest rates and their role in monetary policy
Inflation targeting
The Diamond-Dybvig model of bank runs
Neo Fisherian monetary policy (finally being taken seriously)
The Financial Crisis of 2007-2008
Recessions and Financial Crises controversy and Some data and Some evidence based on Bayesian model averaging
Brief intro to cryptocurrencies

Financial Econometrics at Trinity College, Dublin

From 2009 to 2016, I taught a one-week, 25-hour course in Financial Econometrics at Trinity College, Dublin. (No, I didn't present one equation after another for 25 hours in one week. The students would have been bored beyond bearing.) This course is for students in the Masters in Finance program. The exam is a few months after the lectures, so the students have my lectures, the book, what they learned doing detailed assignments plus occasional correspondence to help them actually learn the material. This works better than I anticipated. Making up the lectures is a daunting task but the students are interested and an interesting group of people. The syllabus provides an overview of the course.

The lectures are divided by topics. I think the notes cover the topics reasonably well given the time available. Algebra is used to present material but not to derive results because it's not what they are expected to learn in this program and it probably would not be helpful for quite a few of them. Some things are covered in more detail than the textbook's presentation, such as estimation and especially maximum-likelihood estimation. The topics covered are:
Introduction to Financial Econometrics,
Event studies,
Univariate linear time series,
Multivariate time series — Vector autoregressions,
Multivariate time series — Cointegration,
Volatility (ARCH and variants),
Value at Risk,
and Nonlinear time series.
The coverage of the topics is nowhere near even in terms of time. A couple of topics are discussed for only an hour. Some others are discussed for more than four hours. I analyze data in class in EViews, which seems to help the students understand the material.

I used Chris Brook's book Introductory Econometrics for Finance which students seemed to find very helpful and comprehensible. Brooks uses EViews in his examples, which is consistent with what I did in class.

Undergraduate Monetary Economics course at Clemson

This undergraduate course is for seniors and it is, more or less, Money and Banking for Economics majors. I organize it as a special-topics course with an emphasis on financial markets. The syllabus lays out the content and my intent for the course.

I assign several books which I think are more interesting than a Money and Banking book and cost less in total.
Investments, Second edition by Keith Cuthbertson and Dirk Nitzsche
A Random Walk down Wall Street by Burton Malkiel
The Great Contraction by Milton Friedman and Anna J. Schwartz
The Federal Reserve System: Purposes and Functions by the Federal Reserve System
Modern Money Mechanics by the Federal Reserve Bank of Chicago
The Financial Crisis of 2007-2008 by Gerald P. Dwyer and Paula Tkac
Selected chapters in The Financial Crisis and the Free Market Cure by John Allison and Financial Turmoil by George Soros
The Rise and Fall of Bitcoin by Benjamin Wallace
The Economics of Bitcoin and Similar Private Digital Currencies by Gerald P. Dwyer