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Course Syllabus

Bachelor 2024/2025

Financial Stability and Financial Crises

Type: Elective course (Economics)
Area of studies: Economics
Delivered by: Department of Theoretical Economics
Where: Faculty of Economic Sciences
When: 4 year, 2 module
Mode of studies: offline
Open to: students of one campus
Instructors: Maria Shchepeleva
Language: English
ECTS credits: 3
Contact hours: 32

Course Syllabus

Full Syllabus

Abstract

The course aims to discuss the main causes of financial crises, mechanisms of financial shocks transmission and issues related to anti-crisis policy. Students will learn how to measure systemic risk in the financial sector and get acquainted with the main approaches for predicting financial crises. Additionally, students will learn the best instruments for diagnosing financial sector stability from central banks' and international institutions' practice.
Learning Objectives

Learning Objectives

  • The objective of the course is to extend the knowledge on different types of financial crises, their causes and consequences, approaches to predict crises and optimal policy responses.
Expected Learning Outcomes

Expected Learning Outcomes

  • Know the functions of the financial sector in economics
  • Know the types of financial systems
  • Interpret IMF map of financial development
  • Explain the tradeoff between financial development and financial stability
  • Discuss the main trends in the evolution of financial systems across the globe
  • Know main types of financial crises and their specific causes and consequences
  • Know the characteristics of credit and stock market booms
  • Know the instruments to detect booms
  • Explain the difference between benign and malign booms
  • Know the main indicators of systemic risk (SRISK, MES, LRMES, CoVAR)
  • Know how to use public databases to derive information on systemic risk in different countries
  • Know the main instruments of maccroprudential policy
  • Explain alternatives to institutional organisation of macroprudential policy, their pros and cons
  • Discuss recent empirical research on effectiveness of macroprudential policy
  • Discuss the latest empirical research on the relationship between systemic risk and ESG
  • Know empirical approaches to predicting banking crises
  • Explain the role of leverage in banking crises
  • Explain the role of fire sales in banking crises
  • Explain the mechanism of currency crises under each generation of models
  • Forms of unconvential monetary policy. Fiscal policy and unpleasant monetarist arithmetic of Sargent and Wallace (1981). Coordination between monetary, fiscal, micro- and macroprudential policices during the crisis
  • Know the main econometric and machine learning approaches for predicting financial crises
  • Know indicators, which possess the strongest forecasting power for financial crises
  • Know the main elements of DSGE models
  • Know the main steps of constructing agent-based models
  • Know the possibilities and limitations of large models for incorporating financial sector
Course Contents

Course Contents

  • IMF FSAP for diagnostics of financial sector stance
  • Financial insrability in the framework of DSGE and agent-based models
  • Forecasting financial crises
  • Optimal policy during the crisis
  • Currency crises
  • Modelling banking crises
  • Systemic risk and ESG: what are the linkages?
  • Macroprudential regulation
  • Systemic risk of the financial sector
  • Credit and stock market booms
  • Types of financial crises
  • The role of the financial sector in economic system
Assessment Elements

Assessment Elements

  • non-blocking Test
    Test1 consists of 30 questions, both multiple choice and open questions, which have equal weights
  • non-blocking Test
    Test2 consists of 30 questions which have equal weights
  • non-blocking Report
Interim Assessment

Interim Assessment

  • 2024/2025 2nd module
    0.3 * Report + 0.35 * Test + 0.35 * Test
Bibliography

Bibliography

Recommended Core Bibliography

  • Aliber, R. Z., & Kindleberger, C. P. (2015). Manias, Panics, and Crashes : A History of Financial Crises, Seventh Edition (Vol. Seventh edition). New York, NY: Palgrave Macmillan. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1651857
  • Allen, F. V. (DE-588)136922465, (DE-627)588339121, (DE-576)167952374, aut. (2001). Comparing financial systems Franklin Allen and Douglas Gale.
  • Ana Fostel, & John Geanakoplos. (2008). Leverage cycles and the anxious economy. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.858D058F
  • Barwell, R. (2017). Macroeconomic Policy After the Crash : Issues in Microprudential and Macroprudential Policy. Cham: Palgrave Macmillan. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1477712
  • Baumeister, C., & Benati, L. (2010). Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound. Working Paper Series. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.ecb.ecbwps.20101258
  • Carmen M. Reinhart, & Kenneth S. Rogoff. (2008). This Time is Different: A Panoramic View of Eight Centuries of Financial Crises. NBER Working Papers. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.nbr.nberwo.13882
  • Chen, Q., Filardo, A., He, D., & Zhu, F. (2015). Financial Crisis, US Unconventional Monetary Policy and International Spillovers. [N.p.]: INTERNATIONAL MONETARY FUND. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1255567
  • Eichengreen, B. (2002). Financial Crises and What to Do About Them. Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.oxp.obooks.9780199257447
  • Eric Silverman. (2018). Methodological Investigations in Agent-Based Modelling: With Applications for the Social Sciences. Web server without geographic relation, Web server without geographic relation (org): Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.36B944A9
  • Financial crises : theory, history, and policy, , 2008
  • Financial crises and the politics of macroeconomic adjustments, Walter, S., 2015
  • Financial crises, , 2008
  • Financial crises, 1929 to the present, Hsu, S., 2017
  • Financial Stability and Sustainability under the Coordination of Monetary Policy and Macroprudential Policy: New Evidence from China. (2019). Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.A5A11A7F
  • Fixing financial crises in the twenty-first century, , 2012
  • Forero-Laverde, G. (2018). The Impossible Trinity and Financial Stability. The Incidence of Trilemma Regimes on the (In)stability of Stock Markets and Credit Aggregates (1922-2013). Universitat de Barcelona, 2018. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edstdx&AN=edstdx.10803.663993
  • Geithner, T. F. (2014). Stress Test : Reflections on Financial Crises (Vol. First edition). New York: Crown. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=750248
  • Henry, J., & Kok, C. (2013). A macro stress testing framework for assessing systemic risks in the banking sector. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.8EE2F2A9
  • International Monetary Fund. Monetary, & Capital Markets Department. (2019). Global Financial Stability Report, October 2019. [N.p.]: INTERNATIONAL MONETARY FUND. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2274328
  • Jeffrey A. Frankel, & George Saravelos. (2010). Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis. NBER Working Papers. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.nbr.nberwo.16047
  • Michael J. Barclay, & Clifford W. Smith. (1996). On Financial Architecture: Leverage, Maturity, And Priority. Journal of Applied Corporate Finance, 4, 4. https://doi.org/10.1111/j.1745-6622.1996.tb00679.x
  • Misunderstanding financial crises : why we don't see them coming, Gorton, G. B., 2012
  • Mitchell, K., & Pearce, D. K. (2020). How Did Unconventional Monetary Policy Affect Economic Forecasts? Contemporary Economic Policy, 38(1), 206–220. https://doi.org/10.1111/coep.12440
  • Moritz Schularick, Freie Universität Berlin, & Alan M. Taylor. (2009). Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008. CEPR Discussion Paper No 7570. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.2A1EB725
  • Paul Krugman. (1996). Are Currency Crises Self-Fulfilling? NBER Chapters, 345. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.h.nbr.nberch.11032
  • Uri Wilensky, & William Rand. (2015). An Introduction to Agent-Based Modeling : Modeling Natural, Social, and Engineered Complex Systems with NetLogo. The MIT Press.
  • Полбин, А. С. Построение и калибровка DSGE-модели для российской экономики с использованием импульсных откликов векторной авторегрессии : сборник научных трудов / А. С. Полбин. — Москва : Институт Гайдара, 2023. — 56 с. — ISBN 978-5-93255-659-7. — Текст : электронный // Лань : электронно-библиотечная система. — URL: https://e.lanbook.com/book/338192 (дата обращения: 00.00.0000). — Режим доступа: для авториз. пользователей.

Recommended Additional Bibliography

  • A history of financial crises : dreams and follies of expectations, Bilginsoy, C., 2015
  • Financial crises in emerging markets, , 2010
  • Modern financial crises : Argentina, United States and Europe, Moro, B., 2016

Authors

  • SCHEPELEVA MARIYA ALEKSANDROVNA