Courses Master Display 2020-2021
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| Course title | Equilibrium Theory and Financial Markets | |||||||||||||||||||||||||||||||||||||||
| Course code | EBC4009 | |||||||||||||||||||||||||||||||||||||||
| ECTS credits | 6,5 | |||||||||||||||||||||||||||||||||||||||
| Assessment | Whole/Half Grades | |||||||||||||||||||||||||||||||||||||||
| Period |
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| Level | Advanced | |||||||||||||||||||||||||||||||||||||||
| Coordinator |
Arkadi Predtetchinski For more information: a.predtetchinski@maastrichtuniversity.nl |
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| Language of instruction | English | |||||||||||||||||||||||||||||||||||||||
| Goals |
Learn about the notion of competition in a setting with many households, firms, and commodities.
Understand the notions of competitive equilibrium, the first and second fundamental welfare theorem, and the core. Understand the role of financial markets in reshuffling income across time and states of the world. Learn about the consequences of market incompleteness. Understand the Capital Asset Pricing Model. |
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| Description |
PLEASE NOTE THAT THE INFORMATION ABOUT THE TEACHING AND ASSESSMENT METHOD(S) USED IN THIS COURSE IS WITH RESERVATION. THE INFORMATION PROVIDED HERE IS BASED ON THE COURSE SETUP PRIOR TO THE CORONAVIRUS CRISIS. AS A CONSEQUENCE OF THE CRISIS, COURSE COORDINATORS MAY BE FORCED TO CHANGE THE TEACHING AND ASSESSMENT METHODS USED. THE MOST UP-TO-DATE INFORMATION ABOUT THE TEACHING/ASSESSMENT METHOD(S) WILL BE AVAILABLE IN THE COURSE SYLLABUS. After introducing the necessary mathematical preliminaries and extending our knowledge on selected ingredients from consumer theory, the course focuses on general equilibrium models with
complete markets, in particular classical exchange and production economies. Central concepts to be studied are the competitive equilibrium and the core. Next, the model is extended to include time and uncertainty, and the strong assumption of complete markets is relaxed. This makes it possible to incorporate financial markets in a satisfactory way. We study the relationships between equilibrium and arbitrage opportunities, and the valuation of financial securities. The well-known CAPM is a special case of the model studied. A rigorous derivation of the CAPM is provided. |
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| Literature |
Reny and Jehle, Advanced Microeconomic Theory, Addison-Wesley, 1998 - LeRoy and Werner, Principles of Financial Economics, Cambridge University press, 2001
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| Prerequisites |
Intermediate microeconomics course, e.g. Microeconomics, or Information, Markets and Organisation. Exchange students need to have obtained a Bachelor degree with a major in Economics or Econometrics and have an advanced level in mathematics.
an advanced level of English |
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| Teaching methods (indicative; course manual is definitive) | PBL / Assignment | |||||||||||||||||||||||||||||||||||||||
| Assessment methods (indicative; course manual is definitive) | Written Exam | |||||||||||||||||||||||||||||||||||||||
| Evaluation in previous academic year | For the complete evaluation of this course please click "here" | |||||||||||||||||||||||||||||||||||||||
| This course belongs to the following programmes / specialisations |
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