Темы курсовых работ и магистерских диссертаций




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темы курсовых работ И МАГИСТЕРСКИХ ДИССЕРТАЦИЙ

2009-2010 уч. Году



Темы работ даны ориентировочно. Точные формулировки определяются в согласовании с научным руководителем.


Alexis V.Belianin, Ph.D.


Research Interests:


1. Experimental economics.


Individual decision making, public goods games, trust game, voting, bilateral bargaining…


Literature:

  1. John D.Kagel and Alvin E.Roth. Handbook of Experimental Economics. Princeton, 1995.

  2. Charles R. Plott and Vernon L. Smith. Handbook of Experimental Economics Results. Elsevier, 2008.


2. Behavioural economics.


Psychological games, fairness, reciprocity, loss aversion, habits …


Literature:

  1. Colin Camerer, George Loewenstein, Matthew Rabin. Advances in Behavioural Economics. Princeton, 2004.

  2. Ariel Rubinstein A. Modeling bounded rationality. Cambridge (MA): MIT Press, 1998.

  3. John Geanakoplos, David Pearce, Ennio Stacchetti. 1989. Psychological Games and Sequential Rationality. Games & Economic Behavior 1, 60–79.

  4. Aukustionek S.P. and Belianin A.V. Quality of forecasts and business performance: a survey study of Russian managers. Journal of Economic Psychology, October 2001.


3.Game theory


Cooperative, epistemic, dynamic, network, evolutionary games …


Literature:

  1. Drew Fudenberg and Jean Tirole. Game theory. MIT Press, 1993.

  2. Roger Myerson. Game theory: analysis of conflict. Harvard, 1991.

  3. Sanjev Goyal. Connections. Princeton, 2007.

  4. Larry Samuelson. Evolutionary games and equilibrium selection, MIT Press, 1998.


4. Structural econometric modeling


Demographic change, applied industrial organization, simulated ML techniques…


Literature:

  1. Victor Aguirregabiria and Pedro Mira. Dynamic Discrete Choice Structural Models: A Survey. University of Toronto WP, 2007.

  2. John Rust. Structural estimation of Markov decision processes,” in R. E. Engle and McFadden (eds.) Handbook of Econometrics Volume 4, North-Holland. Amsterdam, 1994.

  3. Steve Berry and Peter Reiss. Empirical Models of Entry and Market Structure. In: M.Armstrong and R.Porter, eds. Handbook of Industrial Organization Volume 3, Elsevier, 2007.


5.Political economy


Trust, migration, health, education, welfare policies…


Literature:

  1. Sendhil Mullainathan and Andrei Shleifer. The Market for News. American Economic Review, September 2005.

  2. Ran Spiegler. The market for quacks. Review of Economic Studies, 2006.

  3. C. Simon Fan and Oded Stark. A social proximity explanation of the reluctance to assimilate. Kyklos, 2007, v.60, no.1.

  4. Eldar Shafir, Peter Diamond, Amos Tversky. Money illusion. Quarterly Journal of Economics, v112, May 1997, p.341-74.

  5. Patrick Bolton and Mathias Dewatripont. Contract theory. MIT Press, 2005.



Marie-Ann Betschinger, Ph.D.


Research Interests:


Multinational Enterprises

Investing and Sourcing Equity Abroad


Literature:

  1. Blonigen, B. A. (2005): Review of the Empirical Literature on FDI Determinants, Atlantic Economics Journal,33, 383-403.

  2. Caves, Richard E. (2007): Multinational enterprise and economic analysis, Cambridge ; 3rdedition, New York : Cambridge University Press.

  3. Dunning, John H. (2000): The Eclectic Paradigm as an Envelope for Economic and Business Theory of MNE Activity, in: International Business Review, 9(1), pp. 163-90.

  4. Giorgio Barba Navaretti & Anthony J. Venables (2006): Multinational Firms in the World Economy, Princeton University Press.



1.Capital Structure of multinational enterprises.

Literature:

  1. Desai, Mihir A., Fritz C. Foley, & James R. Jr. Hines. (2008): Capital Structure with Risky Foreign Investment. Journal of Financial Economics, 88: 534-53.


2.Cross-Border Mergers & Acquisitions.


Literature:

  1. Marina Martynova Luc Renneboog (2008): A century of corporate takeovers: What have we learned and where do we stand?, Journal of Banking and Finance 32 (10), 2008, 2148-77.

  2. Marina Martynova Luc Renneboog (2006): Mergers and Acquisitions in Europe, ECGI - Finance Working Paper No. 114/2006.

  3. Betton, Sandra, B. Espen Eckbo & Karin S. Thorburn (2008): Corporate Takeovers, in B. E. Eckbo (ed.),Handbook of Corporate Finance: Empirical Corporate Finance, Volume 2, Chapter 15.


CROSS-BORDER M&A

  1. Harris, R. and Ravenscraft, D., (1990): The Role of Acquisitions in Foreign Direct Investment: Evidence from the U.S. Stock Market. The Journal of Finance, Vol. 46, No. 3, 825-844.

  2. Dewenter, K. (1995): Does the market react differently to domestic and foreign takeover announcements? Evidence from the US chemical and retail industries. Journal of Financial Economics 37, 421–441.

  3. Sara B. Moeller, Frederik P. Schlingemann (2005): Global diversification and bidder gains: A comparison between cross-border and domestic acquisitions, Journal of Banking & Finance 29, 533–564.

CROSS-BORDER M&A INVOLVING EMERGING MARKET FIRMS

  1. Chari, Anusha , Wenjie Chen & Kathryn M.E. Dominguez (2009): Foreign Ownership and firm performance:Emerging Market Acquisitions in the United States. NBER Working Paper 14786.


3. Political Economy of FDI.


Literature:

  1. Acemoglu, D., Johnson, S., (2005): Unbundling institutions. Journal of Political Economy 113, 949–995.

  2. La Porta, R., Lopez-de-Silanes, F., Shleifer, A., Vishny, R., (1998): Law and finance. Journal of Political Economy 101, 678-709.

  3. Williamson, Oliver E. (2000): The New Institutional Economics: Taking Stock, Looking Ahead, Journal of Economic Literature, 38, 595-613.

  4. DOMESTIC POLITICAL ENVIRONMENT AND MODE OF ENTRY

  5. Henisz, W. J. 2000.The Institutional Environment for Multinational Investment. Journal of Law, Economics &

  6. Organization, 16(2).


INTERNATIONAL AGREEMENTS AND FDI

  1. Büthe, T. & Milner, H (2008): The Politics of Foreign Direct Investment into Developing Countries: Increasing FDI through International Trade Agreements? American Journal of Political Science, 52 (4). 741–762.

  2. Egger, Peter and Merlo, Valeria (2007), BITs and FDI Dynamics, World Economy, 30 (10), 1536-49.


ECONOMIC INTEGRATION, TRADE COSTS, AND FDI

  1. Neary, Peter J. (2009): Trade costs and foreign direct investment, International Review of Economics and Finance, 18 (2009) 207–218


LEGAL ENVIRONMENT, POLITICS, AND M&AS

  1. Rossi, S. and Volpin, P.F: Cross-country determinants of mergers and acquisitions, Journal of Financial Economics, Vol. 74, 2004, pp. 277-304.

  2. Bris, Arturo; Cabolis, Christos (2008): The value of investor protection: firm evidence from cross-border mergers. Review of Financial Studies, Vol. 21 Issue 2, p605-648

  3. Kam-Ming Wan & Ka-fu Wong (2009): Economic impact of political barriers to cross-border acquisitions: An empirical study of CNOOC's unsuccessful takeover of Unocal, Journal of Corporate Finance 15, 447–468.


4. Cross-Listings.


Literature:

  1. Karolyi, Andrew G (2006): The World of Cross-Listings and Cross-Listings in the World: Challenging Conventional Wisdom, Review of Finance, 10: 99-152.


MOTIVATIONS FOR CROSS-LISTINGS

  1. Alexander, G., Eun, C., Janakiramanan, S., (1987): Asset pricing and dual listing on foreign capital markets: a note, Journal of Finance 42, 151-158.

  2. Foerster S., and A. Karolyi, (1999): The effects of market segmentation and investor recognition on asset prices: evidence from foreign stocks listing in the U.S., Journal of Finance 54, 981-1014.

  3. Doidge, C., A. Karolyi, and R. Stulz (2004): Why are foreign firms listed in the U.S. worth more?, Journal of Financial Economics 71, 205-238.

  4. Lins, K., D. Strickland, and M. Zenner (2005): Do non-U.S. firms issue equity on U.S. exchanges to relax capital constraints?, Journal of Financial and Quantitative Analysis 40, 109-133.

  5. Natasha Burns, Bill B. Francis, Iftekhar Hasan (2007): Cross-listing and legal bonding: Evidence from mergers and acquisitions, Journal of Banking & Finance 31, 1003–1031.



Carsten Sprenger, Ph.D.


Research Interests:

Corporate Governance, Corporate Finance, Financial Economics, Risk Management, Financial Sector Development; Natural Resources and Economic Development


Topics for a Master Thesis or Term Papers


1. State-owned enterprises.


Several sub-topics. Empirical comparison of their performance to privately owned companies. How to evaluate non-commercial objectives? How to incentivize managers of SOEs? Modeling the double agency problem: the sovereign (i.e. taxpayer) vs. state representatives, and state representatives vs. managers.


Literature:

  1. Bartel, Ann P., and Ann E. Harrison (2005), Ownership versus Environment: Disentangling the Sources of Public-Sector Inefficiency, the Review of Economics and Statistics, 87(1): 135–147.

  2. Boardman, Anthony E., and Aidan R. Vining (1989) Ownership and Performance in Competitive Environments: A Comparison of the Performance of Private, Mixed, and State-owned Enterprises, Journal of Law and Economics, 32, 1-33.

  3. Kole, Stacey R., and J. Harold Mulherin (1997), The Government as a Shareholder: A Case from the United States, 40, 1-22.

  4. Tian and Estrin (2008), Retained state shareholding in Chinese PLSs: Does government ownership always reduce corporate value?, Journal of Comparative Economics, 36, 74-89.

  5. Vagliasindi, Maria (2007): Governance Arrangements for State Owned Enterprises, World Bank Policy Research Working Paper No. 4542 and referenes therein.


2. Entrepreneurs: Their Motivation, Investment and Financing Decisions.


The goal of this project is to study the effect of different motivational structures on decisionmaking of entrepreneurs. In particular, it may matter whether entrepreneur have mainly pecuniary or non-pecuniary objectives. The latter might lead to conflicts of interest with outside investors (e.g. venture funds) that have only pecuniary interests. I provide a database that can be used for this project.


Literature:

  1. Prendergast, Canice (2009): Intrinsic Motivation and Incentives, American Economic Review: Papers & Proceedings 2008, 98:2, 201–205.

  2. Cassar, Gavin (2007): Money, money, money? A longitudinal investigation of entrepreneur career reasons, growth preferences and achieved growth, Entrepreneurship and Regional Development, 19, 89-107.


3. Ownership Structure and corporate governance in Russian enterprises and its relation with performance and firm value. (empirical project, need to construct a data panel).


Literature:

  1. Chernykh, Lucy (2008), Ultimate Ownership and Control in Russia, Journal of Financial Economics 88, 169-192.

  2. Brown/Earle/Telegdy (2006): The Productivity Effects of Privatization: Longitudinal Estimates from Hungary, Romania, Russia, and Ukraine, Journal of Political Economy, 114(1).


4. Modeling the interaction of multiple large shareholders.


Literature:

  1. Edmans, Alex and Gustavo Manzo (2008): Governance Through Exit and Voice: A Theory of Multiple Blockholders, http://ssrn.com/abstract=1102730 and references therein.


5. Shared control and disagreement among shareholders.


Literature:

  1. Meyersson Milgrom, Eva, Paul Milgrom, and Ravi Singh (2007): When Should Control Be Shared? Working Paper.

  2. Arnoud W. A. Boot, Radhakrishnan Gopalan, and Anjan V. Thakor (2006): The Entrepreneur’s Choice between Private and Public Ownership, Journal of Finance, 61(2).


6. Credit Risk Modeling.

Many models for measuring credit risk of a loan or bond portfolio rely on a rating history and its relation with defaults. Since such history is not available in Russia, other models need to be applied. One alternative are structural models based on Merton (1974) On “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” Journal of Finance (June 1974): 449–470. Any ideas on how to apply such models (and others) in emerging markets with limited information content of many stock prices and few option contracts traded are welcome.


For literature, see preliminary syllabus for Risk Management, part on credit risk at mief.hse.ru


7. Volatility, investment, and growth in natural resource exporting countries.


The hypothesis that resource abundance can lead to reduced long-term growth (the resource curse) has received much attention in the theoretical and empirical economic literature. One of the possible, but less investigated channels of a resource curse is volatility. How does it investment in various sectors (resource sector, tradable and non-tradable goods sectors) fluctuate with the world market price for natural resources? Might fixed costs of investment be another reason for the resource curse? (Theoretical model and empirical part using sectoral data.)


Literature:

  1. Devlin, Julia, and Michael Lewin (2004): Managing Oil Booms and Busts in Developing Countries, The World Bank (and references therin).

  2. Matsen, Egil, and Ragnar Torvik (2005): Optimal Dutch Disease, Journal of Development Economics.

  3. van der Ploeg, Frederick, and Steven Poelhekke (2007): Volatility, Financial Development and the Natural Resource Curse, Working Paper, European University Institute and CEPR Discussion Paper No. 6513.



Алексей Девятов, Ph.D.


Тема исследования:


1.Моделирование и прогнозирование российской экономики.


Основной целью работы является построение компактной модели российской экономки для целей среднесрочного прогнозирования ключевых макроэкономических индикаторов, таких как ВВП, потребление, инвестиции, промышленное производство, инфляция, доходы и расходы федерального бюджета, и ряд других. В рамках общей постановки задачи приоритетными направлениями исследований являются:

  • Зависимость российской экономики от внешней конъюнктуры (цены на сырье и т.д.),

  • Влияние фискальной политики государства на динамику ключевых макроэкономических индикаторов,

  • Влияние монетарной политики государства на динамику ключевых макроэкономических индикаторов,

  • Влияние трансграничных потоков капитала и кредитования на динамику ключевых макроэкономических индикаторов.

Предполагается, что в своей работе студенты будут использовать одну из следующих методологий:

  • VAR - векторная авторегрессия,

  • SVAR - структурная векторная авторегрессия,

  • FAVAR - факторная векторная авторегрессия,

  • DSGE – построение модели общего динамического равновесия.

Источниками необходимых статистических данных являются Федеральная Служба Государственной Статистики (www.gks.ru) и Центральный Банк Российской Федерации (www.cbr.ru).


Литература:

  1. Ang, Andrew, Bekaert, Geert, and Wei, Min, “Do macro variables, asset markets, or surveys forecast inflation better?”, Journal of Monetary Economics, 2007, volume 54, pages 1163-1212.

  2. Armstrong, John and Black, Richard and Laxton, Douglas and Rose, David, "The Bank of Canada's new quarterly projection model. Part 2. A robust method for simulating forward-looking models", Bank of Canada, 1995, Technical report, number 73, month February, source http://www.bankofcanada.ca/en/res/tr/trlist.html#1995.

  3. Bagliano, Fabio and Morana, Claudio, “International macroeconomic dynamics: a factor vector autoregressive approach”, Economic Modeling, 2009, volume 26, 432-444.

  4. Bayoumi, Tamim, "GEM A New International Macroeconomic Model", International Monetary Fund, 2004, Occasional paper, number 239.

  5. Bianchi, Francesco, Mutmaz, Haroon and Surico, Paolo, “The great moderation of the term structure of UK interest rates”, Journal of Monetary Economics, 2009, article in press.

  6. Black, Richard and Cassino, Vincenzo and Drew, Aaron and Hansen, Eric and Hunt, Benjamin and Rose, David and Scott, Alasdair, "The Forecasting and Policy System: the core model", Reserve bank of New Zealand, 1997, Research paper, number 43, month August.

  7. Black, Richard and Laxton, Douglas and Rose, David and Tetlow, Robert, "The Bank of Canada's new quarterly projection model. Part 1. The steady-state model: SSQPM", Bank of Canada, 1994, Technical report, number 72, month November, source http://www.bankofcanada.ca/en/res/tr/trlist.html#1994.

  8. Brayton, Flint and Levin, Andrew and Lyon, Ralph and Williams, John C., "The evolution of macro models at the Federal Reserve Board", Carnegie-Rochester Conference Series on Public Policy, 1997, volume 47, pages 43-81.

  9. Brayton, Flint and Tinsley, Peter, "A guide to FRB/US: a macroeconomic model of the United States", 1996, Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series, number 96-42.

  10. Butler, Leo, "The Bank of Canada's new quarterly projection model. Part 4. A semi-structural method to estimate potential output: combining economic theory with a time-series filter", Bank of Canada, 1996, Technical report, number 77, month October, source http://www.bankofcanada.ca/en/res/tr/trlist.html#19.

  11. Coletti, Donald and Hunt, Benjamin and Rose, David and Tetlow, Robert, "The Bank of Canada's new quarterly projection model. Part 3. The dynamic model: QPM", Bank of Canada, 1996, Technical report, number 75, month May, source http://www.bankofcanada.ca/en/res/tr/trlist.html#1996.

  12. Cot'e, Denise and Kuszczak, John and Lam, Jean-Paul and Liu, Ying and St-Amant, Pierre, "A comparison of twelve macroeconomic models of the Canadian economy", Bank of Canada, 2003, Technical report, number 94, month April.

  13. Diebold, Francis X., "The past, present, and future of macroeconomic forecasting", National Bureau of Economic Research, 1997, NBER working paper, number 6290, month November.

  14. Esanov, Akram and Merkl, Christian and Vinhas de Souza, Lucio, "Monetary Policy Rules for Russia", BOFIT - Institute for Economies in Transition, Bank of Finland, 2004, BOFIT Discussion Papers, number 11.

  15. Fagan , Gabriel and Henry, Jerome and Mestre, Ricardo, "An Area-Wide Model (AWM) for the Euro area", European Central Bank, 2001, Working paper, number 42, month January.

  16. Fujiwara, Ippei and Hara, Naoko and Hirose, Yasuo and Taranishi, Yuki, "The Japanese Economic Model (JEM)", Monetary and Economic Studies, 2005, month May.

  17. Garratt, Antony, Lee, Kevin, Pesaran, Hashem and Shin, Yongcheol, Global and national macro econometric modeling: a long-run structural approach, Oxford University Press, 2006.

  18. Gilchrist, Simon, Yankov, Zakraisek, Egon, “Credit market shocks and economic fluctuations: evidence from corporate bond and stock market”, Journal of Monetary Economics, 2009, volume 56, pages 471-493.

  19. Gosselin, M.-A. and Lalonde, R... “MUSE: The Bank of Canada’s New Projection Model of the U.S. Economy” Bank of Canada Technical Report, 2005, No. 96.

  20. Gosselin, M.-A., “MUSE: The Bank of Canada's New Projection Model of the U.S. Economy”, Bank of Canada Review, 2006.

  21. Hamilton, James, Time series analysis, Princeton University Press, 1994.

  22. Laxton, Douglas and Pesenti, Paolo, "Monetary rules for small, open, emerging economies", Journal of Monetary Economics, 2003, volume 50, pages 1109-1146, month March.

  23. Lucas, Robert E. “Econometric Policy Evaluation: A Critique,” Carnegie-Rochester Conference Series on Public Policy, 1976, 1, pages 19–46.

  24. Mackowiak, Bartosz, Moench, Emanuel and Wiederholt, Mirko, “Sectoral price data and models of price setting”, Journal of Monetary Economics, 2009, article in press.

  25. Mitchell, Peter R. and Sault, Joanne E. and Smith, Peter N. and Wallis, Kenneth F., "Comparing global economic models", Economic Modeling, 1998, volume 15, pages 1-48.

  26. Moench, Emanuel, “Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach”, Journal of Econometrics, 2008, volume 146, pages 26-43.

  27. Murchison, Stephen, "NAOMI A new quarterly forecasting model. Part I: Proposed model selection strategy", Department of finance of Canada, 2001a, Working paper, number 19.

  28. Murchison, Stephen, "NAOMI A new quarterly forecasting model. Part II: A guide to Canadian NAOMI", Department of finance of Canada, 2001b, Working paper, number 25.

  29. Roeger, Werner and Veld, Jan in't, "QUEST II. A multi country business cycle and growth model", European commission, Economic paper, 1997, number 123, month October.

  30. Shibamoto, Masahiko, “The estimation of monetary policy reaction function in a data-rich environment: The case of Japan”, Japan and the World Economy, 2008, volume 20, pages 497-520.

  31. Stock, James and Watson, Mark, “Forecasting with many predictors”, in Handbook of economic forecasting, volume 1, Elsevier, 2006.

  32. Thoma, Mark, “Structural change and lag length in VAR models”, Journal of Macroeconomics, 2008, volume 30, pages 965-976.

  33. Wallis, Kenneth F., "Comparing empirical models of the euro economy", Economic Modelling, 2004, volume 21, pages 735 – 758.


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