ECONOMICS 7344, Spring 2007
Bent E. Srensen
April 8, 2007
HOMEWORK 8. Due Monday April 16.
1. (7% of second core exam 2003.) Asset A and asset B exist for one period and their returns
have identical covariances with the market return. The rate return of a
ECONOMICS 7344, Spring 2014
Bent E. Srensen
HOMEWORK 8. Due March 26.
1. If a two-period (from period 0 to period 2) discount bond has a price of 100 and a
payout of 122 and a one period discount bond has a price of 100 and a payout of 110. What
is the (i
ECONOMICS 7344, Spring 2012
Bent E. Srensen
February 24, 2012
The eect of interest rates on consumption
Consider the Euler Equation and let us for the moment assume that the interest rate is timevarying and known (i.e., the interest rate is non-stochastic
ECONOMICS 7344, Spring 2014
Bent E. Srensen
HOMEWORK 11. Due Wednesday April 23.
1. Consider the case of an economy with four states-of-the-world. Assume that an asset S1 exists
that pays 2 units in period 1 if state A occurs, 1 unit if state B occurs, an
ECONOMICS 7344, Spring 2014
Bent E. Srensen
HOMEWORK 10. Due Wednesday April 16.
1. Assume that two agents live for two periods in an economy with perfect Arrow-Debreu markets
and no storage. Assume that the endowment of the rst agent is y0 = 1, y1 = 6 an
ECONOMICS 7344, Spring 2014
Bent E. Srensen
HOMEWORK 9. Do not hand in. Solve the questions before Monday and ask questions at
class (Celine is there for Q&A). Similar questions may be asked in Midterm 2, Wednesday
April 2.
1. Consider an agent with incom
CHAPTER 1THE INTERNATIONAL ECONOMY AND GLOBALIZATION
MULTIPLE CHOICE
1. A primary reason why nations conduct international trade is because:
a. Some nations prefer to produce one thing while others produce other things
b. Resources are not equally distrib
CHAPTER 9INTERNATIONAL FACTOR MOVEMENTS AND MULTINATIONAL
ENTERPRISES
MULTIPLE CHOICE
1. "Risk spreading" is a motive most likely to be served when firms undergo:
a. Horizontal integration
b. Vertical integration
c. Conglomerate integration
d. None of the
ECONOMICS 7344, Spring 2013
Bent E. Srensen
Final Exam, April 29 3 pages, 5 questions. All sub-questions carry equal weight.
1. (20%) Consider the AR(1) model
yt = 3 0.5yt1 + et ,
where et is white noise with variance 1. Assume the rate of interest is 50
ECONOMICS 7344, Spring 2013
Bent E. Srensen
HOMEWORK 7. Due Wednesday March 19.
1. (20% of midterm 2, 2009) Consider the Consumption CAPM-model. a) Assume the
world only have two outcomes (states of the world). Let X be an asset whose payout P OX
is 100 i
Bent E. Srensen
ECONOMICS 7344 MACROECONOMIC THEORY II, Spring 2014
Homework 2. Thursday January 23. Due Wednesday January 29.
1. (24% of Midterm 1, Spring 2005 (numbers slightly changed) Assume that income
follows the AR(1) process
yt = 2 + 0.8yt1 + et (
Bent E. Srensen
ECONOMICS 7344 MACROECONOMIC THEORY II, Spring 2014
Homework 1. Wednesday January 15. Due Wednesday January 22.
1. Dene the lag polynomial a(L) = a0 + a1 L and b(L) = b0 + b1 L + b2 L2 . (Notice: in the notes, and in class, it is often ass
ECONOMICS 7344, Spring 2014
Bent E. Srensen
February 4, 2014
HOMEWORK 4. Wednesday February 5, due February 12.
1. A consumer lives for 3 periods and earns 200$, X$, and 400$ in period 1, 2, and 3 respectively. X is a Normally distributed random variable
ECONOMICS 7344, Spring 2013
Bent E. Srensen
Midterm Exam 2, April 16 questions. All sub-questions carry equal weight except
where otherwise indicated.
1. (15%) Assume that ination in period t is It and It is positively correlated with the (gross)
M
market
ECONOMICS 7344, Spring 2006
Bent E. Srensen
March 27, 2006
Excess Sensitivity tests of Halls 78 model
The implication of Halls 1978 model is that consumption is a Martingale, i.e.,
Et1 Ct = 0 .
The natural way to test this implication (on micro or macro d
ECONOMICS 7344, Spring 2003
Bent E. Srensen
March 6, 2012
An introduction to the CAPM model.
We will rst sketch the ecient frontier and how to derive the Capital Market Line and we will then
derive the CAPM model. An easy-to-read recent article about the
ECONOMICS 7344, Spring 2007
Bent E. Srensen
March 6, 2007
HOMEWORK 6. Due Wednesday March 21.
1. A consumer lives for 3 periods and earns 200$, 100$, and X$ in period 1, 2, and 3 respectively. X is a Normally distributed random variable with mean 400 and
Bent E. Srensen
ECONOMICS 7344 MACROECONOMIC THEORY II, Spring 2006
Homework 4. Thursday February 12. Due Wednesday February 19 (NOTE: The material in questions 35 will be covered in class Monday so allocate time Monday afternoon
or Tuesday for doing thes
ECONOMICS 7344, Spring 2007
Bent E. Srensen
April 19, 2007
HOMEWORK 9. Due Monday April 23.
1. Obstfeld-Rogo 5.3 (parts a and c).
2. Assume that 2 agents live for 2 periods in an economy with perfect Arrow-Debreu markets
and no storage. Assume that the en
Bent E. Srensen
ECONOMICS 7344 MACROECONOMIC THEORY II, Spring 2007
Homework 3. Monday February 5, due Wednesday February 14.
1. Romer, problem 6.1, pp. 339340. (Note: This demonstrates the workings of Jensens
inequality. Log-linear approximations used to
ECON 7344 MACROECONOMIC THEORY II
Instructor: Bent E. Srensen
Oce: McElhinney 209A
Tel: 713-743-3841
email: bent.sorensen@mail.uh.edu
WEB-page: http:/www.uh.edu/ bsorense
Hours: You can usually drop by anytime, sometimes I am out Thursday-Friday and somet
Bent E. Srensen
ECONOMICS 7344 MACROECONOMIC THEORY II, Spring 2007
Homework 1. Wednesday January 17. Due Monday January 29.
Romer Chapter 5.1, 5.2, 5.3, 5.4.
ECONOMICS 7344, Spring 2007
Bent E. Srensen
March 21, 2007
HOMEWORK 7. Due Wednesday March 28.
1. (30% of midterm 2, 2005) Consider the PIH model. Assume that a consumers income follows the AR(1) process
yt = 0.5yt1 + et ()
where et is white noise with va
Bent E. Srensen
ECONOMICS 7344 MACROECONOMIC THEORY II, Spring 2007
Homework 5. Wednesday February 28. Wednesday Monday March 7.
1. Let
xt = 0 + ut + 0.5 ut1 + ut2 ,
where ut is white noise.
2
Find the auto-covariances for xt in terms of u (the variance o
ECONOMICS 7344, Spring 2011
Bent E. Srensen
April 28, 2011
NOTE. Obstfeld-Rogo (OR). Simplied notation.
Assume that agents (initially we will consider just one) live for 2 periods in an economy with
uncertainty in period 2. To separate time from states-of
ECONOMICS 7344, Spring 2005
Bent E. Srensen
March 28, 2005
The consumption CAPM (CCAPM).
There are many versions of the consumption CAPM, depending on the assumed utility function of
consumers. The choice made in Romer is one, but I dont like that choice
Economics 7344, Spring 2013
Bent E. Srensen
INTEREST RATE THEORY
We will cover xed income securities. The major categories of long-term xed income securities are
federal government bonds, corporate bonds, mortgages, and municipal bonds. Government bonds
c
Macro II, Spring 2012
Bent E. Srensen
Ecient Markets.
Ecient markets. In many nancial textbooks the Ecient Market Hypothesis (EMH) is treated
prominently (see Chapter 2 of the Campbell, Lo, MacKinlay text or any undergraduate nance book
on investment). Ec
Bent E. Srensen
ECONOMICS 7344 MACROECONOMIC THEORY II, Spring 2008
Measurement Error in Regression and Friedmans version of the Permanent
Income Model.
Keynes argued that saving tends to be an increasing function of income (which may
lead to insucient ag