FINANCIAL AND MACRO ECONOMETRICS EMPIRICAL ESSAY
Goals: The empirical essay is aimed to improve your learning experience and train
practical skills such as effective written communication, critical thinking and applying
knowledge to real world issues.
Importantly, it provides you a stepping stone to the dissertation. You are expected to apply the OLS estimation to a regression model to analyse the real world data.
Choice of topics: Any model or theory that describes a relationship among variables
can be considered as long as relevant data are available. Following are some
examples of topics:
1. Using monthly return and interest rate data estimate the CAPM betas and alphas
for 30 companies traded on the same market, and subsequently analyse those
alphas and betas, and rank the companies in terms of their performance.
2. Using the real estate data for London available on
https://www.gov.uk/government/statistical-data-sets/price-paid-data-downloads
investigate the relationship between the price of a property sold and any other
variables of interest, e.g. the floor area, type of housing, energy rating, etc.
3. Using macroeconomic data investigate the effect on the GDP growth of
macroeconomic variables, e.g. education, trade volume, interest rate, investment
rate, etc. Use at least 30 countries representing all the geographical regions of Earth.
Macroeconomic data is available on the data platforms such as Bloomberg or web
sites of the organisations such as IMF.
4. Using the FAME data base of UK companies (available on the library web site)
explore the relationship between company profitability, e.g. ROA or ROE and its
operating characteristics such as leverage, liquidity, cost structure, turnover, size,
etc. typically described by financial ratios. The analysis should be based on at least
30 companies and preferably cover a larger group of companies in one sector, e.g.
manufacturing.
5. Any other economic or financial topic that fits the description in this document.
