AØKK08383U Seminar: A Micro-Perspective on the Financial Crisis (F)

Volume 2019/2020

MSc programme in Economics

The course is a part of the financial line, signified by (F)


The seminar is primarily for students at the MSc of Economics.


The 2007-2008 Financial Crisis was followed by the Great Recession: a global economic contraction where unemployment soared, consumers cut spending and firms slashed investment.


A recent wave of literature studies topics related to the crisis from an applied micro-econometric perspective. This perspective involves exploiting micro-data (i.e., data at the level of households, firms, or banks) and micro-econometric methods (e.g., differences-in-differences estimators, regression discontinuity designs, instrumental variable methods). Such data and methods allow researchers to obtain more credible empricial identification and to study heterogeneity across households, firms and banks. This literature spans fields such as household finance, banking economics, finance, and to a smaller extent labor economics, public finance and trade economics.


Examples of topics and research questions studied within this literature include:

  • Crisis contagion through credit supply: What started as a crisis in the financial sector in 2007-2008 quickly spread to firms and households in the real economy. To what extent can the drop in private consumption and firm investment be explained by distressed banks reducing their leverage?
  • Bank runs and deposit insurance: Banks are extremely important to the economy because they take in deposits and use these funds to make long-term loans. However, this exposes banks to the risk of runs. The Financial Crisis saw a resurgence of interest in bank runs, deposit insurance, and the consequences of each for stability.
  • Wealth shocks and consumption: The drop in private consumption through the Financial Crisis and Great Recession occurred contemporaneously with a fall in house and asset prices. To what extent can the drop in private consumption be explained by these wealth shocks?
  • Household leverage and credit demand: The pre-Financial Crisis housing boom saw households run up large amounts of debt. What role did this “debt overhang” play in credit demand and household spending decisions after the crisis hit?
  • Unemployment: What were the employment effects of the Financial Crisis? What is the effect of job loss on household expenditure?
  • Defaults and foreclosures: The Financial Crisis coincided with waves of defaults on consumer credit and home foreclosures. What causes households to default? Are strategic motives important or are foreclosures driven by shocks to ability-to-pay? What is the best policy to reduce defaults?
  • Bank regulation: In the aftermath of the Financial Crisis, many countries tightened regulation and supervision of banks with the aim of preventing another crisis. For example, banks were required to hold more capital under the Basel III agreement. To what extent do stricter capital requirements increase the overall safety of the banking sector and reduce the risk of financial crisis? How do consumer credit regulations affect household?
Learning Outcome

In addition to the learning outcome specified in the Curriculum the student is after completing the seminar expected to be able to:



  • Account for the properties of the models and methods relevant for the topic
  • Understand the literature related to the topic
  • Account for the problems and applications that motivate the topic



  • Implement models empirically or validate theory numerically using a programming language
  • Interpret theoretical/empirical results



  • Critically reflect upon different methods for modeling financial market data
  • Read journal articles within financial econometrics


Students are expected to find relevant literature for their chosen topic. Textbooks/chapters that cover some of the topics are:

  • Tsay, R. S., Analysis of Financial Time Series, Wiley, 2005
  • Juselius, K., The Cointegrated VAR Model: Methodology and Applications, Oxford University Press, 2007.  
  • Chorro et al., A Time Series Approach to Option Pricing, Springer, 2015
  • Francq et al., GARCH Models: Structure, Statistical Inference and Financial Applications, Wiley, 2010
  • Ruiz et al., Bootstrapping Financial Times Series, Journal of Economic Surveys, 2002
  • Piazzesi, M., Affine Term Structure Models in the Handbook of Financial Econometrics, Elsevier, 2009


BSc in Economics or similar
It is recommened that students have a sound knowledge of econometrics as in the course Econometrics II, and to have followed the course Financial Econometrics A before or at the same time as the seminar.
- Kick-off meeting
- Finding literatur and defining the project
- Writing process of the seminar paper
- Presentation of own project and paper
- Giving constructive feedback to another student´s paper
- Actively participating in discussions at the presentations and other meetings.

At the seminar the student is trained independently to
- identify and clarify a problem,
- seek and select relevant literatur,
- write a academic paper,
- present and discuss own paper with the other students at the seminar.

The aim of the presentations is, that the student uses the presentation as an opportunity to practice oral skills and to receive feedback. The presentations is not a part of the exam and will not be assessed.

There is no weekly teaching/lecturing and the student cannot expect guidance from the teacher. If the teacher gives a few introduction lectures or gives the opportunity for guidance, this as well as other expectations are clarified at the kickoff meeting.

It is strongly recommended that you think about and search for a topic before the semester begins, as there is only a few weeks from the kick-off meeting to the submission of the project description/ agreement paper.

Before the presentations, your nearly finished version of the seminar project paper must be uploaded in Absalon, as the opponents and the other seminar participants have to read and comment on the paper. It is important that you upload a paper that is so finalized as possible due to the fact that the value of feedback and comments at the presentation is strongly associated with the skill level of the seminar paper.

After the presentations, you can with a few corrections improve the seminar paper by including the feedback and comments emerged during the presentations. It is NOT intended that you rewrite or begin the writing of the full project AFTER the presentation has taken place.

Autumn 2019:

• Kick-off meeting: 5th September, 15.15-17.00
• Deadline of project description: not later than October 1 at 10AM or defined by the teachers
• Deadline of pre-paper uploaded to Absalon: One week before presentation.
• Presentations: In the periode November 1 – 22. Exact dates is agreed on at the kick-off meeting

All information regarding the seminar is communicated through Absalon including venue. So it is very important that you by yourself logon to Absalon and read the information already when you are registered at the seminar.
  • Category
  • Hours
  • Project work
  • 186
  • Seminar
  • 20
  • Total
  • 206
7,5 ECTS
Type of assessment
Written examination
A seminar paper in English that meets the formal requirements for written papers stated in the curriculum of the Master programme and at KUNet for seminars.

Exam registration requirements

Attendance in all  activities at the seminar as stated in the formal requrements in the Curriculum  and at the KUnet for Seminars (UK)  and  Seminars (DK)  is required to participate in the exam.



All aids allowed

for the project paper.

The teacher defines the aids that must be used for the presentations.


Marking scale
7-point grading scale
Censorship form
External censorship
Exam period

Exam information:

Autumn 2019:

Deadline for submitting the final seminar paper: December 2, 2019 before 10 AM


Exam information:

The seminar paper must be uploaded to the Digital Exam. More information will be available from the middle of the semester.


For enrolled students more information about examination, rules, aids etc. is available at the intranet for Master (UK) and Master (DK ).



Reexam information:

The reexam is a written seminar paper as stated in the Curriculum.

Deadline and more information is available at Seminars(UK) and Seminars(DK).

More information about reexam etc is available at Master(UK) andMaster(DK).

Criteria for exam assesment

Students are assessed on the extent to which they master the learning outcome for the seminar and can make use of the knowledge, skills and competencies listed in the learning outcomes in the Curriculum of the Master programme.


To receive the top grade, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material.