Dr Soner Baskaya (University of Glasgow)
Applied Methods for Banking and Macro-Financial Policy Analysis
Dr Yusuf Soner Baskaya, Senior Lecturer in Economics, University of Glasgow
Date: 19-20 September 2023
Location: Hybrid –University of Glasgow campus and online
This course is designed to introduce tools required for analysing the dynamics of banking sectors in relation to monetary policy, prudential policy and capital flows. The course will offer both conceptual aspects and hands-on applications using bank level data and relevant econometric software.
Who should attend
Economists interested in improving their hands-on skills for analysing issues related to macro-financial policy such as the effects of capital flows, macroprudential policies, bank regulation and climate change on credit market.
The participants are expected to know intermediate level econometrics, including basic panel data techniques.
Course level
Intermediate/Advanced
Software requirements
Stata (Basic Level)
Course structure
Intended Learning Outcomes (ILOs)
At the end of this course, the students are expected to use microeconometric tools and relevant softwares to analyse effects of monetary policy, prudential regulation, banking crises, capital flows and climate change on banking sector.
Course plan
Various Data Sources (Day 1)
- Bank Balance Sheet Data
- Credit Registry Data
- Syndicated Loan Data
- Cross Border Capital Flows Data
- Monetary Policy and Prudential Policy Databases
Econometrics Techniques with Applications (Day 1)
- Fixed Effects Models
- Regression Discontinuity Approach
- Instrumental Variables Approach
- Difference in differences
- Local Projection Methods
Hands-on Applications (Day 2)
- Estimating loan demand and supply dynamics
- The effect of climate change on syndicated loan spreads
- The effect of prudential regulation on bank lending behaviour
Readings
- Degryse, Hans, Moshe Kim, and Steven Ongena, Microeconometrics of Banking: Methods, Applications, and Results, 2009, Oxford University Press.
- Angrist, Joshua D., and Jörn-Steffen Pischke. Mostly Harmless Econometrics: An Empiricist’s Companion. Princeton University Press, 2009.
- Baltagi, Badi, (2021), Econometric Analysis of Panel Data, 6th ed. 2021 ed., Springer,
- Various academic and policy papers.
Biography
Soner Baskaya is a Senior Lecturer (Associate Professor) at the Adam Smith Business School. In the past, he worked at the Central Bank of the Republic of Turkey (CBRT) as Senior economist, Deputy Executive Manager of the Research Department and Executive Manager of Communications and Foreign Relations Department. He also led the G20 team at the CBRT during Turkish Presidency of G20 in 2015. The institutions in which he taught include the London School of Economics, Dartmouth College, Brown University, Bilkent University and Middle East Technical University. He has also been LSE Fellow at London School of Economics, Department of Management and Research Fellow at the Bank for International Settlements.
Soner’s research and teaching interests include macroeconomics, banking, applied econometrics and labour economics. His research appeared in prestigious journals in economics and finance.
Soner obtained his BA degree in Economics from Bogazici University, MSc in Economics from Middle East Technical University and MA and PhD in Economics from Brown University.