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Empirical Methods in Sustainable Finance

Quantitative


  • Description

    The course provides an overview of empirical methods that can be deployed to investigate issues in sustainable finance. In particular the methods that are discussed allow the empirical researcher to analyze the unique role of banks and the stability and sustainability of a banking system, the role of collateral to make lending safe and banks sustainable, the management of environmental risks at the bank level, and the way lending by banks to households and credit constrained firms can be made sustainable. When discussing methods to analyze the provision of sustainable credit for a sustainable society the focus is on: the monetary conditions and the bank risk taking channel; inequalities, bank credit and business growth; the financing of brown and green activities; and macro prudential regulation of banks and their real effects.

  • Key topics covered

    • Difference-in-Differences (treatment versus control, parallel trends, intensity of treatment, managing the control sample)
    • Event Study Methodology
    • Heteroskedastic Models
    • Ordinary Least Squares in “Various Guises”
    • Randomized Experiments
    • Instrumentation, also with Historical Data
    • Saturation with Fixed Effects
    • Use of Interactive Terms
  • Format

    • The course will consist of 11 hours of lectures discussing applications in sustainable finance of the aforementioned methodologies.
    • There will be 4 hours of Stata session whereby key commands linked to these methodologies will be introduced.
    Total course length: 15 hours.
  • Prerequisites

    • MA in Finance/Economics and/or Environmental Science (a PhD would be an asset)
    • Prior knowledge required to be able to follow the course: Econometrics at a Master level
    • Technical equipment required (i.e. laptop and software): laptop / Stata
  • Instructors

    Andrada Bilan is a Research Economist in the Monetary Policy Analysis Division of the Swiss National Bank. She holds a PhD in Finance from the Swiss Finance Institute and the University of Zurich. Andrada has been teaching courses in empirical banking at the University of Zurich since 2016.

    Steven Ongena is a professor of banking in the Department of Banking and Finance at the University of Zurich, a senior chair at the Swiss Finance Institute, a research professor at KU Leuven, and a research fellow in financial economics of CEPR. He is also a research professor at the Norwegian University of Science and Technology, a research professor at the Deutsche Bundesbank and a regular research visitor at the European Central Bank.