重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
請務必參見 課程網頁維護重要事項 Import Notes
Registered students MUST see the Import Notes

2010-10-18

The exchange rate and long-run price movement in the US and Japan

文獻來源 source:
  • Xu, Zhenhui.(1999),"The exchange rate and long-run price movement in the US and Japan," Applied Economics Letters, Vol. 6 Issue 4, p227-230, 4p, 3 Charts [原文連至 DOI]
重點摘要:(by 郁涵(2010.10.18))

基本理論: 根據長期購買力平價說(PPP)
研究方法與邏輯:
  • ADF檢定:檢定變數是否為定態
  • Engle-Granger兩步驟共整合檢定:檢定殘差是否為定態
  • Johansen共整合檢定:匯率與CPI、匯率與WPI是否存在共整合向量

需要的統計數據:
台灣、日本、美國的CPI與WPI，及台灣與日本的名目匯率、台灣與美國的名目匯率


主要實證結果:
根據Engle-Granger兩步驟共整合及Johansen共整合檢定，是支持台灣與日本及台灣與美國間是存在長期購買力平價說。



困難處或遭遇問題:
  • 選擇模仿paper，雖有課本提及之檢定，但不代表可以順利進行實證。
  • 由於第一次接觸計量領域，對於軟體的操作及理論很陌生，須重覆研讀2-4次，但仍不一定能了解其內容。
  • 英文解釋與邏輯能力需再加強

有用的參考文獻:
  • 時間序列分析-經濟與財務上之應用(二版) 楊奕農 著
  • Copeland (2008), Laurence S. Exchange Rates and International Finance.
張貼者： 於
標籤： , , ,

沒有留言:

張貼留言

訂閱： 張貼留言 (Atom)

PO 文注意事項 (Notes about your posts required for this course)

每位同學必需建立與維護 2 個網頁: (updated on 2010.9.19)
Every registered student MUST post and maintain TWO pages at this site.

1. 你的期末報告想要仿照的原始 paper 重點摘要頁, 見 [範例]
A summary of the paper you choose to follow in your term-project. (see a suggestive [summary example ]).

2. 你的學習紀錄頁, 見 [範例]
A "learning weblog" of your progress during this course (see [example]). This example is demonstrative rather than required to conform to.

3. 記得每一頁要在頁尾處輸入你的「標籤」, 包含學號後5碼, 名字或暱稱, 和 其它你自訂的關鍵字, 例 ADF、共整合、PPP、等
When you edit your pages, be sure to write appropriate "Tags" (as many as you wish) (around the bottom of editing screen) for your posted pages to let me identify your required contributions. The tags should at least include your last 5-digit student ID and keywords about the page.

4. 請同學在你所選的 paper 加上標籤:「已選」
If you have already decided a paper to follow and post a page for it. Please be sure to attach that page a specific tag named "selected or 已選." It is of course possible that two or more students may choose the same paper to follow as their term-project. BUT only one of them can be authorized to follow the specific paper. The decision will be based on a first-come-first-serve rule. That is, the one who posts the summary page of a paper gets the first priority to follow that paper posted with a tag named"selected" paper .

5. 在你的 學習紀錄頁加上標籤:「學習記事」
Don't forget to stick a tag "weblog" with your "learning weblog" page in addition to your last 5-digit student ID.


== Posted on 2009.10.05 ==
請同學在你所選的 paper 加上標籤:「已選」
在你的 學習紀錄頁加上標籤:「學習記事」