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

2010-10-17

European foreign exchange market efficiency:Evidence based on crisis and noncrisis periods

文獻來源：

  • Raj Aroskar,Salil K. Sarkar and Peggy E. Swanson(2004),"European foreign exchange market efficiency:Evidence based on crisi and noncrisis periods,"International Review of Financial Analysis, Vol. 13, Issue:3 ,pp. 333-347.[原文連結]

重點摘要：

  • 基本理論：取得資料後，進行Dicky-Filler及Phillips-Perron單根檢定，檢定資料是否為定態。皆為非定態但差分後階次相同，再進行共整合檢定。接著用Wald test檢定各國匯率在個期間是否有長短期關係。接著用RWM及ECM檢定何者預測表現較佳。
  • 研究方法（估計、檢定、指標）與邏輯：Engle-Granger tests、Johansen 共整合檢定、Wald tests、Granger causality。
  • 需要的統計數據：台幣、日幣、新加坡幣、港幣即期匯率及遠期30天匯率。
  • 主要實證結果：市場應具有效率性。台灣匯率在金融風暴前、金融風暴前煎、金融風暴後，都受到日本影響。除了台灣以外，日本、香港、新加坡，在金融風暴後匯率間的因果關係漸漸消失。
  • 困難處或遭遇之問題：第一次仿照國際期刊的研究做實證，有許多步驟跟技巧都不熟悉，相關的知識也有很大的努力空間。尤其在一開始判讀文章是否好模仿的時候，並不是只要看到課本有的內容就代表一定可以輕易的做出相似的結果。有時候對閱讀的內容要有懷疑的能力，而非完全的接受。另外，英文論文的閱讀可以再加強。
  • 有用的參考文獻：

楊奕農，2009，時間序列分析-經濟與財務上之運用，二版。

R. Cater Hill,William E. Griffiths and Guay C. Lim, 2007, Priciples of econometrics, 3e.

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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」