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

2010-10-20

Portfolio Balance Model of Exchange Rate Behavior: A Peso-Dollar Example

文獻來源 source:
Ferdinand Nwafor (2008), "Portfolio Balance Model of Exchange Rate Behavior: A Peso-Dollar Example," ICFAI Journal of Financial Economic, Vol. 6 Issue 2, p41-47[原文連結至DOI]

重點摘要:(by張小貓)

基本理論 Theoretic Grounds:

本篇文章主要理論為投資組合均衡模型。

研究方法 (估計、檢定、指標) 與邏輯 Methodology:

1. Augmented Dickey-Fuller(ADF)

2. Kwiatkwski, Phillips, Schmidt, and Shin(KPSS)

3. Johansen and Juselius Multivariate Cointegration Test

需要的統計數據 Required Data:

1. 匯率(Peso/US dollar)

2. 貨幣基數(Peso dollar)

3. 人民持有的公債(Peso dollar)

4. 外匯存底(US dollar)

5. 名目利率(US dollar)

主要實證結果 Main Findings:

透過共整合trace和maximum eigenvalue檢定之下，可得投資組合均衡模型(PBM)和匯率(Peso/US dollar)之下存在著弱相關。

困難處或遭遇之問題 Your Questions and Difficulties ：

1. 第一次看英文期刊，對於內容的理解方面花了很多時間，有些文字看了很多次才發現自己誤解
內容所要表達的意思。

2. 一開始不太能夠理解研究方法的邏輯，花很多時間在看書和同學討論後才比較有方向。

有用的參考文獻 Other Useful Resources:

1. 時間序列分析(楊奕農 著)

2. Time series Analysts (Enders)
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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」