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

Long-run equilibrium real exchange rates and oil prices

文獻來源source:
Kausik Chaudhuri and Betty C. Daniel(1998)," Long-run equilibrium real exchange rates and oil prices," Economics Letters Volume: 58, lssue: 2, February 1, 1998, pp. 231-238.[原文連至]

重點摘要:by仕翰

基本理論:
購買力平價說

研究方法與邏輯:
1. Augment Dickey-Fuller(ADF): 檢定整合階次
2. Engle-Granger共整合檢定: 檢定殘差是否為定態
3. 誤差修正- 弱外生性檢定(weak exogeneitytest):檢視變數間是否存在長期因果關係

需要的統計數據:

1.資料區間為1973~1996年，月資料

(1) OECD成員國及台灣的名目匯率

(2) 西德州油價月資料

(3)生產者物價指數(PPI)

2.台灣在1979年改浮動匯率制，故台灣資料採用1980:1~1996:12

3.台灣採用躉售物價指數(WPI)


主要實證結果:
布列頓森琳瓦解後部分OECD國家的實質匯率和實質油價有共整合，但台灣沒有共整合

困難處或遭遇問題:

資料蒐集困難

有用的參考文獻:

1. 時間序列分析-經濟與財務上之應用(二版) 楊奕農 著

2. Applied Econometric Time Series (Second Edition) Walter Enders

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黃小美 提到...

哈囉，你的文獻來源格式不對!請參照範例

10/18/2010 01:51:00 下午

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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」