文獻來源：
Cooper and John C.B. (1994),"Purchasing power parity:a cointegration analysis of the Australian, New Zealand and Singaporean currencies," Applied Economics Letters, Oct94, Vol.1 Issue 10, p167-171, 5p, 3Charts [原文連至DOI]
重點摘要 (By 林小葦)：
探討澳洲、紐西蘭、新加坡與美國之間，其購買力平價說是否成立?藉由檢定變數是否為定態、變數間是否存在共整合關係來驗證之
基本理論：
絕對購買力平價說(透過匯率的轉換，最後以相同貨幣表示的兩國物價水準將趨於一致)
研究方法 (估計、檢定、指標 ) 與邏輯：
DF單根檢定、ADF單根檢定、Engle-Granger兩步驟共整合檢定
需要的統計數據：
資料區間為1973~1992，共20年，採用季資料
1.澳幣、紐幣、新加坡幣兌美元的名目匯率
2.消費者物價指數
主要實證結果：
不論是利用DF/ADF檢定實質匯率是否為定態，還是利用Engle-Granger檢定名目匯率與兩國物價比是否存在共整合關係，實證結果指出，澳洲、紐西蘭、新加坡與美國之間購買力平價說皆不成立
困難處或遭遇之問題：
期末報告的方向
有用的參考文獻：
楊奕農，「時間序列分析-經濟與財務上的應用」，雙葉書廊，台北市，2009年8月
2010-10-16
October 11, 2010
Related with the topics discussed, I was able to look for a paper (as the title suggests) testing the PPP through the VAR model. Even though it has some degree of complication compared to some formula lectured, it is still a good reference on how PPP is being tested empirically.
Paper: Miyakoshi, Tatsuyoshi (2004) A testing of the purchasing power parity hypothesis using a vector autoregressive model, Empirical Economics, 29(3), 541-552.
The objectives of the paper are the following:
1. empirically examine the hypothesis of PPP relation and the hypothesis of uncovered interest rates parity (UIRP is discussed in Chapter 3 of Copeland’s book) relation between Japan and the USA by using cointegration approach.
2. use an error correction model (ECM is introduced in Chapter 1 of Enders’s book) with the long-run relations and evaluate the ECM in a one-step prediction (whoooh! quite lost, huh! Sorry!)
According to the paper, in the long-run, the exchange rate is determined by the symmetry restriction on the PPP relationship is stationary/steady. Or, the exchange rate is represented by the UIP is stationary. Traditional exchange rate theories are still valid in the long-run concept by cointegration.
The paper also assessed the ECM with such long-run relations in a one-step prediction. The fluctuations of the exchange rate were well predicted in the sense that the prediction errors fall in the prescribed range of the confidence bands. Moreover, the ECM dominated the benchmark prediction. That’s why the paper concluded that the one-step prediction based on this ECM with such long-run relations is useful.
狄 強
9704630
2010-10-15
Exchange Rates, Exports and Economic Growth in Turkey
文獻來源 source:
KOÇÇAT, Halil(2008),"Exchange Rates, Exports and Economic Growth in Turkey," International Journal of Economic Perspectives, Vol. 2 Issue 1, p5-11, 7p, 2 Charts(原文連結至DOI)
重點摘要：(by 嘉怡 )
基本理論：
探討每人實質GDP、實質匯率(RER)與實質出口貨物與服務(REX)長期下是否存在均衡關係。
研究方法 (估計、檢定、指標) 與邏輯：
本文主要的研究方法有，單根檢定(Augmented Dickey-Fuller法與Phillpis - Perron 單根檢定法)、Johansen trace test 共整合檢定法。
需要的統計數據：
1. 每人實質GDP (GDP)
2. 實質匯率 (RER)
3. 實質出口貨物和服務 (REX)
主要實證結果：
本研究實證調查土耳其的每人實質GDP、實質匯率(RER)與實質出口貨物與服務(REX)，利用單根檢定與Johansen 檢定法，長期下不存在均衡的關係。
困難處或遭遇之問題：
1.專有名詞翻譯與翻譯完整個句子或段落仍然不懂文章所隱函的意義。
2.模型與EVIEW操作仍有許多不了解，須再熟讀。
3.資料搜尋的問題。
有用的參考文獻：
1.楊奕農，2009年，時間序列分析─經濟與財務上之應用
2.總體經濟課本
3.網路
KOÇÇAT, Halil(2008),"Exchange Rates, Exports and Economic Growth in Turkey," International Journal of Economic Perspectives, Vol. 2 Issue 1, p5-11, 7p, 2 Charts(原文連結至DOI)
重點摘要：(by 嘉怡 )
基本理論：
探討每人實質GDP、實質匯率(RER)與實質出口貨物與服務(REX)長期下是否存在均衡關係。
研究方法 (估計、檢定、指標) 與邏輯：
本文主要的研究方法有，單根檢定(Augmented Dickey-Fuller法與Phillpis - Perron 單根檢定法)、Johansen trace test 共整合檢定法。
需要的統計數據：
1. 每人實質GDP (GDP)
2. 實質匯率 (RER)
3. 實質出口貨物和服務 (REX)
主要實證結果：
本研究實證調查土耳其的每人實質GDP、實質匯率(RER)與實質出口貨物與服務(REX)，利用單根檢定與Johansen 檢定法，長期下不存在均衡的關係。
困難處或遭遇之問題：
1.專有名詞翻譯與翻譯完整個句子或段落仍然不懂文章所隱函的意義。
2.模型與EVIEW操作仍有許多不了解，須再熟讀。
3.資料搜尋的問題。
有用的參考文獻：
1.楊奕農，2009年，時間序列分析─經濟與財務上之應用
2.總體經濟課本
3.網路
Currency Substitution: Evidence from Turkey
By: Kaplan Muhittin, Kalyoncu Huseyin and Yucel Fatih(2008), "Currency Substitution: Evidence from Turkey," International Research Journal of Finance & Economics, Issue 21, p158-162, 5p, 3 Charts
基本理論
當外匯貶值時，人們會減少持有台幣，存在貨幣替代現象。
研究方法(估計、檢定、指標)與邏輯：
遭遇之問題或困難處：
已解決
有用的參考文獻：
研究方法(估計、檢定、指標)與邏輯：
1. 將變數個別用單根檢定，檢定是否為定態
2. 其結果為非定態變數，接著將所有變數一次差分後變成定態，進行Johansen 共整合檢定與估計。
3. 共整合檢定之前先用AIC和SBC準則找出VAR最適落後期為5。
4. 進行Johnansen共整合檢定(Trace Test&Maximum Eigenvalue Test),得知ｒ＝0時，皆顯著(Trace Test 56.655>47.856 & Maximum Eigenvalue Test 32.440>27.584)，其他皆未顯著，檢定結果有一條共整合。
5. 估計長期下共整合實質所得(Y)為0.265;國內名目利率(I)為-0.733;名目有效匯率(neer)為0.019與預設模型相符，也就是里拉貶值時，人們將會減少持有本國貨幣。
主要結果實證：M1與所得成正相關，與利率呈負相關和匯率呈正相關。匯率方面，國內貨幣貶值會造成貨幣需求上升，另一方面會造成人們拋售貨幣已達避險，造成貨幣需求下降，但後者貨幣需求下降幅度較大，所以貨幣替代效果較明顯。
需要的統計數據：
M1b表示實質貨幣存量 ，即流通中的現金+支票存款（以及轉賬信用卡存款）。
Y 表示實質所得(+)，
I 表示國內名目利率(-)，以第一銀行三個月定期存款利率代替。
reer 表示實質有效匯率(+)，採間接匯率，以2000年為基期。
已解決
有用的參考文獻：
張凱亮(2006)，「通貨替代相對與貨幣需求的影響－台灣實證研究」
楊奕農，「時間序列分析-經濟與財務上之應用」，二版，雙葉書廊，台北，2009。
楊雲明，「總體經濟學」，三版，智勝書局，台北，2006。
2010-10-13
PURCHASING POWER PARITY IN THE CZECH REPUBLIC AND SLOVENIA: AN EMPIRICAL TEST
Boršič Darja and Beko Jani(2007),"PURCHASING POWER PARITY IN THE CZECH
REPUBLIC AND SLOVENIA: AN EMPIRICAL TEST,"Our Economy (Nase Gospodarstvo), Vol. 53 , Issue 1/2 , p.48-54.[原文連結]
重點摘要：(by德欽)
基本理論：
研究方法 (估計、檢定、指標) 與邏輯：
需要的統計數據：
主要實證結果：
1.大部分的外匯都是以美元為基準,若要以其它國家做為匯率基準就必須考慮到換匯的問題
2.小國的資料期間較不完全,取得也較不容易
有用的參考文獻：
時間序列分析 楊奕農著
REPUBLIC AND SLOVENIA: AN EMPIRICAL TEST,"Our Economy (Nase Gospodarstvo), Vol. 53 , Issue 1/2 , p.48-54.[原文連結]
重點摘要：(by德欽)
基本理論：
利用捷克、斯洛維尼亞與其它4國(奧地利、法國、德國、義大利)之名目匯率、國內物價水準和國外物價水準比，來探討購買力平價理論是否成立的問題。
1.ADF Test
檢定變數是否存在單根，以判斷是否為非定態資料
2. Johansen cointegration Tset
檢定名目匯率與CPI差異是否存在共整合關係
需要的統計數據：
斯洛文尼亞從1992年1月至2001年12月和捷克從 1993年1月至2001年12月與奧地利、義大利、法國、德國, 月資料包括名目匯率、實質匯率、國內物價指數、國外物價數
主要實證結果：
捷克克朗和斯洛文尼亞托勒測試的定態的實際匯率沒有表現出堅定的證據贊成購買力平價。在Johansen共整合技術應用於找到一個長期的線性關係名目匯率之間的選擇和CPI。但共整合證明，購買力平價理論無法得到證實。
困難處或遭遇之問題：
1.大部分的外匯都是以美元為基準,若要以其它國家做為匯率基準就必須考慮到換匯的問題
2.小國的資料期間較不完全,取得也較不容易
有用的參考文獻：
時間序列分析 楊奕農著
2010-10-11
A time deformation model and its time-varying autocorrelation: An application to US unemployment data
A time deformation model and its time-varying autocorrelation: An application to US unemployment data
Chu-Ping C. Vijverberg
Wichita State University, Wichita, Kansas, United States
International Journal of Forecasting 25 (2009) 128–145
Keyword : G-Lambda, ARIMA,Unemployment, ARFIMA, STAR
Review :
Introduction
This paper explores the time-varying behavior of the G-Lambda model. Simulation results indicate that it is possible to distinguish between the G-Lambda model and other better-known models such as the ARIMA, ARFIMA and STAR models. Applying the model to US unemployment data, the performance of the G-Lambda model varies as the start of the forecast periods changes.
Problem and Hypothesis
The study of time deformation models in a different direction, applying it to a variable (the U.S unemployment rate) that does not exhibit dominant cyclical behavior. The unemployment rate is one of several important measures that economists use to gauge economic performance. The purpose of this paper is to explore the time-varying characteristic of the time deformation model, to model the US unemployment rate with a time deformed model, and, in the process, to compare it with other models.
Methodology
Through a quantitative survey of 24 studies about unemployment and secondary data from US Government persistence. This paper therefore compares the forecasting ability of the time deformation model with those of the ARIMA, ARFIMA and STAR models.
Conclusion
1. It reveals another attribute of the time deformation model, which has not been explored before.
2. This paper uses the Laplace method in finding a discrete state transition matrix within a continuous Kalman filtering model.
3. Comparing the forecast capabilities of the continuous GL (CGL), ARIMA, ARFIMA and STAR models, a different insight is revealed about the US unemployment data.
A time-varying ACF model – the case of real roots comparing with The dual relationship between CGL and CAR models This paper shows that, even with a time-varying ACF, data application of the CGL model is feasible because of the duality between the CGL model and a classical stationary CAR model. Simulation results indicate that it is possible to empirically distinguish between CGL and other better-known models (ARIMA, ARFIMA and STAR).
Criticism
In my point of view ,the choice between the CGL model and the other models is open to debate. Some may contend that the long-term forecasts offer valuable information,
while others may prefer to emphasize the short-range performance. However, the results of the sign test and the Diebold Mariano test indicate that the G-Lambda model has significantly letter long-term forecasts than other models.
Reference :
Chu-Ping ,C. Vijverberg .2009. A time deformation model and its time-varying autocorrelation: An application to US unemployment data. International Journal of Forecasting No.25.
.Copeland, L. 2008, Exchange Rates and International Finance. 5th edition.Prentice Hall.USA.
Knight,K.G. 1987.Unemployment : economic analysis. Barnes and noble book.USA
DENI DANIAL KESA
9904608
Chu-Ping C. Vijverberg
Wichita State University, Wichita, Kansas, United States
International Journal of Forecasting 25 (2009) 128–145
Keyword : G-Lambda, ARIMA,Unemployment, ARFIMA, STAR
Review :
Introduction
This paper explores the time-varying behavior of the G-Lambda model. Simulation results indicate that it is possible to distinguish between the G-Lambda model and other better-known models such as the ARIMA, ARFIMA and STAR models. Applying the model to US unemployment data, the performance of the G-Lambda model varies as the start of the forecast periods changes.
Problem and Hypothesis
The study of time deformation models in a different direction, applying it to a variable (the U.S unemployment rate) that does not exhibit dominant cyclical behavior. The unemployment rate is one of several important measures that economists use to gauge economic performance. The purpose of this paper is to explore the time-varying characteristic of the time deformation model, to model the US unemployment rate with a time deformed model, and, in the process, to compare it with other models.
Methodology
Through a quantitative survey of 24 studies about unemployment and secondary data from US Government persistence. This paper therefore compares the forecasting ability of the time deformation model with those of the ARIMA, ARFIMA and STAR models.
Conclusion
1. It reveals another attribute of the time deformation model, which has not been explored before.
2. This paper uses the Laplace method in finding a discrete state transition matrix within a continuous Kalman filtering model.
3. Comparing the forecast capabilities of the continuous GL (CGL), ARIMA, ARFIMA and STAR models, a different insight is revealed about the US unemployment data.
A time-varying ACF model – the case of real roots comparing with The dual relationship between CGL and CAR models This paper shows that, even with a time-varying ACF, data application of the CGL model is feasible because of the duality between the CGL model and a classical stationary CAR model. Simulation results indicate that it is possible to empirically distinguish between CGL and other better-known models (ARIMA, ARFIMA and STAR).
Criticism
In my point of view ,the choice between the CGL model and the other models is open to debate. Some may contend that the long-term forecasts offer valuable information,
while others may prefer to emphasize the short-range performance. However, the results of the sign test and the Diebold Mariano test indicate that the G-Lambda model has significantly letter long-term forecasts than other models.
Reference :
Chu-Ping ,C. Vijverberg .2009. A time deformation model and its time-varying autocorrelation: An application to US unemployment data. International Journal of Forecasting No.25.
.Copeland, L. 2008, Exchange Rates and International Finance. 5th edition.Prentice Hall.USA.
Knight,K.G. 1987.Unemployment : economic analysis. Barnes and noble book.USA
DENI DANIAL KESA
9904608
2010-10-10
For the last two meetings, I decided to find a paper that is related to purchasing power parity and exchange rate in order for us to know what are some evidences that we can find and what lessons can we learn from empirical researches.
October 4, 2010
Paper: Wu, J.L., Cheng, S.Y., and Hou, H. (2010) Further evidence on purchasing power parity and country characteristics, International Review of Economics and Finance, doi:10.1016/j.iref.2010.06.004
The paper investigated the relationship between country characteristics and the validity of purchasing power parity (PPP) by using 76 countries from Africa, Asia, Europe and Latin America. The authors identified five country characteristics (openness, distance to USA, growth, inflation and volatility) to support the validity of PPP. The study has the following, according to the authors, “intriguing” results:
1. PPP is valid for Africa and Latin America and not for Asia and Europe.
2. Validity of PPP is subject to high openness, high inflation rates, low growth rates, and high nominal exchange rate volatility.
3. PPP holds if countries in the region satisfy at least two characteristics of supporting it.
4. Premature to conclude for PPP validity based on an individual country characteristic.
5. Above results are not affected significantly if yen-based exchange rates are applied.
September 27, 2010
Paper: Xu, Yingfeng (2008) Lessons from Taiwan’s experience of currency appreciation, China Economic Review, 19, 53-65.
The paper discussed short- and long-run consequences and lessons that China can learn from Taiwan’s currency appreciation. From 1986-1992, the new Taiwan dollar appreciated 58% against the US dollar after the authorities gave up foreign exchange market interventions to improve monetary control. The paper found that export production and employment declined in the short-term, but it boosted the development of the country’s manufacturing to more skill-oriented and capital-intensive activities and also accelerated the growth of the service sector.
Two lessons that the paper presented for the current expansion in China:
1. Need to consider seriously the trend of Renminbi appreciation against the US dollar, because there’s a good chance of having a long-term trend in the future.
2. Gradual movement from a heavily managed float to a pure floating rate to avoid turbulent short-run consequences.
September 20, 2010
Syllabus explanation: course summary, important deadlines, requirements for grading, and introduction to GRETL software
狄 強
9704630
Summary Reviews of Empirical International Finance
11-10-2010
1. Balassa and samuelson Implication Theory
2. Equation LOP comparison theory between PPP, LOP and Balassa, Samuelson Theory
3. Learning more paper Purchasing power parity puzzle
04-10-2010
1. Purchasing power parity (PPP), common law in international economy
2. The law of one price (LOP) : Domestic economy and International (open) economy
3. Price Indicators
4. Practical applications
27-9-2010
1. Explanation of exchange rate theory (bilateral and trade weight)
2. The market for Foreign Currency (floating and fixed rates)
3. Balance Payments (current and capital account)
4. DIY (do it yourself)Model by David Henderson
6. Brief History for exchange rates ( Bretton woods, Floating rate era, EMS,EMU etc)
20-09-2010
Syllabus explanation :
1. Course summary
2. Requirements for grading
3. Introduction of GRETL Software
DENI DANIAL KESA
9904608
1. Balassa and samuelson Implication Theory
2. Equation LOP comparison theory between PPP, LOP and Balassa, Samuelson Theory
3. Learning more paper Purchasing power parity puzzle
04-10-2010
1. Purchasing power parity (PPP), common law in international economy
2. The law of one price (LOP) : Domestic economy and International (open) economy
3. Price Indicators
4. Practical applications
27-9-2010
1. Explanation of exchange rate theory (bilateral and trade weight)
2. The market for Foreign Currency (floating and fixed rates)
3. Balance Payments (current and capital account)
4. DIY (do it yourself)Model by David Henderson
6. Brief History for exchange rates ( Bretton woods, Floating rate era, EMS,EMU etc)
20-09-2010
Syllabus explanation :
1. Course summary
2. Requirements for grading
3. Introduction of GRETL Software
DENI DANIAL KESA
9904608
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