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

2011-10-27

The forward premium anomaly and the trend behavior of the exchange rates

文獻來源Source: Volume 76, Issue 2, July 2002, Pages 273-279, Department of Economics, University of Texas at San Antonio, San Antonio, TX 78249-0633, USA Received 15 October 2001; Accepted 1 February 2002. Available online 22 March 2002.[原文連結至]

重點摘要 (By Alex)：
探討十個工業國家，其遠期溢酬以及未來即期匯率加上趨勢行為變數的影響，探討異常現象，利用ADF先檢定是否為定態。

基本理論：

Covered Interest Parity
CIP:ft-st=it-iust


研究方法 (估計、檢定、指標 ) 與邏輯：
ADF單根檢定(加入時間趨勢)、基本迴歸(加入時間趨勢)

需要的統計數據：
資料區間為期間一1980-1987、期間二1988-1996但在paper中的期間二為1988-1998在此期間經過了1997大環境經濟的變動，在我的這篇paper我想要觀察若在沒有經濟變動的情形下，還有甚麼因素會影響造成遠期溢酬的異常。
1.各國的即期以及下期即期匯率
2.各國的遠期匯率
3.各國的利率

困難處或遭遇問題

欲探討的問題，稍為複雜使讀者有些許困惑。
樣本為10個國家但在table裡有11個國家，有點匪夷所思。
感謝老師的細心指導

計算方法;

使用計量軟體 Eviews 7.0 檢定


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

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林小葦 提到...

你好~^^~
文獻來源的內容不對喔!!~請參考公告中的範例
謝謝~^^~

10/27/2011 01:13:00 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」