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

2011-10-06

COINTEGRATION BETWEEN INTERNATIONAL SHORT-TERM INTEREST RATES

文獻來源source:

Waller, Edward; Kiymaz, Halil. "COINTEGRATION BETWEEN INTERNATIONAL SHORT-TERM INTEREST RATES"Journal of Accounting & Finance Research, Winter2004, Vol. 12 Issue 6, p11-21, 11p, 2 Charts [原文連結至]


基本理論

本文獻探討八個國家短期利率在長期下是否有共整合關係


研究方法(估計、檢定、指標)與邏輯

l 本篇的研究方法有ADF單根檢定-ADFPhillips-PerronJohansen共整合檢定-對角元素和檢定跟最大特性根檢定Granger因果檢定。

l 先檢驗八個國家的利率是否符合非定態的性質,再使用雙變數共整合檢定,及Johansen共整合檢定。


需要的統計數據

短期利率,採週資料。


主要實證結果

l 本文結果顯示在雙變數共整合檢定中有4組顯著(US-JAP, CAN-GER, CAN-NET, FRA-JAP),表示這兩個國家間有共整合向量,在長期兩國短期匯率會趨向均衡。

l Johansen共整合檢定,長期穩定的情況下,至少有兩條共整合向量。

l Granger因果檢定顯示各國利率決定會受到美國影響,但屬單向因果關係,美國利率決定不受各國影響。


困難或遭遇的問題

l 利率的週資料可能會找不到,若找不到會換成月資料,但是怕觀測值變少,會影響結果。

l 第一次看長篇國外文獻,文意需要多讀幾次才會懂。

l 文獻資料庫跟數據的搜尋因為第一次使用還不太上手,需要多加強。


有用的參考文獻

l 時間序列分析-經濟與財務上之應用 楊奕農

l 計量經濟學 黃台心

沒有留言:

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