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
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2011-10-07

Testing the law of one price under the fixed and flexible exchange rate systems



 重點摘要 Summary(by 宛如 (2011.10.26) ) 

文獻來源 Source
Doroodian, Khosrow; Jung, Chulho; Boyd, Roy.(1999), “Testing the law of one price under the fixed and flexible exchange rate systems.” Applied Economics Letters, Vol. 6 Issue 9, p613-616. [原文連至]
    
基本理論 Theoretic Grounds
本篇文獻主要應用的理論為:單一價格法則(LOP)、購買力平價假說(PPP)及貨幣方法(Monetary approach)

研究方法 (估計、檢定、指標) 與邏輯 Methodology
本篇文獻的研究方法有:Dickey-Fuller單根檢定、ADF單根檢定、Johansen共整合檢定(Trace test對角元素和檢定及Maximal eigenvalue test最大特性根檢定)
為了確定變數是否為定態或為非定態,先進行單根檢定,檢定結果變數為非定態,所以再進行Johansen共整合檢定。

需要的統計數據 Required Data
使用的統計數據有:固定匯率、浮動匯率及CPI消費者物價指數。

主要實證結果 Main Findings
在浮動匯率制度下,提供支持購買力平價(PPP)理論的證據,但在固定匯率制度下則否。

困難處或遭遇之問題 Your Questions and Difficulties
1.文獻中的專有名詞,透過翻譯仍然不懂文章所隱含的意義,或者誤解作者所想表達的重點。
2.文獻中所提到的檢定模型還沒有實際操作,所以還不是很了解。

有用的參考文獻 Other Useful Resources
1.時間序列分析-經濟與財務上之應用(二版) 楊奕農
2.國際金融 蕭欽篤
3.Enders, Walter, Applied Econometric Time series, 2nd ed., New York: John Wiley & Sons, 2004.



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== 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