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

2011-10-25

Evidence on the stationary of ERM exchange rates

Sources:
S. Zhou (2000)," Evidence on the stationary of ERM exchange rates," Applied Economics Letters, Vol. 10, Issue 4, pp. 231-233.Link

Summary : ( by 甘曼蕊)
1. Basic Theory
Estimate the spot and forward exchange rates of four core members of EMS participating in ERM
2. Research Method
Augmented Dickey-Fuller ( ADF)
Phillips-Perron (PP)
3. Required Data
The average of London bid/offer spot exchange rates and one-month forward rates of ERM currencies with respect to the US Dollar.

4. Conclusion
The Test Provide strong evidence showing that ERM exchange rates are stationary during the period when there were no significant realignments in the rates. The result also indicate that the forward exchange rates have very similar time series properties to those of the spot rates.
5. Difficulties and Problem
The paper is written in specialized English, so I should search for it and read the paper for several times to understand it.  The paper also using a lot of references articles which will make me feel confused with the main paper.

6. References
L. S. Copeland, "Exchange Rates and International Finance," 5th ed.,Workingham: Addison-Wesley Publishing Company, 2008.
W. Enders, "Applied Econometric Time Series," 3nd ed., New York: John Wiley & Sons, Inc, 2010
楊奕農,時間序列分析,2009年08月10日，台北： 雙葉書廊有限公司

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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」