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

New evidence on purchasing power parity from 17 OECD countries

原文連結至
文獻:
1Griffith Business School, Department of Accounting, Finance and Economics, Gold Coast Campus, Griffith University, PMB 50 Gold Coast MC, Queensland 9726, Australia

Newevidence on purchasing power parityfrom 17 OECD countries

基本理論:

purchasing powerparity(PPP)理論

研究方法(估計、檢定、指標) 與邏輯:

1. Augmented Dickey-Fuller(ADF)

2. Structural break unit roottest(結構轉變單根檢定)

需要的統計數據:

17個國家的實質匯率建立在美元與德國馬克的基礎上

實證結果:

實質匯率建立在美元或德國馬克下，所產生的結果也不同

困難處或遭遇的問題:

英文文章有點長，要了解整體架構與意思有些吃力

英文文法不太好，有時會誤會文意

參考文獻:

時間序列分析-經濟與財務上之應用(二版) 楊奕農 著

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

潘清心的国际金融记事

100/10/20
 Time-Series introduction:
a. White noice
b. Auto Regression
c. Random Walk
d.Cobweb model

100/10/13
1.The Law of One Price  in the open economy
2. Purchasing Power Parity
3. Variation

100/10/06
1. Low of one price (LOP)
2. Stationary/ Nonstationary variables

100/9/29
1. Exchange rate : Introduction
2. Exchange rates type:  Forward exchange rate, spot, swap, options
3. Cross Rates between countries

100/9/22
 Guide line about GRETL : How to process on Computer

100/9/15
1. Introduction about International trade theory
2. Sumarization for the course

國金學習記事-徐筱昀

100/10/20
1. 時序基本概念
2. White noice
3. AR(1)
4. Random Walk
5. 蛛網理論

100/10/13
2.4 LOP in the open economy
寫出實證模型
2.5 PPP
2.6 變數轉換

100/10/06
2.1 Low of one price (LOP)
2.2實證研究 for LOP
2.3定態/非定態

100/9/29
1. Introduce exchange rates
2. S(本/外)↑---台幣貶值 美元升值
3. Spot exchange rate VS. Forward exchange rate
4. Cross Rates

100/9/22
1. gretl說明講解(上機)
變數名稱、附檔名、P-value 說明

100/9/15
1. 介紹課程大綱及規則
2. 說明期中、期末報告