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

2012-10-08

Analysis of movements in the AUD/USD exchange rate: comparison of four major models


Analysis of movements in the AUD/USD exchange rate:comparison of four major models
Hsing  Yu，Applied Economics Letters, March-April 2010, v. 17, iss. 4-6, pp. 575-80 (原文連結)



重點摘要
探討澳洲與美國間的匯率變動的影響，於4個主要模型purchasing power parity、uncovered interest parity、monetary、Mundell–Fleming中，使用R-square去判斷其顯著性。
基本理論
  1. purchasing power parity model
  2. uncovered interest parity model
  3. monetary model
  4. Mundell–Fleming model  
研究方法 (估計、檢定、指標 ) 與邏輯
R-square判定4種模型的顯著性

需要的統計數據
取用的資料期間為1974年第二季至2006第三季
需要資料為CPI，PPI，澳幣兌美元匯率，實質匯率，GDP，政府支出，稅收，通貨膨脹率，貨幣供給量，
於匯率和通貨膨脹可以使用落後期當作預期值
使用Newey-west method 修正未知型態的自我相關和異方差

 主要實證結果
由R-square的判定可以得知最明顯的為uncovered interest parity model  
預期匯率為在測量匯率時很重要的因子需要用更多高深的方法來建構

 困難處或遭遇問題
選取資料時一些實質資料必須使用某些模型計算須找出計算模型
且預期的資料必須使用落後的方式 因此需落後的期數必須考慮進去 
Newey-west method 只明白其修正的用意 仍不明白使用方式

計算方式
運用計量軟體運算








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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」