國際金融學習紀錄 - 范成光

101/9/17

• 期初測驗
• 課程大綱介紹
• YAYA站介紹,專題格式
• Every week each student has to post 3 news, articles which is related to International Finance
• World Bank Sees East Asia Growth Sliding to 11-Year Low on China
• Seoul shares dip on worries over Spain, Q3 earnings
• Economic outlook: trade data in spotlight

101/9/24

• Gretl 快速入門簡報
• LM 檢定
• 3Q 檢定
• J-B 檢定
• International Finance News
• Introduction to International Finance WEO
• Dollar Lifts, Euro Sinks, Iran Cracks Down
• Currencies and exchange rate
• China growth forecast lowered by World Bank

 101/10/1

• Chapter 1: World Economic Outlook - Introduction
• Estimation of Economic growth
• World trade volume
• Exchange rate 匯率
• Cross exchange rate
• Mid-market rate
• Mid-market rates
• Demand for currency
• Balance of payment
• The DIY model
• Floating exchange rate
• International Finance News
• EU study wants risky bank trading separate from retail
• Investing in Africa
• Thai economy beats growth forecast for Q2

 101/10/8

• Chapter 2: Prices in the open economy - Purchasing Power Parity
• Exchange rate determination
• The law of one price (LOW)
• The law of price in the open economy: the two identical goods must sell in a common currency
• Purchasing Power Parity (PPP)
• International Finance News
•  Brazilian bank rides wave of booming economy
• Standard Chartered settles with US over Iran deal claims
• Credit Suisse sued in US over securities

101/10/15

• Chapter 2: Continued
• Purchasing power parity extentions
• Trade versus non-traded goods: Balassa-Samuelson: If there is an integrated labour market, then, in the long run at least, wages will be bid up to the same level in the services sector, even though productivity growth there has been slower
• Trade costs and adjustment to purchasing power parity:

arbitrage: 套利
P = SP*
Q = SP*/P

• Trade costs: Iceberd model

Pf P*f/1-t

Pc = (1-t)P*c

where P*c: price of a home - produced good in its country of origin

• Incomplete pass-through and pricing to market
• Empirical research
• International Finance News
• The British Virgin Islands inspires financial confidence
• Brazilian investment company defies equity market
• Expert solutions for Middle Eastern investments

101/10/22

• Chapter 3: Financial markets in the open economy
• Uncovered interest rate parity

(1+r) = (1+r*)Se/S
risk averter
risk lover
risk neutral
r - interest rate in the UK
r* - interest rate in the US
Se/S: ratio of the expected exchange rate at the end of the year to actual at the time of the decision
UIRP = Uncovered Interest Rate Parity

• The domestic strategy
• The foreign strategy
• Equilibrium: the bottom line
• The risk premium is the reward, usually in the form of an anticipated excess return, that an economic agent gets in order to persuade him to bear risk
• Risk averter are economic agents who require a positive risk premium in order to persuade them to hold risly asset. By contrast, risk lover are willing to pay a premium for previlege of bearing risk, while risk-neutral agents are willing to do so in return for a zero-risk premium
• Cover interest rate parity
• The spot exchange rate is the rate figuring in agreements to exchange one currency for another more or less immediately.
• Borrowing and lending
• An investor who has a liability denominated in a specific currency is said to have a short position in that currency
• Cover interest rate parity - the facts
• Efficient markets - a first encounter
• International Finance News
• Direct foreign investment builds in Uruguay
• National forex brokerage looks to expand
• Free trade zone

101/10/29

• Time Series Analysis in Economics and Finance
• Chapter 1: Basic concept of Time Series
• Time Series: stationary and nonstationary
• 1.1 從AR(1)模型談起: autoregressive model
• 1.2 時間序列模型之目的與涵義
• 1.3 蛛網理論,結構式與縮減式
• 1.4 AR(1) 模型的收斂值和經濟長期均衡之關係
• 1.5 加入誤差觀念的AR(1)模型
• Chapter 2: Box-Jenkins的ARMA模型
• 2.1先談談白色噪音
• 2.2 ARMA(p,q)模型
• 2.3 MA隱含的經濟意義
• 2.4 定態與安定條件
• 2.5 用ACF和PACF判斷
• International Finance News
• Taking stock with the right know-how
• Forex markets require ‘efficiency’; ‘accessibility
• Yuan and now

101/11/05

• Mid-term individual presentation

• Weak-form Efficiency of Foreign Exchange Market in the
  Organization for Economic Cooperation Development Countries : Unit Root Test
   
  Abstract
  Ø   This paper looks at the weak-form efficiency of the for-ex  market in (OECD) countries
  Ø   The paper employs ADF, weekly data for the period from 2000 to 2007
  Ø   In addition, the OECD for-ex market consistent with the weak-form of the Efficient Market Hypothesis
  Data
  Ø   Data sources are got from International Journal of Business and Management
  Ø   The foreign exchange market in the Organization Economic Cooperation and Development Countries (OECD)
  Model
  Ø   The fair-game model
  Ø   The Martingale of sub-martingale model
  Ø   The random walk model
  Methodology
  1.          Unit-root test and orders of integration
  2.          Augmented Dickey Fuller (ADF)
  3.          Phillips-Perron Unit Root test (PP)
  Conclusion
  1.          The efficiency in the for-ex market has long been debated in the economic literature.
  2.          Primary aim was to test the weak form efficiency of the for-ex market in the OECD
  Difficulty
  Ø   Because this organization includes 30 countries so that it is hard to collect data source and information
  Reference
  Ø   Yi nung Yang – Time Series Analysis in Economics and Finance
  Ø   Aron, J (1997). Foreign exchange market efficiency test in South Africa. Journal of African Economics.
• Comment and suggestion from professor
• APEC countries ( 5 countries ) are available
• Focus on data searching such as: CPI, for-ex rate
• Should use personal idea in final report, not just follow everything in sample thesis
• International Finance News
• FX saves financial markets
• National forex brokerage looks to expand
• Asia’s financial markets benefit from FBS’s top forex system

101/11/12

• 10192024 – 范成光
  Data summary for final report

  TAIWAN FOREIGN EXCHANGE
  Column1
  Mean			34.81642
  Standard Error			0.198236
  Median			36.06
  Mode			40.05
  Standard Deviation			4.947976
  Sample Variance			24.48247
  Kurtosis			-1.1258
  Skewness			-0.4979
  Range			15.81
  Minimum			24.77
  Maximum			40.58
  Sum			21690.63
  Count			623
  Largest(1)			40.58
  Smallest(1)			24.77
  Confidence Level(95.0%)			0.389294

  
  
  VIETNAM FOREIGN EXCHANGE

  Column1
  Mean	6094.43
  Standard Error	288.705
  Median	22.5
  Mode	0.03
  Standard Deviation	7234.927
  Sample Variance	52344172
  Kurtosis	-1.41465
  Skewness	0.532391
  Range	20827.99
  Minimum	0.01
  Maximum	20828
  Sum	3827302
  Count	628
  Largest(1)	20828
  Smallest(1)	0.01
  Confidence Level(95.0%)	566.9459

   
  MALAYSIA FOREIGN EXCHANGE

  Column1
  Mean	2.93568
  Standard Error	0.020462
  Median	2.995
  Mode	3.8
  Standard Deviation	0.51441
  Sample Variance	0.264618
  Kurtosis	-0.81642
  Skewness	0.474288
  Range	2.46
  Minimum	2.11
  Maximum	4.57
  Sum	1855.35
  Count	632
  Largest(1)	4.57
  Smallest(1)	2.11
  Confidence Level(95.0%)	0.040182

   
  KOREA FOREIGN EXCHANGE

  Column1
  Mean	705.5494
  Standard Error	14.32962
  Median	744.8
  Mode	484
  Standard Deviation	360.241
  Sample Variance	129773.6
  Kurtosis	-0.93183
  Skewness	0.062108
  Range	1645
  Minimum	50
  Maximum	1695
  Sum	445907.2
  Count	632
  Largest(1)	1695
  Smallest(1)	50
  Confidence Level(95.0%)	28.13951

   
  JAPAN FOREIGN EXCHANGE

  Column1
  Mean	208.4881
  Standard Error	4.093338
  Median	170.05
  Mode	361.77
  Standard Deviation	102.9049
  Sample Variance	10589.42
  Kurtosis	-1.46613
  Skewness	0.370632
  Range	286.26
  Minimum	76.36
  Maximum	362.62
  Sum	131764.5
  Count	632
  Largest(1)	362.62
  Smallest(1)	76.36
  Confidence Level(95.0%)	8.038214

   

101/11/19

• Mid-term week: no class
• International Finance News
• Euro Finance Chiefs Confident Greek Buyback to Succeed
• China, S. Korea to Boost Use of Local Currencies in Trade
• IMF Officially Endorses Capital Controls in Reversal

101/11/26

• Chapter 8 Time Series Analysis:
• International Finance News
• U.S. GDP on the road to zero growth by 2050
• Toll brothers profits, revenues rise
• The European Threat to the U.S. Recovery

101/12/3

• Chapter 8 Time Series Analysis
• International Finance News
• US oil imports to fall to lowest in 25 years
• HSBC’s exit from Ping An in jeopardy
• The IMF and multipliers, again

101/12/10

• Chapter 9 Time Series Analysis
• International Finance News
• Banks look to wean themselves off ECB drip
• Clarity needed on BoE’s inflation strategy
• Yen rise defies eurozone bond buy policy

 101/12/17

• Chapter 9 Time Series Analysis
• International Finance News
• Wall St lower at start of earnings season
• Novo Nordisk rises amid Denmark high
• Financials hit as Wall St moves lower

 101/12/22

• Final report oral presentation
• International Finance News
• Qatar extends $2.5bn lifeline to Egypt
• Euro buoyed by central bank meeting
• Dollar hits 29-month high against yen

 102/1/7

• Final report oral presentation
• International Finance News
• Currency performance
• Bank of America ramps up lending
• Financial services: Sturdy banks sector is well cushioned