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

2012-10-11

The degree of capital mobility in Thailand: some estimate using a cointegration approach


The degree of capital mobility in Thailand: some estimate using a cointegration approach

 Source (文獻來源)：

 Applied Economics Letters; Jan1996, Vol. 3 Issue 1, p9, 5p, 2 Charts

 原文連結
Summary (重點摘要)：

國際資本流動的進行對發展中國家貨幣政策的衝擊。

Theoretic Grounds (基本理論)：

國際資本流動性

利率

Methodology 研究方法(估計、檢定、指標)與邏輯：

Unit Root Test 單尾檢定

Cointegration Test 共整合分析

 Error-Correction 誤差修正模型

Required Data (需要的統計數據)：

1980年第一季～1992年第四季

名目利率、實質利率、國內生產毛額、預期物價膨脹率、實質所得與預期貨幣貶值率

國外名目利率

Main Findings (主要實證結果)：

發現利率會受到國外與國內的影響

表示貨幣政策在短期間內可以成為穩定政策的主要因素

Your Questions and Difficulties (困難處或遭遇之問題)：

專有名詞所識不足

 方法的操作

Other Useful Resources (有用的參考文獻)：

   楊奕農，《時間序列分析：經濟與財務上之應用》，雙葉書廊有限公司，台北，2009年8月 二版
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2012-10-09

Floating exchange rates and inflation in Germany: Are external shocks really irrelevant?

原文連結
主題:Floating exchange rates and inflation in Germany: Are external shocks really irrelevant?
Economics Letters, Volume 93, Issue 3, December 2006, Pages 393-397
Tobias Basse
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2012-10-08

國際金融學習紀錄 - 范成光

101/9/17

101/9/24


 101/10/1


 101/10/8


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


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

101/11/26

101/12/3

101/12/10

 101/12/17
 101/12/22

 102/1/7



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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」