10292020莊易昇期末報告

我的期末報告

國際金融期末報告

EXCHANGE RATE DURING THE FINANCIAL CRISIS
PhD. Elena PELINESCU
Institut for Economic Forecasting – NIER, Romanian Academy
Abstract:
The paper analyzes the evolution of the exchange rate in Romania during
the financial crisis in order to offer some information regarding how the exchange
rates react in the presence of some socks. We used a Vector autoregressive
technics and impulse function and the conclusion is that in the case of It is
observed that an unexpected shock in the interbank operations and aggregate
supply leads to a slight increase of 0.2% in the exchange rate leu / euro and a
shock in the foreign exchange market trading volume may lead to a negative shock
in the exchange rate leu / euro, with a continuing influence of 6 months before
returning to the previous situation before the shock. The exchange rate channel is
an important tool in taking shocks in national and international economy and the
loss of this channel by fixing the exchange rate of the European currency would
make it difficult to accept such shocks to the labor market and goods market.
Keywords: exchange rate, vector autoregressive, financial crises.

期末報告文章

國際金融期中報告

國際金融期中報告
https://www.youtube.com/watch?v=xZx67Y3zezU

Gold Price Before and After the Subprime Crisis

Gold Price Before and After the Subprime Crisis. 

 By: Vatti, Raja R. 

Proceedings of the Northeast Business & Economics Association. 2010, p388-390. 3p. 2 Charts. 

Abstract: Despite the disappearance of the gold standard in international exchange markets, gold is still perceived by the governments and people as a commodity of unquestionable value. With the Bretton Woods agreements in 1944, and with a major share of global GDP and innovative technology, the US dollar gained a premium role as a most sought after currency reserve in the international exchanges. The recent economic union of several countries in Europe brought the Euro as a currency to reckon with, and the Euro intends to compete with the US dollar as a reserve currency. The current study investigates the relationship between gold price fluctuations and exchange rates between the US dollar and Euro. The strength or weakness of the dollar relative to the Euro would be related to gold price behavior. A simple non-linear regression model would be developed to quantify the impact of the dollar's value in Euros on gold price. Another key objective of the current research is to observe whether the relationship changed after the US subprime crisis. Two regression models would be developed, one with the daily data before the subprime crisis, and the other with the daily data after the subprime crisis. If the differences exist, they will be discussed. [ABSTRACT FROM AUTHOR] (AN: 56100880)

http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=56100880&lang=zh-tw&site=ehost-live

A Century of Global Equity Market Correlations

作者:

Dennis P. Quinn and Hans-Joachim Voth

資料來源:

A century of Global Equity Market Correlations

作者提供的關鍵字:

Equity Market Correlations 

Country Indices

Cross-Sectional Variation

   摘要:    

研究方法:

In this paper, we use a unique long-run dataset of regulatory constraints

 on capital account openness to explain stock market correlations.

Regressions.

期中影片:
10292009，沈孟薇，期中影片

期末影片:
10292009 沈孟薇 期末影片

COINTEGRATION AND SHORT-RUN DYNAMICS OF U.S. LONG BOND RATE AND INFLATION RATE

作者:

Kasibhatla, Krishna M.1

資料來源:

North American Journal of Finance & Banking Research. 2010, Vol. 4 Issue 4, p50-61. 12p. 4 Charts.

文件類型:

Article

主題術語:

*COINTEGRATION
*BONDS (Finance) -- Ratings & rankings
*BONDS (Finance)
*INTEREST rates -- Effect of inflation on
*FISHER effect (Economics)
*BANKING industry -- United States

地理詞彙:

UNITED States

作者提供的關鍵字:

cointegration
degree of integration
erro-correction
Granger causality
unit root

NAICS/產業代碼:

522298 All Other Nondepository Credit Intermediation

摘要:

According to the Fisher hypothesis the nominal bond interest rate adjusts to changes in the expected rate of inflation. This also implies the efficiency of the financial asset markets. Optimizing behavior of agents in asset markets requires that the nominal yield on bonds and expectations of inflation move in the same direction. The original Fisher hypothesis stipulates a one-to-one relationship between expectedrate of inflation and nominal interest rates, unadjusted for taxes. This dynamic relationship between the long-bond yield and expectedinflation rate as well as the long-run equilibrium relationship between the two rates, in the presence of the Federal Reserve's close monitoring of the inflation rate, is investigated using the Johansen and Juselius (JJ) (1990, 1995) cointegration and equilibrium error correction methodology. The empirical results of our study strongly indicate that bond rate and consumer inflation rate are cointegrated. Secondly, bond rate is caused by consumer price inflation and consumer inflation is not caused by bond rate. Further, our empirical results support Darby's (1975) finding of 'augmented Fisher effect.' The implication of this finding is that the interest rate, not adjusted for taxes, has to increase by nearly 1.52 when the inflation rate rises by one unit in order to keep the real rate constant. [ABSTRACT FROM AUTHOR]

 

Copyright of North American Journal of Finance & Banking Research is the property of Global Business Investment & Publications and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.(Copyright applies to all Abstracts.)

作者所屬機構:

1North Carolina A&T State University, USA

ISSN:

1933-3447

入藏號碼:

52918221

http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?vid=3&sid=2a36f3d7-466a-43be-9973-8cee24db6ad1%40sessionmgr198&hid=128&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=52918221

The cointegration of Asian currencies revisited

文獻來源
Japan and the World Economy, Volume 9, Issue 1, March 1997, Pages 109-114
Y.K. Tse, L.K. Ng

主題

The cointegration of Asian currencies revisited 

資料庫

Science Direct

http://0-www.sciencedirect.com.cylis.lib.cycu.edu.tw/science/article/pii/S0922142596002393

期中影片

https://www.youtube.com/watch?v=fmbiDEcWGW0&feature=youtu.be

期末影片

http://www.youtube.com/watch?v=2UKpWXhIt0s&feature=youtu.be

Exchange rate market efficiency: further evidence from cointegration tests

文獻來源 :
Applied Economics Letters. Jun95, Vol. 2 Issue 6, p196-198. 3p. 3 Charts.

主題 :
FOREIGN exchange
ECONOMETRIC models

資料庫 : 
http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/pdfviewer/pdfviewer?sid=cede64e5-6fdb-439e-a9b3-359c9eb50130%40sessionmgr15&vid=4&hid=23

Exchange rate market efficiency: further evidence from co-integration tests

Abstract

本篇論文所探討外匯市場是有效率的假說。一些實證結果與早些時候的研究報告為基礎進行了隱含的假設：時間序列資料是定態的。但是本篇論文使用共整合方法，這意味著都是非定態的時間序列數據，以檢驗市場效率，採用日本數據來自華爾街日報是從1983年至1992年期間得到這些數據。研究結果表明，日本外匯市場效率假說不一致。

Data

1983年至1992年

時間序列數據

Methodology 

Unit Root Test 單根檢定

Co-integration Test 共整合檢定

Estimation of Equation 誤差修正模型

Empirical Results

本文章的實證結果大多數研究評估時序特性的經濟系列使用Dickey-Fuller單根檢定，但為確保無序列相關性，以進行擴充的Dickey-Fuller檢定(ADF)就是使用在有兩個以上的落後期。

Conclusion

這篇文章主要探討外匯市場在日本市場使用是有效的。遠期與即期匯率在個別序列是使用單根檢定來確定該序列是定態還是非定態。在這個序列它是非定態但是經過第一階差分後則出現定態，然後，它必要確定如果兩個系列具有共整合關係會跑出回歸式。這兩個測試似乎支援共整合之間的遠期與即期匯率。然而，使用額外的測試誤差修正模型(ECM)這似乎拒絕聯合市場假說的外匯為日本市場。

Difficultly

英文閱讀能力需再加強

模型的定義與了解並不夠

資料期間的選擇

Other Useful Resources

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。

THE RELATIONSHIP BETWEEN INFLATION AND INTEREST RATES: A Co-Integration

題目:THE RELATIONSHIP BETWEEN INFLATION AND INTEREST RATES: A Co-Integration 網址: http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?vid=3&sid=2231cbaf-4a01-4cc6-ba15-5ce534bf3b39%40sessionmgr15&hid=25&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=79967258 作者:Kasibhatla, Krishna M.1 資料來源:International Journal of Finance. 2011, Vol. 23 Issue 4, p7034-7044. 11p. 文件類型:Article 主題術語: *INFLATION (Finance) *INTEREST rates *ECONOMISTS *ECONOMIC structure *ECONOMICS -- Research LITERATURE reviews ERRORS NAICS/產業代碼: 541720 Research and Development in the Social Sciences and Humanities 摘要: The relationship between interest rate and inflation rate has been a question in the minds of theoretical economists for a long time. Instead of looking at the theoretical analysis examined in the existing literature, here we attempt to explore the link between 10-year Treasury bond yield and the long-term expected inflation rate via co-integration and error correction structures of analytical vehicles. 作者所屬機構:1North Carolina A & T State University ISSN:1041-2743 入藏號碼:79967258 資料庫:EBSCO Business Source Complete

AEC's Exchange Rates Risk on Interbank Money Market: Evidence from Thailand

作者:

Rujira, Gongkhonkwa; Zongjun, Wang

作者關係機構:

Huazhong U Science and Technology; Huazhong U Science and Technology

資料來源:

International Journal of Economics and Finance, June 2013, v. 5, iss. 6, pp. 20-33

出版日期:

June 2013

摘要:

Exchange rate risk is one part of systematic risk that able to be transfer between countries and markets. Therefore, many researchers are seeking the suitable way to reduce the exchange rate risk. This study aims to analyze the AEC's exchange rates risk on interbank money market thereby we perform our test with econometric test by using the linear regression to be our model. This study has found some evidence from the variance decomposition test and impulse response test that suggested the exchange rates of AEC member countries such the Indonesian Rupiah (IDR), and Philippine Peso (PHP) can be explained the interrelationship between exchange rate and BIBOR better than other currencies. Moreover, we also found the degree of relation of the exchange rates vary direction with the tenor of BIBOR as well. And, almost every currency of the AEC's exchange rates had positive relation on BIBOR except the PHP. The results from this study will be extending knowledge and understanding of exchange rate risk on BIBOR to the central bank, financial institution, and everyone who interesting in exchange rate risk moreover this result can apply for risk management as well.

描述項:

Foreign Exchange (F310)
International Financial Markets (G150)
Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance (O160)
International Linkages to Development; Role of International Organizations (O190)

關鍵字:

Exchange Rate

地理位置描述項:

ASEAN; Thailand

Geographic Region:

Asia

ISSN:

1916971X

出版品類型:

Journal Article

有無:

http://ccsenet.org/journal/index.php/ijef

更新代碼:

201307

入藏號碼:

1380748

資料庫:

EconLit

全文資料庫：

Business Source Complete

期中影片
https://www.youtube.com/watch?v=nwYwFHH7sGY

期末影片

國際金融學習記事-沈孟薇

102/10

l   介紹網站YAYA站使用

l   介紹期中、期末報告之撰寫方法

102/10/17本週國際金融新聞

老師上課提及美國債券

美國債券

美財長提出提高舉債保護經濟

國際貨幣基金總裁也呼籲美債影響全球之重要

102/10/24本週國際金融新聞

2013/10/14老師上課所提到的美國債券

美國債券已不安全

美國貿易赤字

安倍經濟未治本

西班牙擺脫衰退失業率下降


102/11/1

1.蛛網理論
2.如何用統計軟體及國際金融
3.深入白噪音探討
4.DGP
5.ARMA model

希臘經濟崛起
安倍經濟滑鐵盧
歐元區通膨率創4年最低

102/11/8

第一輪同學上台報告
1.報告內容格式，不可以太多文字
2.使用蘋果光的方向要注意
3.專有名詞不能翻譯錯誤

操作歐元區利率，六大銀行遭罰
日銀總裁表示:日銀討論QE退場
人民幣國際化


102/11/15

第二輪同學上台報告

1.注意題目是否為可轉為台灣資料

彭淮南表示:外國利率低恐影響央行盈餘
四大銀行信評遭砍
國際金融與商品期貨分析




102/11/22

期中考週放假

美聯儲考慮在未來退出QE
經濟學者提出"電子貨幣救經濟"
歐洲央行是否打破債券購買禁忌?




102/11/29

第三輪同學報告

10292009 沈孟薇，102學期上，國金期中報告

淡本港地產股-內銀股中性態度
美消費者信心復甦 房價呈現緩慢上升
中國服務業成長強勁 出口業則相對萎靡




102/12/02

請假一週

原油連6漲；黃金連2跌；基本金屬全漲；BDI連10紅；棉花漲2％
投資人態度趨守，周一紐約債市小漲
12月6日歐洲市場稀有金屬報價


102/12/09

1.落遲運算元
2.遞迴推算
3.ARMA對偶理論
4.非定態時間序列模型
5.定性趨勢(及非線性)

QE將退，美元兌日圓5年高點
歐盟警告 用比特幣風險自負
《國際金融》通膨、經濟持穩，菲律賓央行維持利率不變


102/12/16

1.單根檢定衍生檢定
2.不含截距RW

上修GDP增幅，聯合國預測明年全球加速成長
QE減碼 韓元貶幅1個月最大
紐上季GDP加速至4年來最快


102/12/23

1.共整合檢定
2.白噪音做殘差之 pure RW model
3.誤差修正理論

熱錢回流美國 新興市場重傷
周四紐約債市漲跌互見
就業改善 QE減碼百億美元


102/12/30

1.期末第一階段同學上台

明年經濟與通膨 日、韓央行看升'
獲利了結，周一國際原油期貨收跌
安倍改拚政治？財相急滅火


102/01/06

第二輪同學報告

10292009沈孟薇，102學期上，國金期末報告

美就業市場報喜
《金融》市場評價決定長期報酬率，聯博：全球股市仍可投資
今年出口會更好，金融營業稅不宜升

DETERMINANTS OF CAPITAL FLIGHT IN MALAYSIA

作者:

Chin-Hong Puah¹
Siew-Ling Liew¹
Arip, Mohammad Affendy¹

資料來源:

Journal of International Finance & Economics. 2012, Vol. 12 Issue 3, p5-10. 6p.

文件類型:

Article

主題術語:

*CAPITAL movements
*VECTOR error-correction models
*EMPIRICAL research
*FOREIGN investments
*STOCK exchanges
*TIME series analysis
*DATA analysis

地理詞彙:

MALAYSIA

作者提供的關鍵字:

Capital flight
Economic growth

NAICS/產業代碼:

522293 International Trade Financing
523210 Securities and Commodity Exchanges

摘要:

This study was intended to investigate factors affecting capital flight in Malaysia. The study used time series data from first quarter 1991 through fourth quarter 2008 and the data were tested using the Augmented Dickey-Fuller unit root test, Johansen-Juselius cointegration test, and vector error-correction modeling. Empirical findings indicated a stable long-run relationship between the variables under study. Foreign direct investment and the stock market were found to have a positive impact on capital flight, whereas real gross domestic product (GDP), budget deficit, and interest rate were negatively related to capital flight. In addition, real GDP, interest rate, and budget deficit can Granger cause capital flight in the short-run.[ABSTRACT FROM AUTHOR]

 

Copyright of Journal of International Finance & Economics is the property of International Academy of Business & Economics (IABE) and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.(Copyright applies to all Abstracts.)

作者所屬機構:

¹Faculty of Economics and Business, University Malaysia Sarawak, Malaysia

ISSN:

1555-6336

入藏號碼:

84396531

資料庫:

Business Source Complete

網址

http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?vid=3&sid=6ba74598-0aba-40aa-9648-ce7a82546539%40sessionmgr4&hid=18&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=84396531

FDI and Economic Growth in Western Region of China and Dynamic Mechanism: Based on Time-Series Data from 1986 to 2010.

作者:

Lian, Lina1 llnhappy2010@126.com
Haiying Ma1

資料來源:

International Business Research. Apr2013, Vol. 6 Issue 4, p180-186. 7p. 5 Charts, 1 Graph.

文件類型:

Article

主題術語:

*FOREIGN investments
*ECONOMIC development
*TIME series analysis
*ESTIMATION theory
*GRANGER causality test
CHINA -- Economic conditions -- 2000-

作者提供的關鍵字:

economic growth
error-correction analysis
FDI
Granger causality test

NAICS/產業代碼:

522293 International Trade Financing

摘要:

In this paper, we analyze causal relationship between foreign direct investment (FDI) and economic growth in western region of China using time-series data from 1986-2010. The analysis is conducted by the means of time-series estimations through ADFunit root test, co-integration tests, error-correction analysis and Granger causality test. The purpose of the paper is to empirically investigate the impact of economic growth on FDI in western region and its dynamical mechanism. The results suggest that inward FDI flow does not lead to Granger-cause economic growth, and economic growth also does not exert significant impacts on FDI inflows, which means some studies have exaggerated the positive effect of FDI on economic growth, and eclipsed the influence of economic growth on FDI.[ABSTRACT FROM AUTHOR]

 

Copyright of International Business Research is the property of Canadian Center of Science & Education and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.(Copyright applies to all Abstracts.)

作者所屬機構:

1School of Economics, Northwest University for Nationalities, Lanzhou, P. R. China

ISSN:

1913-9004

DOI:

10.5539/ibr.v6n4p180

入藏號碼:

87063605

資料庫:

Business Source Complete

資料來源:http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?vid=10&sid=7e2aef93-e929-4af2-be83-690cdf7eebd0%40sessionmgr112&hid=23&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=87063605
期中報告:\

期末報告:

The Financial Implications of a VAR Model of the Determinants of Exchange Rates: The Case of South Korea.

作者:

Yvonne Chen1 ychen@depaul.edu
Yu Hsing2

資料來源:

International Journal of Management. Sep2005, Vol. 22 Issue 3, p332-340. 9p. 2 Charts, 1 Graph.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*BUDGET deficits
*DEFICIT financing
*INTEREST rates
*STRATEGIC planning
*PRICE regulation
*EQUILIBRIUM (Economics)
KOREA (South) -- Economic conditions

NAICS/產業代碼:

926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors

摘要:

Applying a VAR model based on a sample from 1981.Q1 – 2002.Q3, the nominal exchange rate in Korea was found to have a positive response to a shock to the U.S. output, real budget deficits, the price level in the U.S., and its own lagged values. The exchange ratereacts negatively to a shock to output in Korea, the interest rate differential between the U.S. and Korea, and the price level in Korea. Second only to lagged exchange rates, the price level in Korea had a very significant impact on the movement of exchange rate. The interest rate differential and government deficit are considerable factors as well, explaining up to 8.6% and 7.9% of the variation inexchange rates, respectively. By evaluating the simultaneous differential equations, exchange rate and interest rate differentials are proven to follow certain paths toward conditional equilibrium. The model and empirical results can provide insights for multinational companies in developing a business strategy that better controls the exchange rate risk of Korean won.[ABSTRACT FROM AUTHOR]

 

Copyright of International Journal of Management is the property of International Journal of Management and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.(Copyright applies to all Abstracts.)

作者所屬機構:

1DePaul University
2Southeastern Louisiana University

ISSN:

0813-0183

入藏號碼:

18390878

資料庫:

Business Source Complete

資料來源:http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?sid=62b387c1-e704-4d39-acb8-b551b0dce008%40sessionmgr12&vid=10&hid=1&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=18390878

期中報告:

期末報告: