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
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2017-01-12

國際金融學習記事 10592009 方羿傑

2016.01.02

繳交期末紙本報告+上傳影片

2016.12.26

期末考(筆試+上機考試)

2016.12.19

Gretl操作
看趨勢圖

2016.12.12

Gretl操作
ADF單根檢定
若顯著則有單根即有定態
原始變數為非定態時做一階差分
論文需要理論來支持,慎選理論

市場環境或驟變！BIS：央行影響退場、閃崩恐成常態
通膨憂慮更勝錢荒？印度利率按兵不動、專家跌破眼鏡

2016.12.05

停課一次

2016.11.28

誤差修正的左右兩邊皆為定態
透過rank來判斷有無共整合
Johansen共整合檢定步驟:
先用VAR確定落後期,從AIC,BIC,HQC選最小數字決定落後期,之後用共整合檢定時落後期要填VAR所選落後期+1

2016.11.21

Engle-Granger 共整合檢定:
確定變數的階次是否相同,之後再使用ADF檢定 檢定變數階次
階次相同即具共整合,進行下一步驟。
階次不同則變數不具共整合性質。
接著以 OLS 估計兩變數之長期關係，並保留殘差
 yt=a0+a1xt+et
之後以 ADF 檢定來檢定 et 是否降階為定態變數
若拒絕虛無假設，則表示兩變數具有共整合現象。

共整合向量的「標準化」，即是將共整合向量中的其中一個當做 1。
N個整合變數的共整合向量「最多」為 N-1 個。
Johansen 共整合檢定可以視為同時處理 n 個變數的一般化單根檢定。
 對角元素和檢定，最大特性根檢定




2016.11.14

ADF檢定可分成 
1.無常數
2.有常數
3.常數+趨勢
用來處理白嗓音(殘差白嗓音化)

有共整合即有誤差修正

非定態:指有其中一解為單根

一組非定態時間序列變數的線性組合變成定態則我們稱這些變數有"共整合"現象

具經濟意義的共整合變數線性組合必須為定態，即I(0)


2016.10.31

注意事項:
1.標題明確
2.字數適當
3.字體清楚
4.注意講話速度
5.注意儀表
6.注重結論



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2016-11-18

國金期末用論文+期末報告影片

Impact of Foreign Exchange rate on stock prices





作者:
Maheen1 jamil , 2Mr Naeem Ullah
資料來源:
IOSR Journal of Business and Management (IOSR-JBM) e-ISSN: 2278-487X. Volume 7, Issue 3 (Jan. - Feb. 2013), PP 45-51


文件類型:
Article
主題術語:
cointegration
Phillip Peron(PP) tests
ordinary least square regression
摘要:
 
Foreign exchange fluctuations have been found in the literature review to have an impact on the stock market return and the fluctuations in the stock prices. This research uses the cointegration technique to analyze the impact of USD to PKR exchange rate on the stock return market in Pakistan. The stock market return has been studied by KSE 100 Index. The results show that a relationship between the two variables exists in the short run in Pakistan.




ISSN:
2278-487X



國金期末報告

國貿碩一 10592009 方羿傑  

指導教授:楊奕農

台灣股市對外匯匯率的影響

摘要
股票市場回報率對投資人來說是很重要的，而其中影響股票回報率的一個因素則是匯率。 外匯回報對國家的經濟影響大也很重要，若發現外匯率和股票市場之間存在關係，那麼投資人就有機會藉股市的情況對外匯進行投資。本研究用共整合來分析股市對美元換台幣之匯率有何影響。在這個研究，我使用從臺灣證券交易所取得之2014年1月到2016年11月臺灣50月平均報酬指數，和從華南商業銀行 金融交易部外匯交易科取得之2014年1月到2016年11月美元兌台幣之月平均匯率作為兩變數。一開始先用單根檢定(Phillip Peron（PP）檢定)進行平穩性測試，若測試過了則進一步在做ADF檢定增加其可信度並進一步檢定單根，之後再以共整合檢定確認其是否存在長期關係，一但有長期關係，則使用VECM向量誤差修正模型，看是否有短期影響。結果表明兩者間存在長期關係，但卻不存在短期關係。. 

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2016-10-27

RE國金期中 Understanding Chinese consumption goods imports.

Understanding Chinese consumption goods imports.


作者:
Thorbecke, Willem1 willem-thorbecke@rieti.go.jp
資料來源:
Journal of Policy Modeling. Jan2016, Vol. 38 Issue 1, p96-102. 7p.
文件類型:
Article
主題術語:
*CONSUMPTION (Economics)
*RESEARCH
*IMPORTS
*MARKETING
*PER capita
*GROSS domestic product
CHINA
LEAST squares
作者提供的關鍵字:
China
Exchange rate elasticities
F32
F41
摘要:
China's consumption imports per capita in 2012 equaled $36, much less than comparable countries’ imports. This paper investigates the determinants of consumption imports. Evidence from panel dynamic ordinary least squares estimation and imports from 20 leading trading partners over the 1992–2012 period indicates that GDP growth and renminbi appreciation would cause large increases in China'sconsumption imports. Thus if policymakers continue fostering growth and development and continue allowing the renminbi to appreciate, they would enable Chinese consumers to purchase more medicine, food, and other goods from the rest of the world. [ABSTRACT FROM AUTHOR]
 
Copyright of Journal of Policy Modeling is the property of Elsevier Science Publishing Company, Inc. 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:
1Research Institute of Economy, Trade and Industry, Japan
ISSN:
0161-8938
DOI:
10.1016/j.jpolmod.2015.12.002
入藏號碼:



112850085

YOUTUBE期中:https://youtu.be/FZ8VrLwxtWw
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2016-10-25

國際金融學習記事10592009方羿傑

105/10/24(一)

時間序列分布
定態趨勢
specifications of the Dickey-Fuller tests
1.no constant
2.with constant
3.with constant and trend
ADF檢定落後階次
填不同落後期答案不一樣>>>把操作過程寫出來並選擇電腦給出之答案
新聞:
http://hk.dailyeconomic.com/2016/10/24/3788.html
http://news.sina.com.tw/article/20161024/19103986.html


105/10/17(一)

 單根檢定(unit root test):方程式的解等於1白噪音White Noise:  時間序列的隨機變數:  期望值為0  變異數為固定常數  自我共變數也等於0操作Gretl 確認資料定態性
判斷變數為定態(所有特性根必須落在單位圓內)或非定態(所有特性根將落在單位圓上或單位圓外)
新聞:
http://news.cnyes.com/news/id/3587374
http://news.cnyes.com/news/id/3586796


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Understanding Chinese consumption goods imports.

Understanding Chinese consumption goods imports.
作者:
Thorbecke, Willem1 willem-thorbecke@rieti.go.jp
資料來源:
Journal of Policy Modeling. Jan2016, Vol. 38 Issue 1, p96-102. 7p.
文件類型:
Article
主題術語:
*CONSUMPTION (Economics)
*RESEARCH
*IMPORTS
*MARKETING
*PER capita
*GROSS domestic product
CHINA
LEAST squares
作者提供的關鍵字:
China
Exchange rate elasticities
F32
F41
摘要:
China's consumption imports per capita in 2012 equaled $36, much less than comparable countries’ imports. This paper investigates the determinants of consumption imports. Evidence from panel dynamic ordinary least squares estimation and imports from 20 leading trading partners over the 1992–2012 period indicates that GDP growth and renminbi appreciation would cause large increases in China'sconsumption imports. Thus if policymakers continue fostering growth and development and continue allowing the renminbi to appreciate, they would enable Chinese consumers to purchase more medicine, food, and other goods from the rest of the world. [ABSTRACT FROM AUTHOR]
 
Copyright of Journal of Policy Modeling is the property of Elsevier Science Publishing Company, Inc. 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:
1Research Institute of Economy, Trade and Industry, Japan
ISSN:
0161-8938
DOI:
10.1016/j.jpolmod.2015.12.002
入藏號碼:

112850085
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標籤： , , ,

2016-09-28

國際金融學習記事10592009方羿傑

105/9/26(一)

教授說明課程規劃
使用Gretl軟體做分析
說明期中口頭報告以及書面摘要注意事項
說明期末報告之格式
閱讀國際金融新聞

新聞:
http://www.chinatimes.com/newspapers/20160928000089-260203
http://www.chinatimes.com/newspapers/20160926000042-260202

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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」