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2012-10-06

Purchasing Power Parity as the Determinant of Exchange Rates: Evidence from the UK and India

By Zakaria Karim International Research Journal of Finance and Economics ISSN 1450-2887 Issue 70 (2011) p130-p144
資料來源：Business Source Complete[資料來源]

I. 重點摘要：

- 這篇文件主要是應用共整合檢定去測試購買力平價是否因素決定匯率。主要具體目標是探討臺灣和美國之間的長期購買力平價和短期購買力平價，另外要比較長期和短期之間的購買力平價。

II. 基本理論：

- 利用PPP 理論來檢查在臺灣和美國之間的居民消費價格指數和名義匯率。如果價格和匯率一起移動與在價格上變化可以量化匯率的變化就購買力平價顯著地決定匯率。

III. 研究方法(估計，檢定，指標)與邏輯：

1. 單根檢定：使用DF與ADF檢查名目外匯匯率與消費指數、迴歸式的殘差是否為定態資料。

2. The Engle-Granger和Johansen’s共整合檢定名目外匯匯率與消費指數是否具有長期穩定關係。

3. 跑誤差修正檢查資料內是否有錯誤相關。

IV. 需要的統計數據：

- 資料時間採用1980年1月至2009年12月之月和季資料，以外在30年的資料還分爲5年成一個子樣本。使用資料包括名目外匯匯率使台幣對美元的官方匯率，使用央行公布的匯率；消費指數分別是台灣與美國。

敘述統計

CPI Taiwan – Monthly		CPI Taiwan – Quaterly
Numerical		Numerical

平均數	4.977476	平均數	4.975262
標準誤	0.438971	標準誤	0.75258
中間值	2.76	中間值	2.88
眾數	4.06	眾數	2.036667
標準差	8.99623	標準差	8.904646
變異數	80.93215	變異數	79.29273
峰度	17.11398	峰度	17.03632
偏態	3.846219	偏態	3.868561
範圍	64.53	範圍	56.32667
最小值	-3.07	最小值	-1.19
最大值	61.46	最大值	55.13667
總和	2090.54	總和	696.5367
個數	420	個數	140
信賴度(95.0%)	0.86286	信賴度(95.0%)	1.487984

CPI American – Monthly		CPI American – Quaterly
M111L64__X.M		Data

平均數	4.839024	平均數	4.8385
標準誤	0.149355	標準誤	0.25834
中間值	3.75	中間值	3.665
眾數	3.04	眾數	2.87
標準差	3.06086	標準差	3.056723
變異數	9.368864	變異數	9.343557
峰度	1.025323	峰度	1.079644
偏態	1.325999	偏態	1.339797
範圍	13.61	範圍	13.2
最小值	1.07	最小值	1.25
最大值	14.68	最大值	14.45
總和	2032.39	總和	677.39
個數	420	個數	140
信賴度(95.0%)	0.293578	信賴度(95.0%)	0.510785

Nominal exchange rate monthly		Nominal exchange rate quarterly
數值		數值

平均數	33.95871	平均數	33.94621
標準誤	0.2499	標準誤	0.433797
中間值	34.949	中間值	34.9585
眾數	38.05	眾數	38.05
標準差	5.121424	標準差	5.132756
變異數	26.22898	變異數	26.34518
峰度	-1.3385	峰度	-1.35299
偏態	-0.39021	偏態	-0.3868
範圍	15.83	範圍	15.75
最小值	24.65	最小值	24.65
最大值	40.48	最大值	40.4
總和	14262.66	總和	4752.47
個數	420	個數	140
信賴度(95.0%)	0.491214	信賴度(95.0%)	0.857694

2012-09-25

國際金融學習記事-阮霸安海

2013.1.07
UK economy 'contracted in fourth quarter'
American Express cuts 5,400 jobs
Greece unemployment hits highest rate in European Union

2012.12.31

US unemployment rate holds steady in December at 7.8%Germany retail sales higher in 2012

Swiss bank Wegelin to close after US tax evasion fine

2012.12.24

A Better Way to Rank NFL Teams, From a New Zealander

Interest Rates and Jobs—the Fed Watches Unemployment

Outside the Beltway, the Good News on Debt

2012.12.14
Chapter 9 共整合與誤差修正模型

　　　　   Engle-Granger cointegration test
　　　　   Johansen cointegration test
　　　　   Vector error correction model
Gretl 軟體 : Johansen cointegration test

Europe Could Benefit From Less, Not More, Commonality

Interest Rates Near Zero Put Savers in a Bind

Afraid of Unemployment, Americans Cling to Their Jobs

2012.12.10
Chapter 9 : 共整合與誤差修正模型

　整合變數的定義和整合變數加總性質

共整合定義和其經濟意義與長期均衡

誤差修正模型

Asia stocks wane as US budget talks drag on

In China, a Real Estate Bust Threatens Investment Trusts

Italy's Jobs-and-Pollution Showdown

2012.12.03
1. 單根的定義
2. DF和ADF的單根檢定，但根檢定殘差
3. 使用grelt來單根檢定
UK economic contraction 'less than thought' for 2012
Australia's central bank cuts main interest rate to 3%
US charges 'Big Four' accountants over China

2012.11.26
1. 非定態時間序列模型

　- 辨別時間趨勢與隨機趨勢, Random Walk 模型的種類,單根檢定
2. 複習 DGP、White noise、定態條件
3. 補充：特性根與特性方程式證明

Eurozone unemployment rate hits new high in October

India's economic growth rate slows to 5.3%

US economic growth rate revised up to 2.7%

2012.11.23
UK public sector borrowing worse than expected in October
Japan exports fall for fifth consecutive month
Bank of England split on quantitative easing impact

2012.11.12
我報告的ppt有太多字，對臺灣不太了解爲什麽要用臺灣，臺灣1970年是固定的匯率如果要做可以用資料從1980年。

Greece secures short-term finance
UK inflation rate rises to 2.7% in October
Japan economy contracts as global slowdown hits exports

2012.11.5
看十二同學錄影期中報告，老師提不好的方面給下禮拜的人修改。

UK 'faces depression until 2014'
Greece austerity vote: Will it secure Greece's future ?
HSBC raises money laundering provisions by $800m

2012.10.30
時間序列分析
Chapter 1 ：時間序列分析的基礎
- TS 預測〉經濟模型結構。
- ARMA , ARIMA ------> 驗証理論（PPP，CIRP），預測。

AR模型（Autoregressive Model )

用函數形式來表現： Y_t=f_(y-1)

2. 蛛網理論，結構式與縮減式：

P_t=a₀+a₁p_t-1

3. AR(1) 模型的收斂值和經濟長期均衡之關係：

定態=平均=收歛

4. 加入誤差觀念的AR(1)模型

Y_t⁼a₀+a₁y_t-1+ɛ_t

Chapter 2 ：Box-Jenkins的ARMA模型

1.白噪音是定態

符合三個定義：1.期望值為 0

2.變異數為固定常數

3.自我共變數等於0

2.ARMA(p,q)模型

Y_t⁼a₀+Ʃa₁y_t-1+ɛ_t

_{3.定態與安定條件}

_{4.用ACF和PACF判斷落後期數}

Eurozone unemployment jumps to fresh high
India interest rates on hold as bank reserve ratio cut
Greece recession and debt problems even worse

2012.10.23
Chapter 3 :Financial market in the open economy
- 定態和非定態（Statimarity and Non-statimarity）
- Uncovered interest rate parity ( UIRP )
+ The domestic strategy 1 NDT ==> 1+r NDT ( 從 t ----> 到（t+1）有 r = 利率，）
1 NDT ===〉1/（1+r）（從（t+1）時間-----〉回到 t 時間）
+ The foreign strategy (1+r)xS^r
^{+ Equilibrium : the bottom line : The risk premium, Risk averters}
r = r*+ △s^e

- Covered interest rate parity ( CIRP)
+ ( 1+r ) = ( 1 + r* ) F/S
+ The spot and forward exchange
s^r= f ( forward exchanges )
+ The forward premium
r = r* + f
- Covered interest rate parity - the facts
- Efficient markets
+ Unbiasedness , Efficient market
- Fisher equation

Greece to get bailout extension, says finance minister
Bank of America sued for $1bn for alleged mortgage fraud
http://www.bbc.co.uk/news/business-20053768 2012.10.15
Chapter 2 : Prices in the open economy: Purchasing Power Parity
- PPP extensions
+ Balassa Samuelson Model
+ Trade costs and adjustment to PPP
+ Iceberg Model
+ Incomplete pass through and pricing to market

EU summit: France says bank deal helps eurozone fusion
Bank of Scotland fined £4.2m over Halifax mortgage errors
China's economy slows but data hints at rebound

2012.10.8

Chapter 2 : Prices in the open economy: Purchasing Power Parity

- Exchange Rate Determination.

- The law of one price (LOP) in the domestic economy and in the open economy

- Purchasing power parity ( PPP )

- Real exchange rate and PPP exchange rate\

JP Morgan boss says US housing market has turned the corner
Singapore economy contracts 1.5% but avoids recession
IMF's Christine Lagarde backs more time for Greece

2012.10.1

介紹國際金融
Chapter 1：Introduction

- Exchange rate

- Demand for currency

- The market for foreign currency

Jobless Rate Falls to 7.8%, Lowest Level of Obama’s Term

ECB holds eurozone interest rate at 0.75%

Iran's rial hits an all-time-low against the US dollar

2012.9.27

歐洲 French unemployment tops 3 million as economy struggles
大陸Fight halts production at Foxconn plant in China
英國UK bank body bows out of Libor

2012.9.24

Gretl軟體介紹和使用教學。

討論時間及作業說明。

2012.9.17

期初測驗。

課程大綱說明。

yaya網站介紹

訂閱：文章 (Atom)

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」

Summary Reviews of Empirical International Finance

重要事項 Import Notes

2012-10-06

Purchasing Power Parity as the Determinant of Exchange Rates: Evidence from the UK and India

1. 單根檢定：使用DF與ADF檢查名目外匯匯率與消費指數、迴歸式的殘差是否為定態資料。

2. The Engle-Granger和Johansen’s共整合檢定名目外匯匯率與消費指數是否具有長期穩定關係。

3. 跑誤差修正檢查資料內是否有錯誤相關。

2012-09-25

國際金融學習記事-阮霸安海

A Better Way to Rank NFL Teams, From a New Zealander

Interest Rates and Jobs—the Fed Watches Unemployment

Outside the Beltway, the Good News on Debt

Interest Rates Near Zero Put Savers in a Bind

Afraid of Unemployment, Americans Cling to Their Jobs

2012.10.8

2012.10.1

2012.9.27

2012.9.24

Gretl軟體介紹和使用教學。

討論時間及作業說明。

2012.9.17

期初測驗。

課程大綱說明。

yaya網站介紹

PO 文注意事項 (Notes about your posts required for this course)

重要事項 Import Notes

2012-10-06

1. 單根檢定：使用DF與ADF檢查名目外匯匯率與消費指數、迴歸式的殘差是否為定態資料。

2. The Engle-Granger和Johansen’s共整合檢定名目外匯匯率與消費指數是否具有長期穩定關係。

3. 跑誤差修正檢查資料內是否有錯誤相關。

2012-09-25

2012.10.8

2012.10.1

2012.9.27

2012.9.24 Gretl軟體介紹和使用教學。 討論時間及作業說明。 2012.9.17 期初測驗。 課程大綱說明。 yaya網站介紹

PO 文注意事項 (Notes about your posts required for this course)

2012.9.24

Gretl軟體介紹和使用教學。

討論時間及作業說明。

2012.9.17

期初測驗。

課程大綱說明。

yaya網站介紹