Summary Reviews of Empirical International Finance: 102上學期

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

2013-10-29

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

2013-10-28

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。

2013-10-27

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

2013-10-24

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:

An Empirical Study on the Long-Run Relationships between Lower Exchange Rates and Foreign Direct Investments in Developing Economies; Evidence from Tanzania.

作者:

Nyamrunda, Godfrey Charles1 g.c.nyamrunda@2009.hull.ac.uk

資料來源:

Journal of Applied Economics & Business Research. 2012, Vol. 2 Issue 4, p212-220. 9p.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*ECONOMIC development
*INDUSTRIALIZATION
*FOREIGN investments

地理詞彙:

TANZANIA

作者提供的關鍵字:

Cointegration
Exchange rate
FDI
Tanzania

NAICS/產業代碼:

926110 Administration of General Economic Programs
522293 International Trade Financing

摘要:

The hypothesis that devaluating and depreciating the exchange rate in developing economies will lead to fast growth and economic development has drawn some controversies and debate recently in the area of development economics. Mainly, due to the delayed results in some countries especially in the Sub Sahara Africa region. In this study, the key emphasis is on the stochastic trends of the exchangerate and the net FD inflows into Tanzania. We find a significant long-run relationship between the exchange rate of Tanzanian shilling, which is on the list of weak currencies in the world, and the net FDI inflow. We employ the Augmented Dickey Fuller test (ADF), Vector error Correction Model (VECM) and the Johansen's cointegration test to measure the time series properties of the two variables. To conclude, this study suggests LDC's to include the level of the exchange rate on the settings of the policies that will attract more FDI to flow in their market. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Applied Economics & Business Research is the property of Journal of Applied Economics & Business Research 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:

1Business School, the University of Hull, UK

ISSN:

1927-033X

入藏號碼:

84564740

資料庫:

Business Source Complete
資料來源:http://0-ehis.ebscohost.com.cylis.lib.cycu.edu.tw/eds/detail?vid=32&sid=02d1af54-e103-41b0-bf30-2183b1153dd1%40sessionmgr13&hid=17&bdata=Jmxhbmc9emgtdHcmc2l0ZT1lZHMtbGl2ZQ%3d%3d#db=bth&AN=84564740

期中報告:

期末報告:

PDF : 以長期來看匯率與外人直接投資在發展中經濟體之間關係的實證研究來自於台灣

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Summary Reviews of Empirical International Finance

重要事項 Import Notes

2014-01-14

10292014莊育昕期末報告書面

10292014莊育昕我的期末報告影片

2014-01-08

國際金融學習記事-魏本嵢

2013-10-31

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

2013-10-29

The cointegration of Asian currencies revisited

2013-10-28

Exchange rate market efficiency: further evidence from cointegration tests

2013-10-27

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

2013-10-24

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

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

An Empirical Study on the Long-Run Relationships between Lower Exchange Rates and Foreign Direct Investments in Developing Economies; Evidence from Tanzania.

PDF : 以長期來看匯率與外人直接投資在發展中經濟體之間關係的實證研究來自於台灣

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