Data Resources:
Economic Growth : http://www.theglobaleconomy.com/indicators_data_export.php
FDI: https://research.stlouisfed.org/fred2/series/BPFADI03IDA637N/downloaddata
GFCF: http://www.indexmundi.com/facts/indonesia/gross-fixed-capital-formation
INFLATION: https://research.stlouisfed.org/fred2/series/FPCPITOTLZGIDN/downloaddata
NOMINAL EXC: http://www.ers.usda.gov/datafiles/Agricultural_Exchange_Rate_Data_Set/Country_Spreadsheets/nominalannualcountryexchangerates_1_.xls
All the Data can be downloaded in this link
https://drive.google.com/folderview?id=0B2ADo8y1yHFCV2RqbjN6aXFUMmc&usp=sharing
2015-10-24
Exchange Rate and Economic Growth in Pakistan (1975-2011)
Author :
Arslan Ahmad, Najid Ahmad, Sharafat
Ali
Source : Journal of
Basic and Applied Scientific
Research, 3(8)740-746, 2013
Publication Date:
September 2013
Abstract:
This paper investigates the impact of inflation, nominal exchange rate, FDI and capital stock on economic growth of Pakistan by using time series data for the period of 1975-2011. Augmented Dickey Fuller (ADF) test is applied to check the stationary of variables. All variables found stationary at level. So Ordinary Least Squares method is applied to check the relation between dependent variable (GDP) and independent variables (Exchange rate, FDI, capital stock). The results of OLS show that inflation and exchange rate has negative and significant affect economic growth of Pakistan. Capital stock (GFCF) does not significantly affect economic growth. Foreign direct investment has positive and significant effect on economic growth of Pakistan. Our model is free from hetroskedasticity and autocorrelation with satisfactory functional form that suggests the stability of the model. The CUSUM and CUSUMSQ are showing that the model is structurally stable within the 5% of critical bounds.
Keywords: Economic Growth, FDI, Inflation, Pakistan
Abstract:
This paper investigates the impact of inflation, nominal exchange rate, FDI and capital stock on economic growth of Pakistan by using time series data for the period of 1975-2011. Augmented Dickey Fuller (ADF) test is applied to check the stationary of variables. All variables found stationary at level. So Ordinary Least Squares method is applied to check the relation between dependent variable (GDP) and independent variables (Exchange rate, FDI, capital stock). The results of OLS show that inflation and exchange rate has negative and significant affect economic growth of Pakistan. Capital stock (GFCF) does not significantly affect economic growth. Foreign direct investment has positive and significant effect on economic growth of Pakistan. Our model is free from hetroskedasticity and autocorrelation with satisfactory functional form that suggests the stability of the model. The CUSUM and CUSUMSQ are showing that the model is structurally stable within the 5% of critical bounds.
Keywords: Economic Growth, FDI, Inflation, Pakistan
ISSN: 2090-4304
Authors’s
Email: Email: najid_2iqbal@yahoo.com
2015-10-22
國際金融學習記事 (Learning Notes) 丁淑妤 10292026
2015/10/19
Tools
(methods) for econometric modeling in Int. Finance
1.
Classical assumption on residuals of OLS
(Gauss – Markov theorem)
à to ensure the randomness of OLS residuals
à in multiple regression: X and Z should be independent
à to ensure the randomness of OLS residuals
à in multiple regression: X and Z should be independent
2.
Testing classical assumptions on residuals
à E(ut) = 0 (ignored if there is an intercept in OLS)
à E(ut) = 0 (ignored if there is an intercept in OLS)
è
Cov(ut,ut-j)
= 0 for j¹1 (no autocorrelation in ut)
è
Var(ut)
= su for all t (Homoskedasticity)
è
Jarque-Bera
(JB) test (Test if the residual
is normally distributed)
3.
Doornick-Hansen
test (for multivariate normality)
4.
Statistical significance testing P-values
- Choose the certain a (level of significance), for example 5%
- If p-value > a, fail to reject Ho
- If p-value < a, reject Ho
- Choose the certain a (level of significance), for example 5%
- If p-value > a, fail to reject Ho
- If p-value < a, reject Ho
5.
Testing for no-autocorrelation (Q Tests)
à H0: there is no autocorrelation among residuals (ut) up to lag p
- If reject H0, there exists autocorrelation among ut and ut-j
à H0: there is no autocorrelation among residuals (ut) up to lag p
- If reject H0, there exists autocorrelation among ut and ut-j
- If fail to reject H0, no autocorrelation among ut and ut-j
6.
Testing for homeskedasticity (Q2 tests)
à H0: there is no ARCH-type heteroscedasticity among residuals (ut) up to lag p
- If reject H0, there exists (ARCH-type) heteroskedasticity among ut
- If fail to reject H0, homeskedasticity, no (ARCH-type) heteroskedasticity among ut
à H0: there is no ARCH-type heteroscedasticity among residuals (ut) up to lag p
- If reject H0, there exists (ARCH-type) heteroskedasticity among ut
- If fail to reject H0, homeskedasticity, no (ARCH-type) heteroskedasticity among ut
7.
JB Normality test on residuals
ex: Jarque-bera test = 0.310095, with P-Value 0.856374 we can say that P-Value of JB test suggest failure to reject HO. It means that “residuals are normally distributed”
ex: Jarque-bera test = 0.310095, with P-Value 0.856374 we can say that P-Value of JB test suggest failure to reject HO. It means that “residuals are normally distributed”
Notes:
* Check OLS residuals before estimating the result of OLS in order to get BLUE estimates
BLUE means: Best, Liniear, Unbiased, Estimators.
* make sure that there are no autocorrelation, homoscesadticity, in small sample (N<30)
* Implication of the autocorrelation in residuals à Estimated coefficients are not BLUE
* Possible rescues for problems in OLS diagnosis
- Re-estimate OLS with “robut standard errors”
- model/Time sereies/AR(1)
- Re-specify the model
* Check OLS residuals before estimating the result of OLS in order to get BLUE estimates
BLUE means: Best, Liniear, Unbiased, Estimators.
* make sure that there are no autocorrelation, homoscesadticity, in small sample (N<30)
* Implication of the autocorrelation in residuals à Estimated coefficients are not BLUE
* Possible rescues for problems in OLS diagnosis
- Re-estimate OLS with “robut standard errors”
- model/Time sereies/AR(1)
- Re-specify the model
News Related to International Finance:
1.
Discordant Financial Messages From China Spur
Global Unease
(http://www.nytimes.com/2015/10/20/business/international/discordant-financial-messages-from-china-spur-global-unease.html?_r=0)
(http://www.nytimes.com/2015/10/20/business/international/discordant-financial-messages-from-china-spur-global-unease.html?_r=0)
2.
Federal Reserve Beige Book Reveals Strong US
Dollar Is Restraining Manufacturing Activity
2015-10-16
國際金融學習記事 丁淑妤 10292026
2015/10/12
Bilateral Versus
Trade Weighted Exchange Rate
-
The effective or trade-weighted exchange rate of
currency A is a weighted average of its exchange rate against currencies
A,B,C,D,E...
-
Buying versus selling rate
Micro-structure study à
bid/ask rate
Market mecanism à
the use of money exchange which used by buyers or sellers with open system
value to produce the best goods or service.
*Floating rates à
exchange rate at any moment determined by net demand for currency
*Fix rate à monetary authority intervenes by buying up excess supply or satisfying excess demand
*Manage floating
*Balance of payment ; current account, capital account, and resrve change
*Exchange rate since world war, consist of:
- Bretton woods (1944-68)
- Breakdown (1968-73)
- Floating era (1973 onward)
- EMU (1998 onward)
- Increasing importance of Asian exchange rates 2000 onward
*Fix rate à monetary authority intervenes by buying up excess supply or satisfying excess demand
*Manage floating
*Balance of payment ; current account, capital account, and resrve change
*Exchange rate since world war, consist of:
- Bretton woods (1944-68)
- Breakdown (1968-73)
- Floating era (1973 onward)
- EMU (1998 onward)
- Increasing importance of Asian exchange rates 2000 onward
Speculative
efficiency
*rethink efficiency I,II,III
*rational expectation hypothesis
*simons
*rational expectation hypothesis
*simons
Level K thinking
OLS for tool (method)
in econometric
OLS is linear approximation of relationships among variables y = B1 + B2 X
OLS is linear approximation of relationships among variables y = B1 + B2 X
3 Kinds of testing exists in OLS:
- checking validness of OLS “healthy conditions”
- testing the underpinning theory
- testing for statistical significance
- checking validness of OLS “healthy conditions”
- testing the underpinning theory
- testing for statistical significance
News related to international finance :
1. Fed policymakers downplay divisions on U.S. rate hike
2. China’s State Sector:
Bigger Than Ever
(http://www.bloomberg.com/news/articles/2015-10-15/china-s-state-sector-bigger-than-ever)
2015-10-09
國際金融學習記事 丁淑妤
International Finance Learning
Notes
2015/9/21
1) Each student make their own
blog, search for a paper related to international finance news and then post it
to the teacher’s blog. All students should read teacher’s blog; www.yaya.it.cycu.edu.tw for more information
2) Every week, all students have to post
the summary or note related to the course of international finance that have
been learned.
3) Students have to find a paper related
to international finance that will be presented using video recorder (for mid
term and final term exam)
2015/10/05
Econometric modeling in international
finance
Theory --> theoretical model --> empirical
studies
-
- Complex global environment
- - International finance which is
broadly concern with: monetary and macroeconomic
- - Global financial and privacy
International finance --> macro
economic
International trade --> micro economic concept
International trade --> micro economic concept
International finance:
1) the theory of international finance
2) what is empirical study? ( it could be qualitative or quantitative)
3) empirical international finance
1) the theory of international finance
2) what is empirical study? ( it could be qualitative or quantitative)
3) empirical international finance
Exchange rate:
1) Cash flow --> asset: UIP,CIP
2) Logistic --> LOP, PP
3) Information flow --> expectation, news model, event study, structural change
1) Cash flow --> asset: UIP,CIP
2) Logistic --> LOP, PP
3) Information flow --> expectation, news model, event study, structural change
Dornbusch with 2 main purposes ; cash flow and logistics
ANC Gold Range
1) Stock market
2) Macro economic
News related to International Finance:
Asia stocks shine as Fed minutes confirm no urgency to tighten
policy
Bank
of England Maintains Interest Rate at 0.5%
http://www.nytimes.com/2015/10/09/business/international/bank-of-england-maintains-interest-rate-at-0-5.html?ref=business&_r=0
2014-11-07
Forecasting the NTD/USD Exchange Rate using Autoregressive Model
Autor: Md.
Zahangir Alam
Abstract:
The key motivation of this study is to examine the application of autoregressive model for forecasting and trading the NTD/USD exchange rates from July 03, 2006 to April 30, 2008 as in-sample and May 01, 2008 to July 04, 2009 as out of sample data set. AR and ARMA models are benchmarked with a naïve strategy model. The major findings of this study is that in case of in-sample data set, the ARMA model, whereas in case of out-of-sample data set, both the ARMA and AR models jointly outperform other models for forecasting the NTD/USD exchange rate respectively in the context of statistical performance measures. As per trading performance, both the ARMA and naive strategy models outperform all other models in case of in-sample data set. On the other hand, both the AR and naive strategy models do better than all other models in case of out-of-sample data sets as per trading performance.
The key motivation of this study is to examine the application of autoregressive model for forecasting and trading the NTD/USD exchange rates from July 03, 2006 to April 30, 2008 as in-sample and May 01, 2008 to July 04, 2009 as out of sample data set. AR and ARMA models are benchmarked with a naïve strategy model. The major findings of this study is that in case of in-sample data set, the ARMA model, whereas in case of out-of-sample data set, both the ARMA and AR models jointly outperform other models for forecasting the NTD/USD exchange rate respectively in the context of statistical performance measures. As per trading performance, both the ARMA and naive strategy models outperform all other models in case of in-sample data set. On the other hand, both the AR and naive strategy models do better than all other models in case of out-of-sample data sets as per trading performance.
Keyword:
Forecasting, Autoregressive and
Autoregressive Moving Average Models, and Naïve Strategy.
GJMBR-B Classification : JEL Code : C53
Source: Global
Journal of Management and Business Research Volume 12 Issue 19 Version 1.0 Year
2012
Type: Double
Blind Peer Reviewed International Research Journal
Publisher: Global
Journals Inc. (USA) Online ISSN: 2249-4588 & Print ISSN: 0975-5853
期中報告:國際金融專題期中報告 10292026
2014-11-01
EXCHANGE RATE PREDICTIONS IN INTERNATIONAL FINANCIAL MANAGEMENT BY ENHANCED GMDH ALGORITHM
Author : Josef Taušer, Petr Buryan
File Type : Paper
Keywords: GMDH, self-organizing polynomial networks, time series analysis, exchange rate
prediction, FX hedging
Abstract : Exchange rate forecasting is an important fi nancial problem that is receiving increasing attention
nowadays especially because of its diffi culty and host of practical applications in globalising
world of today. The paper presents an enhanced MIA-GMDH-type network, discusses its design
methodology and carries out some numerical experiments in the fi eld of exchange rate forecasting.
The method presented in this paper is an enhancement of self-organizing polynomial Group
Method of Data Handling (GMDH) with several specifi c improved features - coeffi cient rounding
and thresholding schemes and semi-randomized selection approach to pruning. The experiments
carried out include exchange rate prediction and hedging case study where the predictions were
used for fi nancial management decision simulation of a virtual company. The results indicate,
that the method shows promising potential of self-organizing network methodology. This implies
that the proposed modelling approaches can be used as a feasible solution for exchange rate
forecasting in fi nancial management.
Author Affiliation : Faculty of the International Relations, University of Economics, Prague.
Sources : PRAGUE ECONOMIC PAPERS, 3, 2011
File Type : Paper
Keywords: GMDH, self-organizing polynomial networks, time series analysis, exchange rate
prediction, FX hedging
Abstract : Exchange rate forecasting is an important fi nancial problem that is receiving increasing attention
nowadays especially because of its diffi culty and host of practical applications in globalising
world of today. The paper presents an enhanced MIA-GMDH-type network, discusses its design
methodology and carries out some numerical experiments in the fi eld of exchange rate forecasting.
The method presented in this paper is an enhancement of self-organizing polynomial Group
Method of Data Handling (GMDH) with several specifi c improved features - coeffi cient rounding
and thresholding schemes and semi-randomized selection approach to pruning. The experiments
carried out include exchange rate prediction and hedging case study where the predictions were
used for fi nancial management decision simulation of a virtual company. The results indicate,
that the method shows promising potential of self-organizing network methodology. This implies
that the proposed modelling approaches can be used as a feasible solution for exchange rate
forecasting in fi nancial management.
Author Affiliation : Faculty of the International Relations, University of Economics, Prague.
Sources : PRAGUE ECONOMIC PAPERS, 3, 2011
期中報告:國際金融專題期中報告 10292026
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