Data for final term project (in form of Excel) 丁淑妤 10292026

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

國際金融學習記事 林秉毅

1/11期末考
岡雷克樂觀 看升至45美元

拉加德：中美兩大改變…轉動全球經濟

----------------------------------------------------

1/4

期末報告

美英製造業降溫 歐元區火熱

Fed鷹派喊話 加快升息步伐

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12/28

期末報告

2015…78年來最難賺錢的一年

FT大預言 希拉蕊當選總統

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12/21


1. 研究的過程中是不能只靠軟體應用

2. Engle-Granger是延續計量方法的使用方式

3. 整合變數(Integrated of order k)是K階整合變數，是一種非定態的時間序列變數Y，經過k次差分之後變成定態。

4. 如果整合相同，但是有降階的現象，即為共整合。

5. 非定態變數：意思就是變數會亂跑，但是有一定的規則，報告最好會有隱含意義，正向或是反向。共整合如果存在的話，是允許短期偏離現象，因此就可以使用誤差修正模型。

新興市場 面臨四威脅

亞洲資本外流 召喚創新救援

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12/14

停課

路透：初級交易商估聯準會Q1將再升息

美國升息確立 法人建議避開高收益債

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12/7

Efficiency稱為估計量錯誤，落後期很重要，如果錯誤就將不會有白噪音的情況，關於效率問題，以及標準差問題。

    所有數如果是有隨機性的，就是有誤差，可能是人為誤差或其他因素。

    殘差有自我相關，會影響到BLUE。

    在統計樣本的部分，樣本小用約AIC(約100)

                  樣本大用SBC/HQC

UIP=報酬是相等的，但是可能要加入risk因子才有可能相等。

1+i=(1-i*)

S^e/S

 risk +

premium

特性方程式是一個根矩陣有特殊意義方程式(root是解)

  IID，包含單跟檢定並尋找落後期，需要把殘差轉變成為白噪音。

單根檢定(數學的減(特性方程式的減)、數學性質是存在的，求解的方程式，落在複數座標，圓外就是沒有單根，圓內是有單根。

金價創4月來最大漲幅

美元反彈 就業數據強化升息前景

Cointegration between stock prices and exchange rates in Asia-Pacific countries

Abidin, S., Walters, C., Lim, K. and Banchit, A. (2013). Cointegration between stock prices andexchange rates in Asia-Pacific countries. Investment Management and Financial Innovations, 10(2), pp.142-146.

Abstract

There is considerable interest surrounding the relationship between stock markets and exchange rates due to the potential predicatory power for policy makers and investors. From a sample of seven Australasian countries, the authors find that there is no evidence of a long run cointegration between stock markets and exchange rates. This result interfaces with some of Bahmani-Oskooee and Sohrabian’s (1992) and Nieh and Lee’s (2001) findings, but contrasts to previous literature which suggests that there should be some cointegration relationship between the two markets (Lin, 2000). Although Japan showes some evidence of cointegration, Ramasay and Yeung (2005) suggest that such anomalies could merely be the product of the time period chosen, providing resolve to our conclusion that there is no long run significant relationship between stock markets and exchange rates.

Keywords 

Cointegration, Stock Prices, Exchange Rates, Investments.

期中報告影片網址:https://www.youtube.com/watch?v=-ZUe8fbl1uQ

期末資料來源

Pre and Post Crisis Analysis of Stock Price and Exchange Rate: Evidence from Malaysia

Pre and Post Crisis Analysis of Stock Price and Exchange Rate: Evidence from Malaysia

Author  : Baharom, A. H., & Habibullah, M. S

Source  : International Applied Economics and Management Letters, 1(1), p.33-36.

Publication Date: 2008

Abstract：

The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. In this study Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods.

Keywords：

Stock price, exchange rate, Asian financial crisis, Cointegration.

Baharom, A. H., & Habibullah, M. S, “Pre and post crisis analysis of stock price and exchange rate: Evidence from Malaysia” , 2008 , International Applied Economics and Management Letters, vol.1 , p.33-36.

Exchange rates, exports and economic growth in Turkey: Evidence from Johansen cointegration tests

作者:

KOÇÇAT, Halil

資料來源:

International Journal of Economic Perspectives. 2008, Vol. 2 Issue 1, p5-11. 7p. 2 Charts.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*EXPORTS
*ECONOMIC development
*COINTEGRATION
*ECONOMETRICS
*GROSS domestic product

地理詞彙:

TURKEY

作者提供的關鍵字:

Cointegration
Exports
GDP
Real Exchange Rate
Turkey

摘要:

The relationship between economics growth, foreign trade and exchange rate movements is inconclusive in the relevant literature. Most of the results from empirical studies show different conclusions depending on the country, data and model to be selected. Turkey is a developing country, which is strongly depending on foreign trade with others. Turkey experienced trade deficits and high exchange rate fluctuations in the economy more than 50 years. In this study, the relationship between economic growth, exchange rate movements and Turkey's exports empirically was evaluated by using time series quarterly data. The basic finding of this study is that no long-run equilibrium relationship has been found between real income per capita, real exchange rates and real exports of goods and services in Turkey based on the Johansen methodology. [ABSTRACT FROM AUTHOR]

 

Copyright of International Journal of Economic Perspectives is the property of International Economic Society 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:

Turkish Bank Ltd., Central Office, Nicosia Northern Cyprus, Via Mersin 10, Turkey

ISSN:

1307-1637

入藏號碼:

35639179

資料庫:

Business Source Complete

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

Publication Type: Journal Article
(https://mpra.ub.uni-muenchen.de/49395/1/MPRA_paper_49395.pdf)

ISSN: 2090-4304

Authors’s Email: Email: najid_2iqbal@yahoo.com

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

2.       Testing classical assumptions on residuals
à   E(u_t) = 0 (ignored if there is an intercept in OLS)

è Cov(u_t,u_t-j) = 0  for j¹1 (no autocorrelation in u_t)

è Var(u_t) = s_u 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

5.       Testing for no-autocorrelation (Q Tests)
à H0: there is no autocorrelation among residuals (u_t) up to lag p
       -   If reject H0, there exists autocorrelation among u_t and u_t-j 

-   If fail to reject H0,  no autocorrelation among u_t and u_t-j

6.       Testing for homeskedasticity (Q² tests)
à H0: there is no ARCH-type heteroscedasticity among residuals (u_t) up to lag p
       -  If reject H0,  there exists (ARCH-type) heteroskedasticity among u_t
       -  If fail to reject H0,  homeskedasticity, no (ARCH-type) heteroskedasticity among u_t

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”

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

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)

2.       Federal Reserve Beige Book Reveals Strong US Dollar Is Restraining Manufacturing Activity

(http://www.ibtimes.com/federal-reserve-beige-book-reveals-strong-us-dollar-restraining-manufacturing-2141667)

The unemployment effect of exchange rate volatility in industrial countries

作者:Feldmann, Horst

作者關係機構:

U Bath

資料來源:

Economics Letters, June 2011, v. 111, iss. 3, pp. 268-71

出版日期:

June 2011

摘要:

Using data on 17 industrial countries from 1982 to 2003 and controlling for a wide array of factors, this paper finds that higher exchange ratevolatility increases the unemployment rate. The magnitude of the effect is small. The results are robust to variations in specification.

描述項:

Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital (E24)
Foreign Exchange (F31)

關鍵字:

Exchange Rate; Unemployment; Unemployment Rate

地理位置描述項:

Selected MDCs

ISSN:

01651765

出版品類型:

Journal Article

數位物件識別碼:

http://0-dx.doi.org.cylis.lib.cycu.edu.tw/10.1016/j.econlet.2011.01.003

有無:

http://0-www.sciencedirect.com.cylis.lib.cycu.edu.tw/science/journal/01651765

更新代碼:

201107

入藏號碼:

1243262

How Sensitive Are Malaysia's Bilateral Trade Flows to Depreciation?

圖片

    

作者:

Bahmani-Oskooee, Mohsen; Harvey, Hanafiah

作者關係機構:

U WI, Milwaukee; U WI, Milwaukee

資料來源:

Applied Economics, June 2006, v. 38, iss. 11, pp. 1279-86

出版日期:

June 2006

摘要:

In an attempt to assess the impact of currency depreciation on the trade balance, recent studies are employing disaggregated trade data to avoid aggregation bias. However, since import and export prices are not available at disaggregated level, recent studies are using export and import values rather than their volumes so that they can establish direct relation between inpayments and theexchange rate as well as between outpayments and the exchange rate. This study explores the experience of Malaysia. Bilateral inpayments and outpayments models are estimated between Malaysia and her 14 trading partners using quarterly data and bound testing approach to cointegration. The results show that while real depreciation of the ringgit has short-run effects, in the long-run it increases Malaysia's inpayments from only five trading partners.

描述項:

Empirical Studies of Trade (F14)
Foreign Exchange (F31)
International Linkages to Development; Role of International Organizations (O19)

關鍵字:

Exchange Rate; Exports; Import; Trade

地理位置描述項:

Malaysia; Selected Countries

Geographic Region:

Asia

ISSN:

00036846

出版品類型:

Journal Article

有無:

http://0-www.tandfonline.com.cylis.lib.cycu.edu.tw/loi/raec20

更新代碼:

200611

入藏號碼:

0868914