重要事項 Import Notes

重要事項 Import Notes
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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。
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2013-09-30

國際金融學習記事 - 吳愛玲

102/9/23

  • 期初測驗
  • 課程大綱介紹
  • YAYA站介紹
102/9/30

  • 介紹基本名詞、觀念、符號定義
  • 匯率變動
  • 各種匯率介紹：即期匯率、遠期匯率
  • 國際金融研究重點
  • 國際金融研究之思考架構
  • 迴歸分析
本週國際金融新聞：

  1. 日圓先生讚安倍：日本經濟 旺3~4年
  2. 紐約匯市－美政府關閉危機未解 美元貶至8個月新低
  3. 新台幣續升 收29.502
102/10/7
  • Gretl軟體介紹
  • Gretl的特色
  • 線性迴歸殘差的假設
  • BLUE檢測迴歸係數是否可使用
  • ARCH LM, QQ無異質變異檢定, Ljung-Box殘差無自我相關
  • 利率平價CIP、UIP
本週國際金融新聞：
  1. 美若倒債 經合組織：全球遭殃
  2. 數據狂人葉倫 經濟預測神準
  3. 財政鬧劇頻上演 美低利恐延長
102/10/14

  • 利率平價
  • 預測基本模型
  • UIP理論模型與實證模型
  • UIP理論變形
  • 無風險利率平價CIRP
  • 實作練習
本週國際金融新聞：

  1. 陸Q3經濟成長7.8% 前3季7.7%
  2. 傳安倍延後勞工市場改革
  3. 美債限解危 金融市場鬆口氣
102/10/21
  • UIP+Fisher equation之觀點及代表式
  • LOP&PPP代表式及實證模型
  • PPP購買力平價實證模型
  • UIP+Fisher equation+PPP
  • OLS
  • 假性迴歸
  • 實證模型1-2-3(白噪音)
本週國際金融新聞：
  • 介紹時間序列工具
  • 時間序列的觀念
  • 前三章定態時間序列
  • 第一章：時間序列模型之目的、AR(1)之意義、計量模型之結構式與縮減式
  • 第二章：白噪音之定義、ARMA模型之定義、MA模型之經濟意涵、自我相關函數之定義、偏自我相關函數之定義、ARMA落後期之判斷
本週國際金融新聞：
  • 期中報告
本週國際金融新聞：
  • 期中報告
本週國際金融新聞：
  • 期中考週
本週國際金融新聞：
  • 落遲運算元(定義、基本性質)
  • 時間趨勢之定義
  • 隨機趨勢之定義
  • Random Walk模型
  • 單根定義：特性根方程式
本週國際金融新聞：
  • Dickey-Fuller單根檢定
  • ADF單根檢定
  • 單根檢定例題
  • Enders建議之單根檢定程序
本週國際金融新聞：
  • 共整合定義
  • 誤差修正模型
  • Engle-Granger共整合檢定與估計
  • Johansen共整合檢定與估計
本週國際金融新聞：
  • 期末報告
本週國際金融新聞：
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Analysis of Macroeconomic Determinants of Exchange Rate Volatility in India

文獻來源 :
By: Mirchandani, Anita. International Journal of Economics & Financial Issues (IJEFI). 2013, Vol. 3 Issue 1, p172-179. 8p.

主題 :
FOREIGN exchange rates; VOLATILITY (Finance); INTEREST rates;       INTERNATIONAL trade; INDIA; International Trade Financing
資料庫 : Business Source Complete
http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?vid=3&sid=a8e14ea8-ed16-48cb-9e76-35fec6a70066%40sessionmgr10&hid=9&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=86875659
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2012-10-08

國際金融學習紀錄 - 范成光

101/9/17

101/9/24


 101/10/1


 101/10/8


101/10/15

  • Chapter 2: Continued
  • Purchasing power parity extentions
  • Trade versus non-traded goods: Balassa-Samuelson: If there is an integrated labour market, then, in the long run at least, wages will be bid up to the same level in the services sector, even though productivity growth there has been slower
  • Trade costs and adjustment to purchasing power parity:
arbitrage: 套利
P = SP*
Q = SP*/P

  • Trade costs: Iceberd model
Pf P*f/1-t

Pc = (1-t)P*c

where P*c: price of a home - produced good in its country of origin


101/10/22

  • Chapter 3: Financial markets in the open economy
  • Uncovered interest rate parity
(1+r) = (1+r*)Se/S
risk averter
risk lover
risk neutral
r - interest rate in the UK
r* - interest rate in the US
Se/S: ratio of the expected exchange rate at the end of the year to actual at the time of the decision
UIRP = Uncovered Interest Rate Parity
  • The domestic strategy
  • The foreign strategy
  • Equilibrium: the bottom line
  • The risk premium is the reward, usually in the form of an anticipated excess return, that an economic agent gets in order to persuade him to bear risk
  • Risk averter are economic agents who require a positive risk premium in order to persuade them to hold risly asset. By contrast, risk lover are willing to pay a premium for previlege of bearing risk, while risk-neutral agents are willing to do so in return for a zero-risk premium
  • Cover interest rate parity
  • The spot exchange rate is the rate figuring in agreements to exchange one currency for another more or less immediately.
  • Borrowing and lending
  • An investor who has a liability denominated in a specific currency is said to have a short position in that currency
  • Cover interest rate parity - the facts
  • Efficient markets - a first encounter
  • International Finance News
  • Direct foreign investment builds in Uruguay
  • National forex brokerage looks to expand
  • Free trade zone
101/10/29
  • Time Series Analysis in Economics and Finance
  • Chapter 1: Basic concept of Time Series
  • Time Series: stationary and nonstationary
  • 1.1 從AR(1)模型談起: autoregressive model
  • 1.2 時間序列模型之目的與涵義
  • 1.3 蛛網理論,結構式與縮減式
  • 1.4 AR(1) 模型的收斂值和經濟長期均衡之關係
  • 1.5 加入誤差觀念的AR(1)模型
  • Chapter 2: Box-Jenkins的ARMA模型
  • 2.1先談談白色噪音
  • 2.2 ARMA(p,q)模型
  • 2.3 MA隱含的經濟意義
  • 2.4 定態與安定條件
  • 2.5 用ACF和PACF判斷
  • International Finance News
  • Taking stock with the right know-how
  • Forex markets require ‘efficiency’; ‘accessibility
  • Yuan and now
101/11/05

  • Mid-term individual presentation

  • Weak-form Efficiency of Foreign Exchange Market in the
    Organization for Economic Cooperation Development Countries : Unit Root Test
     
    Abstract
    Ø   This paper looks at the weak-form efficiency of the for-ex  market in (OECD) countries
    Ø   The paper employs ADF, weekly data for the period from 2000 to 2007
    Ø   In addition, the OECD for-ex market consistent with the weak-form of the Efficient Market Hypothesis
    Data
    Ø   Data sources are got from International Journal of Business and Management
    Ø   The foreign exchange market in the Organization Economic Cooperation and Development Countries (OECD)
    Model
    Ø   The fair-game model
    Ø   The Martingale of sub-martingale model
    Ø   The random walk model
    Methodology
    1.          Unit-root test and orders of integration
    2.          Augmented Dickey Fuller (ADF)
    3.          Phillips-Perron Unit Root test (PP)
    Conclusion
    1.          The efficiency in the for-ex market has long been debated in the economic literature.
    2.          Primary aim was to test the weak form efficiency of the for-ex market in the OECD
    Difficulty
    Ø   Because this organization includes 30 countries so that it is hard to collect data source and information
    Reference
    Ø   Yi nung Yang – Time Series Analysis in Economics and Finance
    Ø   Aron, J (1997). Foreign exchange market efficiency test in South Africa. Journal of African Economics.
  • Comment and suggestion from professor
  • APEC countries ( 5 countries ) are available
  • Focus on data searching such as: CPI, for-ex rate
  • Should use personal idea in final report, not just follow everything in sample thesis
  • International Finance News
  • FX saves financial markets
  • National forex brokerage looks to expand
  • Asia’s financial markets benefit from FBS’s top forex system
101/11/12

  • 10192024 – 范成光
    Data summary for final report
     
     
     
     
    TAIWAN FOREIGN EXCHANGE
     
     
    Column1
     
     
    Mean
    34.81642
     
    Standard Error
    0.198236
     
    Median
    36.06
     
    Mode
    40.05
     
    Standard Deviation
    4.947976
     
    Sample Variance
    24.48247
     
    Kurtosis
    -1.1258
     
    Skewness
    -0.4979
     
    Range
    15.81
     
    Minimum
    24.77
     
    Maximum
    40.58
     
    Sum
    21690.63
     
    Count
    623
     
    Largest(1)
    40.58
     
    Smallest(1)
    24.77
     
    Confidence Level(95.0%)
    0.389294
     

    VIETNAM FOREIGN EXCHANGE
    Column1
    Mean
    6094.43
    Standard Error
    288.705
    Median
    22.5
    Mode
    0.03
    Standard Deviation
    7234.927
    Sample Variance
    52344172
    Kurtosis
    -1.41465
    Skewness
    0.532391
    Range
    20827.99
    Minimum
    0.01
    Maximum
    20828
    Sum
    3827302
    Count
    628
    Largest(1)
    20828
    Smallest(1)
    0.01
    Confidence Level(95.0%)
    566.9459
     
    MALAYSIA FOREIGN EXCHANGE
    Column1
    Mean
    2.93568
    Standard Error
    0.020462
    Median
    2.995
    Mode
    3.8
    Standard Deviation
    0.51441
    Sample Variance
    0.264618
    Kurtosis
    -0.81642
    Skewness
    0.474288
    Range
    2.46
    Minimum
    2.11
    Maximum
    4.57
    Sum
    1855.35
    Count
    632
    Largest(1)
    4.57
    Smallest(1)
    2.11
    Confidence Level(95.0%)
    0.040182
     
    KOREA FOREIGN EXCHANGE
    Column1
    Mean
    705.5494
    Standard Error
    14.32962
    Median
    744.8
    Mode
    484
    Standard Deviation
    360.241
    Sample Variance
    129773.6
    Kurtosis
    -0.93183
    Skewness
    0.062108
    Range
    1645
    Minimum
    50
    Maximum
    1695
    Sum
    445907.2
    Count
    632
    Largest(1)
    1695
    Smallest(1)
    50
    Confidence Level(95.0%)
    28.13951
     
    JAPAN FOREIGN EXCHANGE
    Column1
    Mean
    208.4881
    Standard Error
    4.093338
    Median
    170.05
    Mode
    361.77
    Standard Deviation
    102.9049
    Sample Variance
    10589.42
    Kurtosis
    -1.46613
    Skewness
    0.370632
    Range
    286.26
    Minimum
    76.36
    Maximum
    362.62
    Sum
    131764.5
    Count
    632
    Largest(1)
    362.62
    Smallest(1)
    76.36
    Confidence Level(95.0%)
    8.038214
     
101/11/19

101/11/26

101/12/3

101/12/10

 101/12/17
 101/12/22

 102/1/7



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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」