國際金融學習記事10392004 賴銀俊

國金期中報告
國金期末報告

12/07

落後期選錯則et不符合白噪音會無效率

Efficiency 效率 ­→估計量標準誤stand error 大小

標準誤大比較好猜中

根據高斯馬可夫→不符合白噪音→標準誤大

White noise 屬於白噪音

Uip

1+i=(1+i*)+risk premium

Sample<=1000 aic

       >600  sbc

100<sample<=600 hqc

實際匯率:p=sp* ; q=sp*/p

ARMA：主要單變數，自己和自己的關係

操作gretl時殘差若不符合白噪音，robust error 打勾

單根檢定

   非定態

Rw:yt=b1yt-1+ut ;ut數與iid

Why non-stationary:E(yt) 

                  Var(yt)

                  Cov(yt,yt-j)  j不等於0

|x|矩陣→scalar

|b1|<1 則屬於stationary

Adf

Yt=yt-1+ut

Yt-yt-1=ut →iid

Dyt=ut

Dyt=ryt-1+ut

所以 H0:r=0

國際金融新聞:大陸經濟放緩衝擊印度

11/23

UIP：S_t-h = (1+r_t-h)/(1+r^*_t-h)

           y_t = b₁+b₂X_t+u_t

H0:b2=1

Robust stand errors-校正標準物

                                 接近BLUE standard error

2. Interest –rate-differential model

DSt=rt-h-r*t-h

    yt=b1=b2Xt+b3X2t+ut

H0:UIP:b2=-b3=1

前樣本無法拒絕，後樣本拒絕-結構轉變

Ex:無共整合;將樣本拆成2半或許會有結果

有共整合才能VECM

定態stationary(adj) stationarity (n)

非定態 non stationary

定態定義：強勢

                弱勢：平均數E(Xt)=常數 for t=1,2,3,-1,-2,-3

                共變數Cov(Xt，Xt-j)=k   j不等於0

White noise

E(et)=0

Var(et)=s2, for all t

Cov(et, et-k)=0

標準常態分配屬於白噪音

AR(1)model – 數據和過去一期有自我相關，1為落後期
Yt=a0+a1Xt-1+ut

一般式為Yt=a0+a1Yt-1

期末用數據
資歷來源:TEJ,中央銀行統計資料,經濟部投資審議委員會統計資料

國際金融新聞:人民幣連日劇貶 人行首度說明

10/26

1.  UIP-有風險的利率平價說

2.  CIP-無視風險的利率平價說

3.  風險理論

4.  天真預期：上一期為多少，則下一期則猜上一期

5.  Level-K階層思考

6.  EMH市場效率假說：平均而言市場的報酬率為零

7.  White tests-檢定異質變異

   Ho: 為同質(無異質)

           若reject  Ho =>同質變異

8.  Q² tests --> Time series (時間序列)

      H0:無自我相關

      H1:自我相關

 不拒絕H0—沒有自我相關

同質變異：變異數都相同

異質變異：變異數不相同
國際金融新聞:美點名台灣央行干預匯市 新台幣早盤先貶後升逾1角

10/19

1.  共整合分為

   共整合檢定/估計共整合(先檢定再估計)

2.  OLS 要確定是不是可以用高斯夫定理--是否符合Gauss-Markov定理

    Gauss-Markov

Important classical assumptions

(1)     E(ut) = 0

(2)     Cov(u_t,u_t-j) = 0  for j¹1

(3)     Var(u_t) = s for all t ( is a constant across t)

(4)     u_t ~ N(), normally distributed (optional)

3.  OLS 還要測試UIP/PPP (進出口彈性/貿易彈性)

4.  怎麼判斷檢定結果：

(1) 臨界值法 (多使用 P-Value)

        假如 P值 > α，無法拒絕虛無假設

        假如 P值 > α，拒絕虛無假設

(2)決策法則 ( Decision Rule )

5.  White tests-檢定異質變異

   Ho: 為同質(無異質)

          若reject  Ho =>同質變異

5. OLS

   non-reject=>常態分配

6.  Q2 tests --> Time series (時間序列)

   H0:無自我相關

  H1:自我相關

 不拒絕H0—沒有自我相關

BLUE:

Best : 變異數最小

Linear : linear ols model

Unbiased : 不偏，樣本與母體幾乎一樣

Estimators : a formula for estimating unknown
國際金融新聞:匯率變動 外交部預算短缺8.5億

10/12

Exchange rate (S)-匯率常用S表示，為本國幣/外國幣

S上升，外國幣升值，本國幣貶值；S下降，外國幣貶值，本國幣升值

Bilateral exchange rate-雙邊匯率

effective or trade-weighted exchange rate-有效匯率/貿易加權匯率

Spot/forward exchange rate-即期外匯/遠期外匯-現貨的外匯價格，即期為3日內，遠期為3日以上，通常用契約來約定 ，像期貨，但期貨有固定的交易價格，且通常為集中市場

bid rate (銀行買) / ask rate (銀行賣)

S上升，外國幣升值，本國幣貶值；S下降，外國幣貶值，本國幣升值

市場參與者 : 金流Foreign investors

                     物流-Exporters , importers

                     資訊流Speculators

Floating exchange rates-浮動匯率 (美國)

Fixed exchange rates-固定匯率(中國)

Managed floating-管理浮動匯率(臺灣)

The balance of payments-國際收支帳

OLS-最小平方法

BLUE-最佳線性不偏估計法

10/05

1.  美元目前強力升值

2.  22K的故事-定錨效果

3.  大學的分析偏重於質化與邏輯

4.  研究所的分析偏向研究，尋找解決問題的方法，其中解決問題的方法是建立在理論與觀念上

5.  國際金融實證的範圍:

6.  理論、觀念→實證

7.  what are empirical？

實際資料(real-world)+計量(量化)

8.  實證+國金→金流：Asset, UIP, CIP (利率差)

                       →物流：LOP, PPP (價差)

                       →資訊流:預期

    匯率：D-S 分析金流與物流的結合

9.非國金範圍：1.股市、2.總體經濟(無國外)

10.理論→計量基礎模型→實證模型
國際金融新聞:人民幣匯率期貨 避險新管道

09/21

第一次上課-期初測驗

國金資料英文Quizlet 時間序列分析 第三組

邱柏寧
許澤妤
賴銀俊

碩士班 B

第二組

陳宣蓁
李芳儀
李佳恩
金恩惠
曾于真

國金資料英文Quizlet 時間序列分析 第一組

第一組：
郭俊旻
卓益越寧
洪嘉聖
李蕙羽
曹季群

D組-EXCHANGE RATES AND INTERNATIONAL FINANCE

10304601
卓綵倫
10304605
蕭瑞銘
10304607
王繼璽
10304612
林秉毅
10304613
賴威鴻

EXCHANGE RATES AND INTERNATIONAL FINANCE-2345章

https://quizlet.com/107596515/flashcards

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

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

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

The Impact of Exchange Rate Volatility on Foreign Direct Investment in Iran

Abstract

The flows of foreign investment are the fundamental elements in the economical evolution of countries within the globalization process of economy. Previous research on exchange rate shows its significance as a key role in trades and flows of FDI. Although exchange rate and FDI are empirically investigated but the relationship between the volatility of exchange rate and flows of international investments is generally not identified. Therefore, considering the importance of the subject discussed, it is needed to consider the determinants of FDI specially the volatility of exchange rate and provide better situations for attracting FDI in Iran.

The main goal of this study is evaluating the determinants of inward FDI particularly volatility of exchange rate in Iran by using the Johansen and Juselius's cointegration system approach model covering the period 1980Q2-2006Q3. The findings of this study reveal that gross domestic product, openness and exchange rate to have positive relationship with foreign direct investment but, world crude oil prices and volatility of exchange rate have negative relationship with foreign direct investment. The empirical results obtained in this paper recommend the economy Politicians in Iran to implement exchange rate policies that promote stability of exchange rate, which could help reduce exchange rate volatility in order to attract more FDI.

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