Long Memory Features Evolve in the Time-varying Process in Asia-pacific Foreign Exchange Markets

Abstract

We investigated the presence of, and changes in, long memory features in the returns and volatility dynamics of six Asia-Pacific foreign exchange markets (Australian dollar, Japanese yen, Korean won, New Zealand dollar, Singaporean dollar, and Taiwan dollar) using time-varying Hurst exponents. In particular, instead of relying on a single static measure of long memory, we explored time-varying long memory features over time to assess changes in market efficiency by analyzing the returns and volatility of the markets. Furthermore, considering a time-varying rolling approach, we estimated values of the Hurst exponent for time windows with 1,000 observations (about 4 years of data) in each window. The estimation results indicated that both the returns and the volatility series possessed strong long memory features and that the degree of the long memory features changed over time. Additionally, the Hurst exponent showed an upward trend during the 1997 Asian currency crisis and 2008 global financial crisis, indicating that exchange rate markets became inefficient and predictable during the financial crisis.

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研究方法與邏輯 : ADF、PP、KPSS、單根檢定。

需要的統計數據：1. 澳元 (AUD)           2. 日元 (YEN)

                               3. 韓圜 (KRW)          4. 紐幣 (NZD)

                               5.新加坡幣 (SGD)    6. 新台幣 (TWD)

                               以上六國，即期匯率兌美元的歷史資料。

                               紐幣換成人民幣。

數據來源：中央銀行 

困難之處：
1.    英文有些看不懂，翻譯起來不順。
2.    模型不太了解。
3.    數據要花較多時間蒐集。
4.    要盡快熟知ADF、PP和KPSS，三種檢定。
5.    要熟悉Eview的操作。

國際金融 期末報告 10392002 蔡涵倪

Exchange Rate Volatility and Foreign Trade: The case for Cyprus and Croatia

文獻來源：

a Lecturer, Technological Institute of Western Macedonia, Department of International Trade, Kastoria 52100, Greece
b Professor, Technological Institute of Western Macedonia, Department of International Trade, Kastoria 52100, Greece; Adjunct faculty, Hellenic Open University
文章連結

重點摘要：

In this study we have taken explicit account of nonstationarity and have applied a multivariate cointegration error correction model for two countries and two different measures of volatility. Each model satisfies several commonly utilized econometric tests in the analysis of time-series data such as cointegration

and unit roots. Our empirical analysis suggests that although exchange rate volatility when measured as the simple standard deviation of the log effective exchange has no effect on the level of exports for both Croatia and Cyprus. However, when an alternative measure is used there is an indication of a stronger effect from movements of the exchange rate to the level of exports. As a result a negative statistical significant relationship is estimated for Croatia. From a policy prospective our results are important. They suggest that policy makers should consider volatility for some but not all countries when applying economic policy. More specifically, policy actions reducing unexpected fluctuation of the exchange rate, for one of our sample countries, will increase the exported amount. The actual reduction from such a policy is beyond the scope of this paper and will be addressed in future work.

基本理論：匯率波動對出口影響

研究方法：單跟檢定、Johansen’s maximum test 、誤差修正模型

需要的數據：Cyprus and Croatia實質有效匯率，實質GDP，資料從1990Q1-2012Q1

困難之處：主要模型： log(X)= λ0+λ1*log(PX/Pw) +λ2*log(GDP)+λ3 +λ4*(V) + λ5*D1+ λ6*D3 + λ7*D4 + λ8*log(T) + ω (1.1)

其中不懂D1.D2.D3季節性假設

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.

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

期末報告:國際金融專題期中報告 10292026

Regime (non)stationarity in the US/UK real exchange rate.

困難之處：內容有點艱深，不過我會盡最大努力

作者:

Kanas, Angelos1
Genius, Margarita1 genius@econ.soc.uoc.gr

資料來源:

Economics Letters. Jun2005, Vol. 87 Issue 3, p407-413. 7p. 1 Chart, 1 Graph.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*VOLATILITY (Finance)
*RISK

地理詞彙:

UNITED States
GREAT Britain

作者提供的關鍵字:

Real exchange rate
Regime switching
US

摘要:

Using a Markov-switching extension of the ADF regression, we find evidence that the US/UK real exchange rate is stationary in periods when it is in a low volatility regime, and nonstationary when it is in a high volatility regime. [ABSTRACT FROM AUTHOR]

 

Copyright of Economics Letters is the property of Elsevier Science 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:

1Department of Economics, University of Crete, 74100 Rethymnon, Crete, Greece

ISSN:

0165-1765

DOI:

10.1016/j.econlet.2005.01.009

入藏號碼:

17313770

國際金融  期中報告  10392004

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 

期中報告:國際金融專題期中報告 10292026

期末報告:國際金融專題期中報告 10292026

Investigation Causal Relations among Stock Market and Macroeconomic Variables :Evidence from Turkey

作者:

Karacaer, Semra; Kapusuzoglu, Ayhan

作者關係機構:

Hacettepe U; Hacettepe U

資料來源:

International Journal of Economic Perspectives, 2010, v. 4, iss. 3, pp. 501-07

出版日期:

2010

摘要:

The present study aims to examine the long-term relationships and short-term dynamics between the stock price index and inflation, industrial output and exchange rate as basic macroeconomic factors in Turkey for the period between 2003:01 and 2010:02. The Augmented Dickey Fuller (ADF) and Philips Perron (PP) unit root tests, Johansen cointegration test and Granger causality test were applied to examine the inter-variable relationships. The results of the analyses revealed a long-term relationship among the variables in question as there exists a cointegration relationship between the variables, while in the short run, there were unidirectional and bidirectional causal relations among the variables.

關鍵字:

Macroeconomics; Stock Market

地理位置描述項:

Turkey

ISSN:

13071637

出版品類型:

Journal Article

入藏號碼:

1254309

期中報告 10392001 徐逸茹 

更正為: BIVARIATE CAUSALITY BETWEEN EXCHANGE RATES AND STOCK PRICES IN MALAYSIA.

 連結: 期末報告 10392001 徐逸茹

Exchange rate sensitivity of the demand for money in Spain

作者:

Bahmani-Oskooee, Mohsen1
Martin, Miquel-Angel Galindo2
Niroomand, Farhang3

資料來源:

Applied Economics. May98, Vol. 30 Issue 5, p607-612. 6p. 4 Charts.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*DEMAND for money
*COINTEGRATION
*ECONOMETRICS
*TIME series analysis

地理詞彙:

SPAIN

摘要:

The article focuses on the exchange rate and demand for money in Spain, while assessing a macroeconomic model. Following most recent developments in the money demand literature, the authors try to incorporate the nominal effective exchange rate of the Spanish peseta in the money demand function to determine whether it becomes stable. The cointegration method is used to test the existence of a long-run equilibrium relationship between Spanish money balances and its determinants. Spanish money balances and its determinants. Exclusion tests also developed by economists S. Johansen and K. Juselius are used to determine the significance of each determinant. The first step in applying cointegration analysis is to determine the degree of integration of each variable in the model. For this purpose, following many other studies in the literature, the authors rely upon the ADF test. Using quarterly data over the 1974I-1992IV period and the Johansen-Juselius cointegration procedure, the authors were able to find evidence of cointegration among the variables of both the monetary aggregates money demand functions.

作者所屬機構:

1Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, WI 53201, USA.
2Department of Economics, University Complutense, Madrid, Spain.
3Department of Economics, University of Southern Mississippi, Hattiesburg, MS 39406, USA.

ISSN:

0003-6846

DOI:

10.1080/000368498325598

入藏號碼:

702286

出版商標誌:

期中報告:1031 國際金融專題期中報告 10392007

Is Gold a Hedge Against Turkish Lira?

作者:

Ozturk, Feride1 fozturk@dumlupinar.edu.tr
Acikalin, Sezgin1 sezgina@anadolu.edu.tr

資料來源:

South East European Journal of Economics & Business (1840118X). Apr2008, Vol. 3 Issue 1, p35-40. 6p. 3 Charts, 3 Graphs.

文件類型:

Article

主題術語:

*GOLD industry
*LIRA (Turkish currency)
*CONSUMER price indexes
*FOREIGN exchange rates
*DOLLAR (United States currency)
*DEPRECIATION

地理詞彙:

TURKEY
UNITED States

摘要:

This paper investigates whether gold is an internal hedge and/or an external hedge against Turkish lira (TL) by using monthly data from January 1995 to November 2006. Cointegration test results confirm the long-term relationships between the gold price and consumerprice index and between the gold price and TL/US dollar exchange rate. The Granger Tests, based on vector error correction model (VECM), indicate that gold price Granger causes the consumer price index and TL/US dollar exchange rate in a unidirectional way. It is concluded that gold acts as an effective hedge against potential future TL depreciation and rising domestic inflation. Furthermore, gold price may be considered as a good indicator of inflation and hence it can be used as a guide to monetary policy. [ABSTRACT FROM AUTHOR]

 

Copyright of South East European Journal of Economics & Business (1840118X) is the property of De Gruyter Open 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:

1Dunlupinar University, Department of Economics, Tavsanli Yolu 10.Km, Kutahya, Turkey

ISSN:

1840-118X

入藏號碼:

31655157