國際金融學習記事

1/4
期末報告

12/28

期末影片報告順序

1.林秉毅
2.蕭瑞銘
3.卓益越寧
4.李蕙羽
5.洪嘉聖
6.曾于真
7.賴威鴻
8.許澤妤
(下周開始)
9.金恩惠
10.曹季群
11.邱柏寧
老師的小叮嚀
小數不能太多
共整合係數
 HQC BIC樣本過大時用  小的用SIC
要打授課老師
資料來源可有可無

期末報告

1212/21

111.4期末繳交

肘整合變數之性質 共整合之意義 線性軟體估計

物誤差修正模型與共整合檢定 engle-granger 兩階段共整合檢定

jjojohansen 共整合檢定 

整整合變數 非定態時間序列變數yt 經過 k

K階段整合變數 

整合變數加總性質 分別為m n階整合m>n>0 之非定態

共整合範例 yt與zt線性組合

共整合原始定義 以購買力平價理論 實質匯率 qt =st+pt*-pt

st: 本國對外國匯率取對數

pt:表示本國 

以供需體系均衡來說明共整合 均衡體系共整合向量 

按   照成差錯來修正 造成偏離長期均衡得以 逐漸縮小機制及誤差修正 

G   GRANGER 表現定理 任一組具共整合  誤差修正模型 調整參數 一個經濟體系動態廷整概念

摩   模型 來說明誤差修正 供需平衡之價格

 Yt

12/14停課一周


期中報告數據
11/23


11/2~11/16 期中考


10/26

UIP: r-r*=Δs^e

y_t =在t時間的y值

 季 Y_t-1=3個月

    Y_t-3=9個月

Q檢定

H0:沒有自我相關

H1:有自我相關

自我相關:自己變數過去和現在的相關性

 White test on residual

H0:無異質變數

H1:有異質變數

異質變數:從頭到尾變數會改變

Q² test

H0:無異質變數

H1:有異質變數

10/19

• 高斯馬可夫定理：Yt=b1+b2Xt+b3Zt+ut
  1. E(ut)=0
  2. Cov(ut,ut-j)=0, for j¹1
  3. Var(ut)=s_{u for all t
  4.} ut ~ N(), normally distributed (optional)
  5. 複迴歸
• 如何判斷拒絕或不要拒絕虛無假設(H0)?
  l   臨界值法
  l   P-value (愈小愈拒絕)
•   In OLS, 3 kinds of testing exists
• 1.      checking validness of OLS  
• 2.      testing the underpinning theory to answer 
• 3.      testing for statistical significance

 <BLUE>
   Blue：變異數最小 => 表示猜中的機率越高，與實際值越接近。 
    Linear : 線性(ols)Model => 大多使用線性   
   Unbiased : 不偏 => 估計的係數與母體平均   
   Estimators : 為一組公式

10/12

• p4
  S本國幣/外國幣(NTD/USD)
  S上升=>USD 升值
  　　  =>NTD 貶值
• p5  美元匯率 defind as the domesic currency
• spot versus forward rates 即期匯率
• spreat 銀業成本
• 流動性 風險 市場機制
• p8
  Buying rates and selling rates
  bid(銀行買)/ask(銀行賣) rate
  =Micro-structure study=>bid-ask spead(價差)
  spead：1.營業成本
          　 2.流動性
  　　　 3.風險
  外匯市場：在看不見的地方
  市場機制：供不應求則價漲，供過於求則價
• p15 市場餐與著  物流 金流 資訊流
• p16 floating rates (浮動匯率)→自由市場
• p17 fixed rates 固定匯率
• 新興市場 Q3大失血

Effects of Exchange Rate Volatility on Exports: Evidence from India

Author Info

• Sidheswar Panda
  (sidheswareco@gmail.com)
  (Institute of Economic Growth)
• Ranjan Kumar Mohanty
  (ranjanmohanty85@gmail.com)
  (Jawaharlal Nehru University, New Delhi)

  Abstract

  This study empirically examines the effects of real exchange rate volatility on India's exports using time series data for the period from 1970-71 to 2011-12. This study uses a simple rolling standard deviation as a measure of exchange rate volatility and implements the Johansen cointegration technique to understand the long run relationship among the variables. This study finds that there exists one co-integrating the relationship among exports, real exchange rate volatility and World GDP. India's export volume is positively related to the World GDP. India's export volume is negatively affected by its own real exchange rate volatility. The empirical results indicate that a moderation in the exchange rate volatility can increase the export volume in case of India.

An Analysis of the Stock Return and Exchange Rate Variation on Market Return of Pharmaceutical Industry in Pakistan

作者

Nazim Hussain Abdul Qayyum Khan

作者關係機構:

Rahim Yar Khan Campus, The Islamia University of Bahawalpur, Pakistan 1 COMSATS WahCantt. Pakistan 

資料來源:

World Applied Sciences Journal;2014, Vol. 31 Issue 6, p1180

出版日期:

June 2014

摘要:

The main purpose of this paper is to investigate the exchange rate exposure of pharmaceutical industry of Pakistan in long run and short term. Quarterly time series data for last 37 quarters from 2003Q1 to 2012Q1have been used. Unit root test, co-integration test and ECM have been applied to investigatethe stationarity and long run and short term exposure of the industry. Results revealed that all variables are stationary at level with intercept only. Co-integration results showthat there is long run relationship between stock returns, exchange rate and market return index. Error Correction Mechanism results shows that that there is negative short term significant relationship between stock returns of pharmaceutical multinationals of Pakistan and exchange rate dollar currencyin short run. Likewise stock returns have positive short term and significant impact with market return index. The equilibrium adjustment term show that all the disequilibrium in short term will adjusted in current period as the coefficient of error term is 1 and statistically significant. Keeping in view, the findings of this study suggest that extensive financial hedging is necessary to moderate the exchange rate exposure.

關鍵字:

Stock Returns, Exchange rate exposure ,Co-integration Test ,Error correction mechanism, Pharmaceutical industry, Pakistan

地理位置描述項:

Pakistan

ISSN:

1818-4952

國際金融學習記事 10492001 李芳儀

1/11

• 期末考週

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1/4

• 播放國金期末影片

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12/28

• 播放國金期末影片
• 我的國金期末影片

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12/21

• 共整合就是降階整合之非定態變數
• 向量(vator)-表示一個role
• 分析共整合
  =>統計量(是否為定態)-最基本
  =>結合經濟分析-最優！
• 共整合檢定-Engle-Granger=>用線性來估計
  -有共整合存在，必有誤差修正
  -檢定步驟：
   1.確定兩變數整合階層是否相同
   2.OLS=>保留殘差
   3.ADF
  *以上為Engle-Granger沒有外生變數的考量
• 共整合檢定-Johansen 共整合
  -Trace Test：總和比較，有r組
   Max-Eigen Test：邊際比較概念，r,r+1
  -檢定步驟：
   1.Var=>確定落後期
   2.依Johansen方法估計<向量共整合>模型
      已落後期P期的模型來估計
   3.確認rank

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12/7

• 若落後期數選錯時，會有Efficiency(效率)的問題=>在計量中表示估計量標準誤的大小
• UIP
  1+i=(1+i)s^e/s+risk premium
• 小樣本：適合用AIC
  大樣本(大於300)：如使用AIC，則會越差越多，應選擇SBC、HQC較佳
• 單根檢定(非定態)
  _平均數、共變數、變異數=>不符合其中一種就為非定態
  -ADF
  A：加落後期，為了讓殘差有白噪音

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11/30

• AR(1)
  DGP(資料產生過程)
  P=>Process-一種函數形式(來自蛛網理論)
  AR(1)=>y_t=a₁y_t-1+u_t，u_t ~iid-iid=>符合BLUE
  -y_t=a₁y_t-1=>一階差分公式
  -加入期望值=>平均數=>母體
• AR(2)
  y_t=a₀+a₁y_t-1+a₂y_t-2+u_t
• _AR(P)=a₀/1-Ʃa_{i
  均值回復：}平均數
  　　　　　共變數　　　　　變異數
  Q1：為何尋找落後期？
  目的為了將殘差white noise。
  Q2：In T.S=>樣本多性質越好？
  在時間序列中不一定。
  T=總樣本=>T越大跨期越長，而跨期越長數值可能會變，因為年間可能會有重大影響事蹟，例如：2008年的亞洲金融風暴
• 落遲運算式(lag operator)
  L(B)=>定義：Lⁱy_t=y_{t-i
  一般式：}A(L)ⁱy_t=a₀+B(L)u_t
• _{非定態
  定義：弱式-平均數}
  　　　　　 共變數
  　　　　　 變異數
  *時間趨勢：+t
  *隨機趨勢(LS)
  公式：y_t=a_0+b1t+u_t
• 遊走隨機漫步(Ramdom Walk；RW)
  =>AR(1)的特例形式
  y_t=a₁y_t-1，la₁l<1

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11/23

• 定態 stationary (adj.)
  　　 stationarity (n.)
  非定態 non-stationarity
  定態定義：強式
  　　　　　弱式-平均數：必須為常數，E(X_t)=μ
  　　　　　　　 共變數：必須為常數，Cov(X_t,X_t-j)=k
  　　　　　　　 變異數：必須為常數，Var(X_t)=σ_x^{2
  *標準常態分配變異數為1}
• 白噪音(White noise；WN)
  平均數：E(ɛ_i)=0
  共變數：Cov(ɛ_t, ɛ_t-k)=Cov(ɛ_t-j, ɛ_t-j-k)=0，for j,k，j≠k
  變異數：Var(ɛ_t)=σ^{2
  縮寫：w.n.~iid(0,σ2)}
• AR(1) model
  AR為自我相關、1為落後期數
  代表式：y_t=a₁y_t-1
  一般式：y_t=a₁y₀
• 上傳期末數據資料

我的期末數據資料

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11/16

• 播放期中報告影片

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11/2

• 播放期中報告影片
• 我的國金期中影片

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10/26

• UIP v.s CIP
  Uncovered IP=>有風險評價利率
  Covered IP=>無風險評價利率
• EMH => 有效市場假說，平均而言，市場的獲利為 0
• 有限理性=>Level K thinking=>證明理性預期太理想
• Naive：S^e_t=S_{t-1
  RE(理性預期)：}S^e_t=S_t
• _{yt=>在t時間的y值 季資料--t-1=三個月,t-3=九個月}
• _{Q test
  沒有自我相關=>不拒絕虛無假設}
• _{LM test
  H0：有異質變異H1：無意質變異}
• 下標：Cntl+"="
  上標：Cntl+Shift+"="

國際金融新聞：

_{【國際金融】TPP成員國?手防止通過本幣貶值增競爭優勢} (來源：財華社)

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10/19

• 共整合-共整合檢定、共整合估計
• 假設檢定
  1. 確定是否為高斯馬可夫定理
  2. 測試UIP/PPP
• 高斯馬可夫定理：Yt=b1+b2Xt+b3Zt+ut
  1. E(ut)=0
  2. Cov(ut,ut-j)=0, for j¹1
  3. Var(ut)=s_{u for all t
  4.} ut ~ N(), normally distributed (optional)
  5. 複迴歸
• 如何判斷檢定結果：--P-values   P>α, non-reject   P<α, reject
  --Keynesian Consumption Function
     non-reject=>無自我相關
  --White tests
     non-reject=>無異質
  --OLS
     non-reject=>常態分配
     <BLUE>
     Blue：變異數最小 => 表示猜中的機率越高，與實際值越接近。   Linear : 線性Model => 大多使用線性   Unbiased : 不偏 => 估計的係數與母體平均   Estimators : 為一組公式

   課本

• p92
  r-利率
  r*-外國利率
  S-實質利率
  S^{e-期望利率}天真預期法=>  用上一次的值做預測 --S^e1=Ｘt-1+et

國際金融新聞：

美股連續4周上升 納指重上5000點 (來源：財華社)
_{這一年我們一起追尋的未來國際金融家之夢! 中信金融管理學院與彰化精誠高中簽訂策略聯盟
(來源：}中央通訊社)

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10/12

• p4
  S本國幣/外國幣(NTD/USD)
  S上升=>USD 升值
  　　  =>NTD 貶值
• p7
  Spot versus forward exchange rate 現貨的外匯價格
• p8
  Buying rates and selling rates
  bid(銀行買)/ask(銀行賣) rate
  =Micro-structure study=>bid-ask spead(價差)
  spead：1.營業成本
          　 2.流動性
  　　　 3.風險
  外匯市場：在看不見的地方
  市場機制：供不應求則價漲，供過於求則價跌
• p16
  Floating rate 浮動匯率(ex:美國)
  Fixed rate 固定匯率(ex:中國)
  Managed floating 管理浮動匯率=>台灣
• 
  

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10/5

• 22K=>定錨效果(既定印象)
• 研究所level=>re-search=>解決問題的辦法 - 理論、觀念
• 國際金融架構匯率：金流=>Asset: UIP、CIP--EMH　　　物流=>PPP、LOP　　　資訊流=>News model、event studies、 structural change、expectations.....

國際金融學習記事 10492004 許澤妤

11/23 期末報告數據
數據資料(年資料，1971-2014，資料來源: TEJ)
數據資料2(季資料，1971-2014，資料來源: TEJ)
_________________________________________________________________________________
10/12 CH1
1.1 Exchange rate (S): domestic currency price of foreign currency. (domestic currency price/foreign currency)
  跨空間
  1. Bilateral exchange rate(雙邊匯率): 只和兩國有關(一對一)
  2. Effective exchange rate(有效匯率): 用貿易加權匯率指數(一對多)
  跨時間
  1. Spot exchange rate(即期外匯): 3天內為即期交易
  2. Forward exchange rate(遠期外匯): 為金流，民眾對未來的預期
    補充 期貨V.S.遠期外匯
    期貨: 為集中市場，有固定的交易規模(一口)
    遠期外匯: 無固定交易規模，客戶間可自行約定
  立場不同
  1. Bid rate(買匯): 銀行買
  2. Ask rate(賣匯): 銀行賣
    補充 和spread有關: 營業成本、流動性、風險
1.2 The market for foreign currency
  1.市場機制:供不應求則價漲，供過於求則價跌(S(NTD/USD)↑，則USD升值、NTD貶值)
  2.市場參與者: 物流→Exporters, importers
                金流→Foreign investors
                資訊流→Speculators
  3.匯率制度: Floating rates(浮動匯率): 自由市場
              Fixed rates(固定匯率): Ex: China
              Managed rates(管理浮動匯率): Ex:Taiwan

國際金融學習記事 劉奕君

10/12

1. S → 單位 (本國幣 / 外國幣 )

2. 與物流相關→ 貿易

3. 雙邊匯率  bilateral Exchange Rate (一對一的)

4. 貿易加權匯率 trade-weight exchange rate 

5. 有效匯率  effective or trade-weighted exchange rate (利用貿易量做加權平均) (一種指數)

6. Spot versus 現貨外匯率 (即期交易 3天內) → 一種契約、約定 (一般匯率大多為即期)

7. Buying versus selling rates 

    → Bid (銀行買) / Ask rate(銀行賣)

      → Micro-structure study ( 微結構 - 行為財務 )   → Bid-ask spread ( 價差 )

      →與SPREAD有關 (1) 營業成本

                                        (2) 流動性 (反應交易成本、流動性大，spread低)

                                        (3) 機會成本

8. 市場 (一堆供給者、一堆需求者)

 市場機制 Market Mechanism

→ 供不應求則價漲

                          →供過於求則價跌

9. S ( NTD / USD )

    →(1) S↑→USD↑ 升值，NTD↓ 貶值

    →(2) S↓→USD↓ 貶值，NTD↑ 升值

國際金融新聞

http://udn.com/news/story/5/1256504

http://www.cdnews.com.tw/cdnews_site/docDetail.jsp?coluid=112&docid=103416036

EXCHANGE RATES AND TOURISM: EVIDENCE FROM THE ISLAND OF GUAM

作者:

Ruane, Maria Claret M.

資料來源:

Journal of Economics & Economic Education Research; 2014, Vol. 15 Issue 2, p165-185, 21p

出版年度:

2014

主題術語:

FOREIGN exchange rates -- Research
TOURISM -- Research
GUAM -- Economic conditions
ECONOMICS -- Study & teaching -- Research
ECONOMICS -- Research

USD/JPY Trend,  Time Period,  exchange rate lag,  OLS-regression, Ordinary Least Squares, 

NAICS/Industry Codes:

541720 Research and Development in the Social Sciences and Humanities

摘要:

Guam is a U.S. territory in the Western Pacific region. It is a small island economy that, like many island economies around the world, lacks diversification and mostly relies on a few economic activities, especially tourism. Worse yet, Guam's tourist markets also lack diversification, with approximately 70% accounted for by tourists from Japan. With the significantly stronger U.S. dollar (USD) and weaker Japanese yen (JPY) since September 2012, the cost to Japanese tourists of visiting Guam had increased by 33%. Given Guam economy's heavy reliance on Japanese tourism, this study aims to use available time series data and Ordinary Least Squares regression models to quantify the effect of the significantly stronger USD/weaker JPY in the past year on the number of Japanese tourists visiting Guam. The results of this study will be useful in formulating economic policies in Guam and also in other economies that are similar to Guam for their use of the USD as their local currency or as a peg to their local currencies as well as their tourist-oriented economies that cater to Japanese tourists. [ABSTRACT FROM AUTHOR]

 

Copyright of Journal of Economics & Economic Education Research is the property of Jordan Whitney Enterprises, Inc. 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.)

ISSN:

15333604

入藏號碼:

100277429

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期中報告影片網址: https://youtu.be/BnXmDkk3bwY

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期末報告影片網址: https://www.youtube.com/watch?v=rbWmVnQyzH8

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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

Speculative efficiency

*rethink efficiency I,II,III
*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

3 Kinds of testing exists in OLS:
- 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

(http://finance.yahoo.com/news/fed-policymakers-downplay-divisions-u-022532684.html)

2. China’s State Sector: Bigger Than Ever

(http://www.bloomberg.com/news/articles/2015-10-15/china-s-state-sector-bigger-than-ever)

學習記事

持有貨幣的成本->機會成本

市場機制->供不應求,價格上漲

                ->供過需求,價格下跌

(NTD本國/USD外)

S上漲->USD升值

             NTD貶值

颱風前，菜上漲->未來預期心理

一般供給->不適用一般市場機制

                ->物流 金流 資訊流

Time Series(時間序列)

if Stetimarity 系統 ->yes ->