2016-10-25

國際金融學習記事10592009方羿傑

105/10/24(一)

時間序列分布
定態趨勢
specifications of the Dickey-Fuller tests
1.no constant
2.with constant
3.with constant and trend
ADF檢定落後階次
填不同落後期答案不一樣>>>把操作過程寫出來並選擇電腦給出之答案
新聞:
http://hk.dailyeconomic.com/2016/10/24/3788.html
http://news.sina.com.tw/article/20161024/19103986.html

105/10/17(一)

單根檢定(unit root test):方程式的解等於1白噪音White Noise: 時間序列的隨機變數: 期望值為0 變異數為固定常數自我共變數也等於0操作Gretl 確認資料定態性
判斷變數為定態(所有特性根必須落在單位圓內)或非定態(所有特性根將落在單位圓上或單位圓外)
新聞:
http://news.cnyes.com/news/id/3587374
http://news.cnyes.com/news/id/3586796

Understanding Chinese consumption goods imports.

Understanding Chinese consumption goods imports.

作者:

Thorbecke, Willem1 willem-thorbecke@rieti.go.jp

資料來源:

Journal of Policy Modeling. Jan2016, Vol. 38 Issue 1, p96-102. 7p.

文件類型:

Article

主題術語:

*CONSUMPTION (Economics)
*RESEARCH
*IMPORTS
*MARKETING
*PER capita
*GROSS domestic product
CHINA
LEAST squares

作者提供的關鍵字:

China
Exchange rate elasticities
F32
F41

摘要:

China's consumption imports per capita in 2012 equaled $36, much less than comparable countries’ imports. This paper investigates the determinants of consumption imports. Evidence from panel dynamic ordinary least squares estimation and imports from 20 leading trading partners over the 1992–2012 period indicates that GDP growth and renminbi appreciation would cause large increases in China'sconsumption imports. Thus if policymakers continue fostering growth and development and continue allowing the renminbi to appreciate, they would enable Chinese consumers to purchase more medicine, food, and other goods from the rest of the world. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Policy Modeling is the property of Elsevier Science Publishing Company, 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.)

作者所屬機構:

1Research Institute of Economy, Trade and Industry, Japan

ISSN:

0161-8938

DOI:

10.1016/j.jpolmod.2015.12.002

入藏號碼:

112850085

THE PRICE OF OIL AND EXCHANGE RATE DETERMINATION IN NIGERIA

THE PRICE OF OIL AND EXCHANGE RATE DETERMINATION IN NIGERIA

Ben U. Omojimite Department of Economics Delta State University Abraka

影片連結
Abstract
This paper examine whether a link exists between oil price shocks and the Nigerian real effective exchange rate and other determinants of exchange rate. Unit root tests on the variables indicate that they could be characterised as 1(1). Johansen cointegration tests revealed at least three cointegration relationships using the trace and maximum eigen value rank test statistic. The evidence of cointegration enables us to estimate a cointegrating regression using real effective exchange rate as the dependent variable. The results show that the price of oil and openness of the economy significantly explain the level of exchange rate in Nigeria. The paper recommends expanded sources of foreign exchange for adequate funding of the market and import demand management as strategies in exchange rate management in Nigeria.
Key words: Exchange rate, Oil price, Openness, Nigeria, Determinants, Cointegrating regression.

2016-10-24

Oil Price and Exchange Rate Volatility in Taiwan
台灣的石油價格和匯率波動

授課教授: 楊奕農 副教授

學生姓名: 呂俊毅

學號:10592011

中原大學

摘要

台灣屬於海島型國家，資源並不豐富，作為石油進口國，石油價格的變化對於台灣的經濟有一定程度的影響，本篇研究主要是使用1970年至2015年台灣的年度數據，主要是要探討並檢視油價對匯率的影響程度，本篇研究所採用的模型為:ADF和PP之單根檢、Johansen共整合檢定以及VECM向量誤差修正模型，共整合檢定模型在5

的信心水準下，所有變數在長期下呈現穩定的狀態；VECM向量誤差修正模型可測得短期下油價會對匯率產生影響。綜合以上研究結果可以發現，油價和匯率之間具有長期穩定的關係，而油價變動也會影響匯率變動，表示油價的變動，不管是上升還下降，都會進而影響匯率的升值或貶值，因此本研究的實證結果符合台灣為石油進口國的狀態。

Keywords: Oil Price, Exchange rate volatility, Johansen Co-integration, Vector Error Correction Model

中文關鍵字: 油價，匯率波動，Johansen共整合檢定，VECM向量誤差修正模型

JEL Classification: O24 C22 F41

10592011 呂俊毅 105國際金融專題課程期末報告影片

10592011-呂俊毅-105國際金融專題課程-期末報告影片連結:

Oil Price and Exchange Rate Volatility in Nigeria

Oluwatomisin M. Ogundipe

Covenant University

Paul Ojeaga

University of Bergamo

Adeyemi Adefioye Ogundipe

Covenant University
July 1, 2012

Journal of Economics and Finance (IOSR), Volume 5, Issue 4. (Sep.-Oct. 2014), PP 01-09
Abstract:

Oil as the mainstay of the Nigerian economy, accounts for over 95 percent of its foreign earnings and about 83 percent of its budgetary allocation, to this end, changes in oil prices has implications for the Nigerian economy and, in particular, exchange rate movements. The latter is mostly important due to the double dilemma of being an oil exporting and oil-importing country, a situation that emerged in the last decade. The study examined the effects of oil price, external reserves and interest rate on exchange rate volatility in Nigeria using annual data covering the period 1970 to 2011. The long run relationship among the variables was determined using the Johansen Co-integration technique while the vector correction mechanism was used to examine the speed of adjustment of the variables from the short run dynamics to the long run equilibrium. It was observed that a proportionate change in oil price leads to a more than proportionate change in exchange rate volatility in Nigeria; which implies that exchange rate is susceptible to changes in oil price. The study therefore recommend that the Nigeria government should diversify from the oil sector to other sectors of the economy hereby dwindling the impact of crude oil as the mainstay of the economy and overcome the effect of incessant changes in crude oil prices which often culminate into macroeconomic instability.

Number of Pages in PDF File: 9

Keywords: Oil Price, Exchange rate volatility, Johansen Co-integration, Vector Error Correction Model

JEL Classification: O24 C22 F41

10592011-呂俊毅-105國際金融專題課程-期中報告影片連結:
https://youtu.be/Gu0X5qcxrus

Exchange rate volatility and exports The case of Ireland

20170103更新期末影片+PPT
Exchange rate volatility and exports: The case of Ireland.

作者:

Fountas, Stilianos
Bredin, Donal

資料來源:

Applied Economics Letters. May98, Vol. 5 Issue 5, p301. 4p. 4 Charts.

文件類型:

Article

主題術語:

*Foreign exchange rates
*Cointegration
*Exports

地理詞彙:

Ireland

摘要:

Focuses on a study which locked at the exchange rate in Ireland, with the usage of cointegration and error correction techniques. Details on the export demand functions using data from 1979 to 1993; Examination of foreign income, relative prices and exchange rate volatility; Findings of the study.

全文字數:

2707

ISSN:

1350-4851

入藏號碼:

711578

資料庫:

Business Source Complete

出版商標誌:

11/13更新題目

11/15 期中影片網址
----------------------------------------------------------------------------------------
2017/1/3 期末影片
期末PPT
期末資料
(點擊即可開啟)

匯率波動與出口：以台灣為例

Exchange rate volatility and exports: the case of Taiwan

10592010黃家慶

指導老師:楊奕農副教授

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

JEL:F4

Keyword: Exchange rate volatility, export, ADF test , Co-integration test ,Error correction model

關鍵字:匯率波動、出口、單根檢定、共整合檢定、誤差修正模型

前言:

由於匯率的波動以及出口間的關係密切，本研究將探討台灣從1984年Q1到2015年Q4間的出口對匯率波動、GDP以及物價的影響。

台灣經濟收入主要從貿易獲得，而與貿易息息相關最密切的影響，便是出口與匯率之間，所以本研究將會針對匯率波動以及出口作為主要探討對象。

首先在共整合結果顯示，出口和匯率的波動有著顯著的關係，並從誤差修正模型來估算出短期調整的幅度。

再來本研究是採用匯率的波動、GDP、物價指數比來測量與出口之間的關係。

國際金融學習記事 10592010 黃家慶

2017.1.02
繳交期末報告紙本、影片

〈川普經濟學〉政策具有大量不確定性美元仍告走低

〈川普經濟學〉一票諾貝爾學者警告：不會成功！恐致衰退

2016.12.26
期末考+上機考試

〈2017國內產經大事搶先看〉新南向政策啟動

〈2017國內產經大事搶先看〉iPhone十周年機問世供應鏈跟著熱

2016.12.19
GRETL 操作

陶冬看2017中國經濟：經濟企穩，改革還遠嗎?

2017台股緩步趨堅施羅德建議布局6大趨勢

2016.12.12
GRETL操作
幾個缺點要修正:
1.資料準備要齊全
2.資料開頭需要明確。
3.檔案名稱不要亂取，容易找不到

陶冬：美國聯準會再啟升息全球利率又見升浪

ING：歐元與美元平價只是時間問題

2016.12.05
停課

蘋果供應鏈擴張台郡鄭明智：投資逾30億元高雄建廠

〈分析〉中國太空計劃踩油門 NASA踩剎車

2016.11.28

1.誤差修正的左右邊皆是定態
2.透過rank來判斷有無共整合
3.Johansen共整合檢定步驟
第一步驟：VAR確定落後期數
第二步驟:落後期 (N+1)，檢定共整合

每週新聞:

陶冬：股債走勢現分歧石油減產藏玄機

機器人顧問的崛起背後終須專業財管部門解析規劃

2016.11.21
Engle-Granger 共整合檢定步驟
一、先確定變數的階次是否相同→使用ADF檢定來測定 xt和 yt兩變數的階次
1.→整合階次相同→則可往下一步驟。
2.→整合階次不同→則二變數不具共整合性質。

二、以 OLS 估計 xt和 yt兩變數的長期關係，並保留殘差(Et)
Yt=a0+a1Xt+et
三、以 ADF 檢定來檢定 et 是否已經降階為定態變數
若可拒絕虛無假設，則表示xt和 yt兩變數具有共整合現象。

-購買力平價 (purchasing power parity)
六國的匯率和 CPI、WPI等變數探討購買力平價 (purchasing power parity) 是否成立。
購買力平價的一般式
長期 PPP 理論
共整合向量的標準化（normalization）
x1t，x2t，兩 I(1) 變數有共整關係，則隱含
β1x1t+β2x2t = εt εt ~ I(0)

不管 k 值為何，共整合向量都是同一個。

共整合向量的「標準化」，即是將共整合向量中的其中一個當做 1。

N個整合變數的共整合向量「最多」為 N-1 個。

Johansen 共整合檢定可以視為同時處理 n 個變數的一般化單根檢定。

對角元素和檢定 (trace test)，最大特性根檢定 (maximun eigenvalue test)

紐約匯市─葉倫談話利多美元連續第十天上漲

巴克萊銀行：基金退出新興市場持有美元是王道

2016 11.14
其中影片報告
ADF分成無常數、有常數、有常數+趨勢
用來處理白嗓音(殘差白嗓音化)
非定態→有其中一種解為單根
共整合與誤差修正同時存在
判別有無共整合、幾組共整合
I(0)最好別差分
非定態時間序列變數的線性關係組合成定態
具有經濟之意義的共整合→I(0)

FBI「不起訴」希拉蕊！墨西哥披索歡聲雷動暴漲逾2%

分析師看英國高等法院裁決：「新脫歐對戰」

2016.10.31
播放期中影片報告
1.PPT字不要太多
2.樣本資料時間別用更多(時間序列時)
3.標題明確
4.螢幕要正
5.語速別太快
6.有變化好，但字要大
7.表格要大
8.用詞要正確
9.穿著正式
--------------------------
E-GARCH太難建議要更換題目

貨幣政策方向未變「抑制資產泡沫」成為新考量

央行會為降槓杆「限流」嗎？

2016.10.24
上課內容:
定態
weakly stationarity
RW model .Null model .
Dicky-Fuller Test 1.no constant
2.with constant
3.with constant and trend
H0:r=0
DF=Yt變化量=rYt-1+ei
AFD=Yt變化量=rYt-1+落後期+ei
當填不同lag時，電腦卻跑出不同的最適lag期時
需要寫上當我選A(例如8)期時電腦最適選出3，所以我選3當作lag、當我選B(例如4)期時，電腦選出最適期數為2 所以我選2 等等的文字敘述摘要

國際金融新聞:

銀行間資金緊勢未緩外匯占款下降增加壓力

人民幣兌美元中間價報6.7690元續創6年新低

2016.10.17
上課內容:
矩陣、向量、反矩陣
共整合檢定 Cointegration test 特性根
單根檢定有一解為「1」
在單位圓內為定態在單位圓之上或之外為非定態
定性趨勢 Deterministic trend 可完全預測大多只時間趨勢
Yt=a0+a1t
隨機趨勢 Stochastic trend
Mt=Mt-1+Vt
Vt=白嗓音
定態三大定義
Random walk(DGP) 時序產生的過程截項=常數項
有單根 Yt=Yt-1+et
ACF自我檢測係數
DF檢定 Yt=Yt-1+et
->Yt-Yt-1=et (Yt-Yt-1=(a1-1)Yt-1+et)
國際金融新聞:

德拉吉露餡了？一句話暗示12月ECB恐減碼QE

德拉吉催油歐元崩至7個月新低！美元飆3月來新高

2016.10.10-2016
國際金融新聞:

神舟十一號飛船今日發射資金布局三領域

美財政部外匯政策報告：中國、日本、韓國、德國、台灣及瑞士等六國列入觀察名單

2016.10.3
國際金融新聞:
第一堂課:小考
第二堂:挑整課程
LOP單一價格法則
PPP購買力平價理論
IRP利率平價理論
Apple Co. &Msft Co.
貿易風險<=>報酬
桌球皮價差的故事
原文書
Level K thinking
第三堂:
理論、理論模型、實證研究
應用的觀念

紐約匯市 - 美元指數下跌0.12%收96.95點非農報告出爐美元波動加大

梅伊大轟QE政策！安聯首席經濟顧問：全球央行獨立性堪憂

2016.9.26
上課內容:
報告內容格式
英文能力
評分標準
期末報告需要
架構相同[小節.標題.模型.檢定.圖.表]
不可用前人用過之PAPER.(可用Weblog查詢)
別選太難
頁數不等於分數
格式:
用A4
邊界2公分(上下左右)
新細明體
不含封面5-10頁
大標題不大於14
封面附上JUL號碼
時間序列、Gretl
交代每周兩篇國際新聞
國際金融新聞:

人民幣「入籃」：中國與世界的雙贏

如果川普贏得美國大選...瑞銀指出：將不利亞洲貨幣

訂閱：文章 (Atom)

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」

重要事項 Import Notes