國立中山大學學位論文典藏.PDF
|
|
- 坡 隆
- 5 years ago
- Views:
Transcription
1 A Reexaminaion for Fisher effec
2 ....i...iii CSS i
3 ii
4 Fisher (930) Fisher Mishkin (99) Engle and Granger (987) Ghazali (999) Mishkin Mishkin iii
5 (a) I() I(0) (b) (c) ( fracional coinegraion process ) Lee Guo Lee Wu (00) iv
6 ( nominal ineres rae ) ( expeced inflaion rae ) ( expeced real ineres rae ) ( ex ane real ineres rae ) GDP Keynes Wicksell (898) Ohlin (937) Roberson(937) Keynes (936) ( The General Theory of Employmen, Ineres, and Money ) Keynes ( heory of liquidiy preference ) Fisher (930) Fisher Keynes () ( ransacion moive ) () ( precauionary moive ) (3) ( speculaive moive )
7 ( Fisher effec ) (full) Fama and Gibbons (98) Huizinga and Mishkin (984) Mishkin (98, 988) Summers (983) Huizinga and Mishkin (984, 986) Barsky (987) ( saionary ) ( nonsaionary ) Nelson and Plosser (98) Rose (988) Granger and Newbold (974) ( spurious regression ) 3 Mishkin (99) Mundell (963) Tobin (965) Darby (975) Feldsein (976) 3 I()
8 Engle and Granger (987) ( wo-sep coinegraion es ) I() Mishkin 4 Mishkin I(0) I() I(d) Granger (986) I(0) I() I(d) 0 < d < Ghazali(999) ( fracionally inegraed process ) ( fracional coinegraion ) Geweke and Porer-Hudak (983) GPH ( seminonparameric procedure ) Dickey and Fuller (979) Augmened Dickey-fuller (ADF) Phillips and Perron (988) PP 5 π, ˆβ π, j 4 Mishkin j ji, j j i, Mishkin 5 G7 G8 3
9 ARFIMA 6 Mishkin ( ineger coinegraion process ) (99) (99) (993) Engle and Granger (995) Johansen (988, 99) (994) Engle and Granger Johansen I(0) I() (a) I() I(0) (b) (c) ( fracional coinegraion pro- cess ) (CPI) Chung and Baillie (993) ( con- diional sum of squares esimaion ) CSS OLS (00) I(d) Wald LR 6 Ghazali 4
10 ( coefficien of deerminaion ) R Lee Guo Lee Wu (00) < d < Lee Guo Lee Wu ( Mone Carlo mehod ) (a) I() (b) (c) (d) 5
11 ARIMA ARFIMA Lee Guo Lee Wu 6
12 Gibson ( Gibson paradox ) 7 Fisher (930) Fisher i ( ex ane real ineres rae ) earr π e e i = earr + π 8 (..) ( Fisher equaion ) 7 Wicksell (898) Gibson (93) Keynes Gibson 8 e e e e + i = ( + earr )( + π ) i = earr + π + earr π earr π 7
13 ( Fisher effec ) Fisher (a) (b) (c) (WPI) Fisher Fisher Fisher Gibson Fisher Mundell (963) Mundell (a) (b) (c) (d) (e) 8
14 (f) Mundell- Tobin 9 Darby (975) Fisher Darby Darby Feldsein (976) Feldsein Darby 9 Tobin (965) Mundell (963) 9
15 Fisher ( Fisher effec ) Fama (975) Nelson and Schwer (977) Fama and Gibbons (98) Summers (983) Huizinga and Mishkin (984, 986) Mishkin ( 98, 988, 990, 99, 995 ) Kandel, Ofer, and Saring(996) Ghazali (999) ( saionary ) ( nonsaionary ) Nelson and Plosser (98) Rose (988) Granger and Newbold (974) Mishkin (99) Mishkin Engle and Granger (987) ( wo-sep coinegraion es ) (CPI) π = + (..) m m m α m + βmi η π + m m m i m m 0
16 m η ( equilibrium error ) I() π, j i, j Mishkin ( he power of uni roo es ) Mishkin π + (..3) m m m i = αm + βm ii ηi m m m π = π π m m m = i i ii ( differencing parameer ) 0 Ghazali (999) ( fracionally inegraed process ) ( fracional coinegraion ) Geweke and Porer-Hudak (983) GPH ( seminonparameric procedure ) Augmened Dickey-fuller (ADF) PP ARFIMA
17 (99) Fama (975) Cochrane-Orcu (99) Macdonald and Murphy (989) Bonham (99) Engle and Granger (987)
18 (993) Fama (975) (OLS) (GMM) Newey and Wes (987) Mone Carlo Quand (960) (a) (b) (c) (993) Engle and Granger (987) Fisher Baillie (989) VAR Fisher Fisher 3
19 Fisher WPI (993) Mishkin ( ) Irving Fisher (a) 980 (b) (c) (d) (e) 0.05 (f) 4
20 (994) MacDonald and Murphy (989) Bonham (99) Groenewold (989) Engle and Granger Johansen Augmened Dickey-fuller (ADF) (a) (b) MacDonald and Murphy (989) (c) Bonham (99) (d) Groenewold (989) (e) Bonham (99) (f) (995) Wallace & Warner (993) Johansen ADF
21 (997) Sims-Bernanke 6
22 Fisher (930) e e i, j, j + r, j = π (3..) i, j j e π, j j e r, j + j Fisher Nelson and Plosser Rose I() (3..) 7
23 e i j = α + βπ j + ε (3..),, 0 ( raional expecaion ) Muh (96) ( ) π (3..3) e, j = E π, j Ω π E( ) Ω e, j π, j E ( π ) j Ω = π, j + υ, (3..4) υ, j ( unbiased forecas ) (3..3) (3..4) (3..) i, j = α + βπ = α + βπ, j, j + ε + v + βυ, (3..5) v = ε + βυ 0 Mishkin (99: p.97, noe 5 ) error-in-variable Lee Guo Lee Wu (00) ARFIMA OLS error-in-variable (bias) 8
24 (3..5) 9
25 Granger and Newbold (974) ( Mone Carlo expe- rimenaion ) ( spurious regression ) y = x ' β + v (3..) y x β v = y x ' β I(0) ( OLS ) ( OLS ) ( difference ) 3 Granger( 98 ) ( coinegraion ) y = x ' β + v (a) y x ( random walk process ) (b) v = y x ' β I() (OLS) β R Durbin-Wason T β Yule (96) Phillips (986) OLS Granger and Newbold (974) 3 () (lagged values) ()Blough (99) Cochrane-Orcu residuals ( GLS) 0
26 Granger (983) Engle and Granger (987) Engle and Granger (987) ( wo-sep coinegraion es ) x I(d ~ ) α ( α 0) z = α x ~ I( d ~ ~ b ~ ) b > 0 x d ~ b ~ ' x ~ CI( d ~ ~ b ) α ( coinegraion vecor ) Engle and Granger I() I(0) ( equilibrium error ) I() I(0) ARMA I(0) ( geomeric decay ) Granger (986) I(0) I(d) 0 < d < Diebold, Hused, and Rush (99) Cheung and Lai (993) Baillie and Bollerslev (994) Barkoulas, Baum, and Oguz (997) Choudhry (999) Brunei and Gilber (000) ARMA I(0), ( fracionally ine- graed process ) ( fracional coinegraion ) ( fracional inegraed process )
27 ( long memory process ) ARFIMA ( auoregressive fracionally inegraed moving average process ) Granger and Joyeux (980) Hosking (98) ARFIMA ( p, d, q ) y d ( L)( L) y ( L) ε φ =θ, (3..) d ( fracionally differencing parameer ) (L ) φ θ (L) ( auoregressive polynomials ) ( moving average polynomials ) ( lag operaor ) φ(l) θ (L) ( ouside he uni circle) ε ( whie noise ) d ARFIMA ( auocorrelaion coefficien ) ( impulse response weighs ) Hosking (98) x = θ ( L) φ( L) y ( L) d x = ε ~ x d ARIMA( 0, d, 0 ) u = ( L) y φ ( L) u = θ( L) ε ~ u ARMA( p, q ) y ( auocovariance funcion ) γ y k = q p u x x γ jγ k j + γ k + q j= q l= α l { F (, d q k; d q k; λ ) } l + γ p x k q l= α l { F(, k q + d; k q + d; λ ) } l (3..3) γ u γ x u x F ( ) ( hyper- geomeric funcion ) α l λl ARMA u ( eigen- values ) k Hosking
28 lim γ γ y k x k = α λ q p u γ j + j= q l= l l ( λ ) l (3..4) d ρk ck > 0 c (3..5) Campbell and Mankiw (987) ARFIMA ( impulse response weighs ) (3..) y ( L) y = A( L) ε (3..6) d A( L) = ( L) φ( L) θ ( L) ( lag polynomial ) A(L) A( L) = F( d,, ; L) φ( L) θ( L) (3..7) Gradszeyn and Ryzhnik (980, pp ) d < d < ( d,,; L) = 0 F (3..8) ( ) = F ( d,,; ) φ( ) θ ( ) = 0 A (3..9) k A y + k + j = ( mean revering process ) ( A ) = 0 y ~ I(d) d < y ( mean reversion ) (3..5) (3..9) 0 < d < 0. 5 y ( covariance- saionary ) ( weakly saionary) 0.5 < d < y 0.5 < d < 0 y ( inver- ibiliy ) ARMA ( geomeric decay ) (3..5) ARFIMA ( he rae of hyperbolic decay ) j 3
29 CSS, () ( wo-sep procedure ) McLeod and Hipel (978) Janacek (98) Geweke and Porer-Hudak (983) Shea (990) () ( one-sep procedure ) Li and McLeod (986) Fox and Taqqu (986) ARMA d ( L) ( infinie lag polynomial ) Li and McLeod (986) Fox and Taqqu (986) MLE (approximae MLE) Dahlhaus (988) Sowell (99) ( exac maximum likelihood esimaion ) exac MLE exac MLE ( log-likelihood ) T T ' ( η) = ( π ) σ Σ ( Y µ ) Σ L * ln ln ln ( Y µ ) (3.3.) Y y T (T-dimensional vecor ) η η = [ µ, φ d T ', Λ, φ p, θ, Λ, θ q, σ, ] Σ T 4
30 exac MLE Chung (994) Chung and Baillie (993) ( ime domain (condiional sum of squares esimaor) CSS ARFIMA ARFIMA CSS Hosking (984) CSS Box and Jenkins (976) CSS ARMA exac MLE CSS Chung and Baillie (993) CSS CSS CSS CSS L T T T T L( η ) = ln ( π ) ln σ ε (3.3.) σ T σ = T [ ] d y ( η) = ln ( π ) ln σ φ( L) θ ( L) ( L) = (3.3.3) CSS Sowell Dahlhaus (988) exac MLE Chung and Baillie (993) 00 CSS ARFIMA (0,d,0) 5
31 exac MLE 500 CSS ARFIMA( p, d, q ) y y, y,λ 0, ( negligible asympoically ) Chung and Baillie (993) CSS ARFIMA ( bias ) 4 Cheung and Diebold (994) d ( mean-filered) MLE 0 < d < x Smih, Sowell, and Zin (997) d ( he boundary of he parameer space ) MLE d < d ( skewness ) 5 Smih, Sowell, and Zin ( over-differencing ) T x d ( L) x = ( L) ε (3.3.4) CSS 4 MLE Sowell(99) exac MLE MLE 5 d 6
32 Sowell (990) Dickey-Fuller ( uni roo process ) I() I(d) Diebold and Rudebusch (99) Hassler and Woler (994) Augmened Dickey-fuller (ADF) (power) Phillips and Perron (PP) Dickey-Fuller Lee and Schmid (996) Kwiakowski, Phillips, Schmid, and Shin (99) KPSS d < 0.5 KPSS I(d) I(0) T = 000 Lee and Schmid KPSS Lo (99) modified rescaled range (MRR) Dimann (000) ADF PP ρ PP GPH MRR Lobao-Robinson (998) LM LM GPH size Dimann (000) (00) Wald Likelihood raio Dimann (000) 7
33 Li and McLeod (986) ( approximae )MLE ARFIMA T ( ) D ( ηˆ η) N 0, I( η) (3.4.) ηˆ I(η) ( informaion marix ) ( η) L I( η) = E 6 (3.4.) T η η' η k c( η ) = δ δ H 0 : c( η ) = H a :c( η) δ Wald LR ' Wald* = [ ( ηˆ ) δ ]{ VAR[ c( ηˆ ) δ ]} [ c( ηˆ ) δ ] c (3.4.3) LR* = [ L( ηˆ R ) L( ηˆ )] (3.4.4) ) VAR( L( ) ( likelihood funcion ) k CSS ARFIMA Smih, Sowell, and Zin (997) y y y,λ 6 Li and McLeod (986) CSS, 0, (00) 8
34 0 ( 0) H : u I Ha u * : ( I d ) * d = d < 0 * H : d 0 : d * < 0 0 = H a ( lef-ail ) Wald* LR* w η d d = ( d ˆ, wˆ ) ( d ŵ ) 0, 0 T ( d d ) N[0, σ ( d, w)] d = d 0 d 0 ˆ T ( dˆ d0 ) Wald = σ ( dˆ, wˆ ) (3.4.5) LR = sign( dˆ d ){ [ ( ˆ) ( ˆ )]} / 0 L dˆ, w L d0, w0 (3.4.6) (3.4.6) LR* ( signed roo ) sign d d ) ˆ ( 0 Wald 7 7 Rohenberg (984) 9
35 Cheung and Lai (993) OLS ( consisen ) Tsay (000) N d OLS Lee Guo Lee Wu (00) y x I() v I(d) 0 < d < ( L ) x = u (3.5.) ( L) d v = υ (3.5.) u υ ARMA ( saionary Gaussian ARMA process ) φ ) ( L) u = θ( L ε φ ( L) υ θ ( L) ω = x ARIMA (p,, q) v ARFIMA (p, d, q) φ (z) θ (z) i =, ε ω E( ε ) = 0 E ( ε ) = σε E ( ω ) = 0 E ( ω ) = σω ρ ( ε, ω) = σεω σεσ ω i i 30
36 3 Case. v x y + + = β α α β a b ( ) = = = = N N N x x x v x v x a α (3.5.3) ( ) = = = N N x x Nxv x v b β (3.5.4) = = N x N x ) ( = = N v N v ) ( Case. v x y + = β β b = = = N N x x v b β (3.5.5) 0 < d < 0.5 N (3.5.3) (3.5.4) (3.5.5) ( ) ( ) ( ) B B BdB B K B B K a N H H H H L d λ α (3.5.6) ( ) ( ) ( )( ) ( ) B B B B K BdB K b N H H H H L d λ λ β (3.5.7)
37 N ( b ) L λ K H BdB H β (3.5.8) λ B d H = d = π H Γ( H ) sin ( π ) λ = θ ( ) σ ( ) λ + K H H ε φ = θ ( ) ( ) σ ω B H ( Fracional Brownian moion wih H ) φ B = B 0.5 < d < N (3.5.3) (3.5.4) (3.5.5) N d ( a ) N ( )( ) ( )( ) B BH K H B B H B B ( B) L K H α λ (3.5.9) ( b ) ( )( ) H B B H ( B) L λ K H B H B K β (3.5.0) λ B d N ( b ) L λ K H B H B β (3.5.) λ B d H = d K H = π H ( ) ( ) Γ H sin π B H ( Fracional Brownian moion wih H ) H (3.5.6) (3.5.7) (3.5.8) 0 < d < 0.5 ( weak convergence) 0.5 < d < (3.5.0) (35.) (3.5.9) ( coefficien of deerminaion ) R 3
38 < d < Lee Guo Lee Wu (3.5.6) (3.5.7) (3.5.8) (3.5.) ) φ ( ψ () î ˆi σˆ ε σˆ ω λ λ λ λ ˆ ˆ ˆ ˆ λ ˆ λ ˆ ARIMA(p,, q) û Box-Jenkins ARMA φ ˆ() θ ˆ( ) εˆ CSS ARFIMA(p, d, q) φ () θ () ωˆ ωˆ φ ˆ( ) θ ˆ( ) φˆ () ˆ () ˆ εˆ ˆ σˆ ε ω ˆ σˆ ρˆ εω θ λ λ λ λ ˆ ˆ ˆ ρˆ εω 8 (3.3.6) λ = 33
39 Mishkin (99) AREMOS (FSM) (PRICE) (CPI) AREMOS
40 I() * CSS d Ljung-Box Q-saisics Wald LR * H : d 0 : d * < 0 0 = H a M ( p dˆ * ˆ,, qˆ ) S.E. Wald LR Q(0) Q(5) BIC RMCP-I (0, 0.4, ) (0, 0.46, ) RMCP-S (0, 0., 3) (0, -0., ) PIE (0, 0.4, 3) (0, 0.5, 6) RMCP-I = ; RMCP-S = PIE = M = ( ); ( p dˆ * ˆ,, qˆ ) = ARFIMA ˆ* d = dˆ S.E. = d ˆ* Wald = Wald LR = LR Q(s) = Q-saisics s p q - d * BIC = Bayesian informaion crierion 5% 35
41 Bayesian informaion crierion BIC 9 Wald LR I() I(d) 5% Q-saisics BIC (fiing) Wald LR * d d = I() OLS I() I(d) Lee Guo Lee Wu 0.5 < d < ( sample mean ) 0 9 ˆ* d Ljung-Box Q-saisics ARMA BIC Q es Hannan (980) ARMA BIC ARFIMA dˆ* 0 I() 36
42 Q-saisics BIC * d d = I() Wald LR v i, j βπ, j = + ( L) d * v = υ φ ( L) υ = θ ( L) ω * H : d 0 : d * < 0 0 = H a M ( p dˆ * ˆ,, qˆ ) S.E. Wald LR Q(0) Q(5) BIC RMCP-I (0, -0.6, 0) (3, 0.06, 0) RMCP-S (0, -0.3, 0) v = i π i π υ = ARMA ω = RMCP-I = ; RMCP-S = M = ( ); ( p dˆ * ˆ,, qˆ ) = ARFIMA ˆ* d = dˆ S.E. = d ˆ* Wald = Wald LR = LR Q(s) = Q-saisics s - p - q - d * BIC = Bayesian informaion crierion 5% 37
43 I() ARIMA(p,, q) Box-Jenkins ARIMA(0,,8) ψˆ ψˆ ψˆ3 4 ψˆ ψˆ 5 ψ ˆ 6 ψˆ 7 ψ ˆ ARFIMA(0, 0.83, 0) ARFIMA(0, 0.86, 0) εˆ ωˆ σˆ ε σˆ ω I σˆ ω S ρˆ I ρˆ S i + v, j = βπ, j H : β H : β < 0 = a i, j ARIMA ( pˆ,, qˆ) ARFIMA ( pˆ, dˆ, qˆ) dˆ ρˆ βˆ N ( βˆ - ) ( π, j ) ( ) v λˆ λˆ CV 30- I (0,, 8) (0, 0.83, 0) S (0,, 8) (0, 0.86, 0) i π i π v = 30- I = ; 30-S = dˆ = + ˆ* d ρˆ = σˆ εω σˆ ε σˆ ω N = 50 λˆ θˆ σˆ ˆ λˆ = θˆ σˆ ˆ CV = 5% = ( ) ( ) ( ) ( ) ε φ ω φ Lee, Guo, Lee, and Wu (00, p. ) OLS 38
44 β = 39
45 ARIMA ARFIMA (a) I() (b) (c) (d) Fisher (930) 40
46 I(d ) ARFIMA- FIGARCH 4
47 (993) Fisher (99) Fisher (993) (993) (994) (997) (00) CSS OLS Wald LM LR (995) (99) Baillie, R.T., (989), Economeric Tes of Raionaliy and Marke Efficie- ncy, Economeric Review 8, pp
48 Baillie, R.T. and Bollerslev, T., (994), Coinegraion, Fracional Coinegraion, and Exchange Rae Dynamics, Journal of Finance 49, pp Barkoulas, J.T., Baum, C.F., and Oguz, G.S., (997), Fracional Dynamics in a Sysem of Long Term Inernaional Ineres Raes, Working Paper. Barsky, R.B., (987), The Fisher Hypohesis and he Forecasabiliy and Persisence of Inflaion, Journal of Moneary Economics 9, pp Blough, S.R., (99), Spurious Regressions, wih AR() Correcion and Uni Roo Prees, Johns Hopkins Univ. Bonham, C.S., (99), Correc Coinegraion Tes of he Long-Run Relaionship Beween Nominal Ineres Rae and Inflaion, Applied Economerica 55, pp Box, G.E.P. and Jenkins G.M., (976), Time Series Analysis : Forecasing and Conrol, San Francisco : Holden-Day. Brunei, C. and Gilber, C.L.,(000), Bivariae FIGARCH and Fracional Coinegraion, Journal of Empirical Finance 7, pp Campbell, J.Y. and Mankiw, N.G., (987), Are Oupu Flucuaions Transiory?, Quarerly Journal of Economics 0, pp Cheung, Y. and Diebold, F.X., (994), On Maximum Likelihood Esimaion of he Differencing Parameer of Fracionally Inegraed Noise wih Unknown Mean, Journal of Economerics 6, pp
49 Cheung, Y. and Lai, K., (993), A Fracional Coinegraion Analysis of Purchasing Power Pariy, Journal of Business and Economic Saisics, pp. 03. Choudhry, T.,(999), Re-examining Forward Marke Efficiency Evidence From Fracional and Harris-Inder Coinegraion Tes,Inernaional Review of Economics and Finance 8, pp Chung, C.F., (994), A Noe on Calculaing he Auocovariance of Fracionally Inegraed ARMA Models, Economics Leers 45, pp Chung, C.F. and Baillie, R.T., (993), Small Sample Bias in Condiional Sum-of-Square Esimaors of Fracionally Inegraed ARMA Models, Empirical Economics 8. pp Dahlhaus, R., (988), Small Sample Effecs in Time Series Analysis : A New Asympoic Theory and a New Esimae, Annals of Saisics 6, pp Darby, M.R., (975), The Financial and Tax Effecs of Moneary Policy on Ineres Raes, Economic Enquiry 3, pp Dickey, D.A. and Fuller, W.A., (979), Disribuion of he Esimaors for Auoregressive Time Series wih a Uni Roo,Journal of American Saisical Associaion 74, pp Diebold, F.X., Hused, S., and Rush, M., (99), Real Exchange Raes under he Gold Sandard, Journal of Poliical Economy 99, pp
50 Diebold, F.X. and Rudebusch, G., (99), On he Power of Dickey-Fuller Tess Agains Fracional Alernaives, Economics Leers 35, pp Dimann, I., (000), Residual-Based Tess for Fracional Coinegraion: a Mone Carlo Sudy, Journal of Time Series Analysis,pp Engle, R.F. and Granger, C.W.,(987), Coinegraion and Error Correcion: Represenaion, Esimaion, and Tesing, Economerica 55,pp Fama, E.F., (975), Shor Term Ineres Raes as Predicors of Inflaion, American Economic Review 65, pp Fama, E.F. and Gibbons, M.R., (98), Inflaion, Real Reurns, and Capial Invesmen, Journal of Moneary Economics 9, pp Feldsein, M., (976), Inflaion, Income, and he Rae of Inflaion, American Economic Review 66, pp Fisher, I., (930), The Theory of Ineres, New York, Macmillan. Fox, R. and Taqqu, M.S., (986), Large Sample Properies of Parameer E- simaes for Srongly Dependen Saionary Gaussian Time Series, Annals of Saisics 4, pp Geweke, J. and S. Porer-Hudak, (983), The Esimaion and Applicaion of Long Memory Time Series Models, Journal of Time Series Analysis 4, pp Ghazali, N.A., (999), Is he Fisher Effec for Real: Tesing he Robusness of he Long Run Fisher Effec in he G7Counries, a he h 45
51 annual Ausralian Finance and Banking Conference. Gradszeyn, I.S. and Ryzhnik, I.M.,(980), Tables of Inegrals, Series and Producs, San Diego, Calif. : Academic Press, 980. Granger, C.W.J., ( 98 ), Some Properies of Time Series Daa and Their Use in Economeric Model Specificaion,Journal of Economerics 6, pp Granger, C.W.J., (986), Developmens in he Sudy of Coinegraed Economic Variables, Oxford Bullein of Economics and Saisics 48, pp Granger, C.W.J. and Joyeux, R., (980),An Inroducion o Long-Memory Time Series Models and Fracional Differencing, Journal of Time Series Analysis, pp Granger, C.W.J. and Newbold, P., (974), Spurious Regression in Economerics, Journal of Economerics, pp. -0. Groenewold, N, (989), The Adjusmen of he Real Ineres Rae o Inflaion, Applied Economics, pp Hannan, E.J., (980), The Esimaion of he Order of an ARMA Process, Annals of Saisics 8, pp Hassler, U. and Woler, J., (994), On he Power of Uni Roo Tess Agains Fracional Alernaives, Economics Leers 45, pp. -5. Hosking, J.R.M., (98), Fracional Differencing, Biomerika 68, pp
52 Hosking, J.R.M.,(984),Modeling Persisence in Hydrological Time Series Using Fracionally Differencing, Waer Resources Research 0, pp Huizinga, J. and Mishkin, F.S., (984), Inflaion and Real Ineres Raes on Asses wih Differen Risk Characerisics, Journal of Finance 39, pp Huizinga, J. and Mishkin, F.S., (986), Moneary Policy Regime Shifs and he Unusual Behavior of Real Ineres Raes, Carnegie- Rocheser Conference Series on public Policy 4, pp Janacek, C.J., (98), Deermining he Degree of Differencing for Time Series Via he Long Specrum, Journal of Time Series Analysis 3, pp Johansen, S.,(988),Saisical Analysis of Coinegraion Vecors, Journal of Economics Dynamics and Conrol, pp Johansen, S., (99), Esimaion and Hypohesis Tesing of Coinegraion Vecors in Gaussian Vecor Auoregressive Models, Economerica 59, pp Kandel S., Ofer A.R., and Saring O., (996), Real Ineres Raes and Inflaion: An Ex-Ane Empirical Analysis, Journal of Finance LI, pp Keynes, J.M., (936), The General Theory of Employmen, Ineres and Money, London : Macmillan, 936 (95 prining). 47
53 Kwiakowski, D., Phillips, P.C.B., Schmid, P., and Shin, Y., (99), Tesing he Null Hypohesis of Saionariy agains he Alernaive of a Uni Roo: How Sure Are We ha Economic Time Series Have a Uni Roo?, Journal of Economerics 54, pp Lee, C., Guo, M., Lee, S., and Wu, J., (00), Asympoic Disribuions of he Ordinary Leas Squares Esimaors of Fracional Coinegraing Vecor, Working Paper (Ins. of Economics, Naional Sun Ya-sen Univ., Kaohsiung, Taiwan ). Lee, D. and Schmid, P., (996), On he Power of he KPSS Tes of Saionariy Agains Fracionally Inegraed Alernaives, Journal of Economerics 73, pp Li, W.K. and McLeod, A.I., (986), Fracional Time Series Modeling, Biomerika 73, 7-. Lo, A.W., (99), Long-Term Memory in Sock Marke Prices, Economerica 59, pp Lobao, I.N. and Robinson, P.M., (998), A Nonparameric Tes for I(0), Review of Economic Sudies 65, pp Macdonald, R. and Murphy, P.D., (989), Tesing for he Long Run Relaionship Beween Nominal Ineres Raes and Inflaion Using Coinegraion Techniques, Applied Economics, pp McLeod, A.I. and Hipel, K.W., (978), Preservaion of he Rescaled Adjused Range : a Reassessmen of he Hurs Phenomenon, Waer Resources Research 4, pp
54 Mishkin, F.S., (98), The Real Rae of Ineres: An Empirical Invesigaion, The Cos and Consequences of Inflaion, Carnegie-Rocheser Conference Series on public Policy 5, pp Mishkin, F.S., (988), Undersanding Real Ineres Raes, American Journal of Agriculural Economics 70, pp Mishkin, F.S.,(990), Wha Does he Term Srucure of Ineres Raes Tell Us Abou Fuure Inflaion?, Journal of Moneary Economics 5, pp Mishkin, F.S., (99), Is he Fisher Effec for Real: A Reexaminaion of he Relaionship Beween Inflaion and Ineres Raes, Journal of Moneary Economics 30, pp Mishkin, F.S., (995), Nonsaionariy of Regressors and Tess on Real- Ineres-Rae Behavior, Journal of Business and Economic Saisics 3, pp Mundell, R.,(963), Inflaion and Real Ineres, Journal of Poliical Economy 7, pp Muh, J., (96), Raional Expecaions and he Theory of Price Movemens, Economerica 9, pp Nelson, C.R. and Plosser, C.I.,(98), Trends and Random Walks in Macroeconomic Time Series, Journal of Moneary Economics 0, pp Nelson, C.R. and Schwer, G.W.,(977), Shor Term Ineres Raes as Predicors of Inflaion: On Tesing he Hypohesis ha he Real Rae 49
55 of Ineres is Consan, American Economic Review 67,pp Newey, W. and Wes, K., (987), A Simple Posiive Definie, Heeroskedasiciy and Auocorrelaion Consisen Covariance Marix, Economerica 53, pp Ohlin, B., (937), Alernaive Theories of he Rae of Ineres: Rejoinder, Economic Journal 47 (3), pp Phillips, P.C.B., (986), Undersanding Spurious Regression in Economerics, Journal of Economerics 33, pp Phillips, P. and Perron P., (988), Tesing for a Uni Roo in Time Series Regression, Biomerica 75, pp Quand, R.E.,(960), Tess of Hypohesis ha A Linear Regression Sysem Obeys Two Separae Regime, Journal of he American Saisical Associaion 55, pp Roberson, D.H., (937), Alernaive Theories of he Rae of Ineres: Re- joinder, Economic Journal 47 (3), pp Rose, A.K., (988) Is he Real Ineres Rae Sable?, Journal of Finance 43, pp Rohenberg, T.J., (984), Approximaing he Disribuions of Economeric Esimaors and Tes Saisics, Handbook of Economerics, Volume II. Shea, G.S., (990), Uncerainy and Implied Variance Bounds in Long Memory Model of he Ineres Rae Term Srucure, Empirical 50
56 Economics 6, pp Smih, A.A.J., Sowell, F., and Zin, S.E.,(997),Fracional Inegraion wih Drif: Esimaion in Small Samples, Empirical Economics, pp Sowell, F., (990), The Fracional Uni Roo Disribuion, Economerica 58, pp Sowell, F.,(99), Maximum Likelihood Esimaion of Saionary Univariae Fracionally Inegraed Time Series Models, Journal of Economerics 53, pp Summers, L.H., (983), The Non-Adjusmen of Nominal Ineres Raes: A Sudy of he Fisher Effec, in James Tobin, ed. A Symposium in Honor of Arhur Okun ( Brookings Insiuion Washingon D.C. ) Tobin, J., (965), Money and Economic Growh, Economerica 33, pp Tsay, W.J., (000), Esimaing Trending Variables in he Presence of Fracionally Inegraed Errors, Economeric Theory 6, pp Wallace, M.S. and Warner, J.T., (993), The Fisher Effec and he Term Srucure of Ineres Raes: Tess of Coinegraion, The Review of Economics and Saisics 75, pp Wicksell, K., (898), Ineres and Prices, English version ranslaed and edied by R. F. Kahn, reprined New York: A. Kelley, 965. Yule, G.U., (96), Why Do We Someimes Ge Nonsense Correlaions Beween Time Series? A Sudy in Sampling and he Naure of 5
57 Time Series, Journal of he Royal Saisical Sociey 89, pp
《金融评论》投稿 封面
The Choice of he Inermediae Targe of Moneary Policy in China 968 993 5 0073 85957073683550599 yqzhang@cass.org.cn MM 994Q-008Q4 VECM M M GDPCPI M M M 007 VECM JEL E5C3E58 The Choice of he Inermediae Targe
More informationuntitled
90 Garbade ilber(1983)garbade ilber Bigman Goldfarb chechman(1983) Maberly(1985) Elam Dixon 1988 Bigman Engle Granger 1987 Johansen 1988 Johansen Juselius 1990 Lai Lai 1991 Ghosh 1993 orenbery Zapaa 1997
More informationinvesigae he lag relaionship linkage beween he sock marke of U.S. and he sock of Japan and he sock of Taiwan.According o he empirical resuls analysis,
Discussing he linkage beween he sock marke of U.S. and he sock of Japan and he sock of Taiwan Ching-jun Hsu, Associae Professor, Deparmen of Financial Managemen, Nan-Hua Universiy Ming-Heng Wu, Posgraduae
More information基於VECM模型的散裝運輸運價BDI指數之預測
24 年 8 月 第 十 七 卷 三 期 Vol. 7, No. 3, Augus 24 以 VECM 探 討 台 灣 國 中 教 師 人 力 需 求 的 預 測 模 型 張 博 一 張 任 坊 張 紹 勳 hp://cmr.ba.ouhk.edu.hk 中 華 管 理 評 論 國 際 學 報 第 十 七 卷 第 三 期 以 VECM 探 討 台 灣 國 中 教 師 人 力 需 求 的 預 測 模
More information深圳股票市场稳定性研究报告
2003. 2. 13 0067 (1) (2) S&P500 (1) 1997 S&P500 1997 (2) 1998 1999 S&P500 2000 S&P500 (3) S&P500 65% S&P500 40% (4) 1997 S&P500 SWITCH-ARCH (1) (2) 1997 (3) ST PT B (1) (2) (3) (4) ST PT I....5 II....9
More informationTaiwan Fuures Exchange, TAIFEX TAIFEX Taiwan Sock Index Fuures 00 4 expiraion eec S&P 500 ( ). Kawaller, Koch and Koch 987 S&P
004 May, 0 pp99-8 leehero00@yahoo.com.w 00 4 00 4 003 8 3 45 ( ) ADF ( ) Granger ( ) (VAR) (SSM) : Sudy o an invesigaion o he relaionship among Taiwan s Spo, Fuures and Opions prices -The Applicaion o
More information004 6 volailiy Hull Whie(987) vega( kappa) innovaion erm Poerba Summers(986) French, Schwer Sambaugh(987) Bollerslev, Engle Wooldridge (988) Bailie De
004 6-3 CARR(Condiional Auo-Regression Range) CARR GARCH CARR GARCH Chou(00) S P500 CARR CARR GARCH 004 6 volailiy Hull Whie(987) vega( kappa) innovaion erm Poerba Summers(986) French, Schwer Sambaugh(987)
More informationCPI Facor-Augmened Vecor Auoregressive FAVAR Sargen & Sims 1977 Giannone e al Sock & Wason 2002a Bai & Ng 2006 Bernanke e al FAVAR Boivin
2012 12 * CPI FAVAR CPI 5 2010 2011 134% CPI 2001 CPI 2002 2002Q2-1. 1 2002 2004Q3 5. 3 2006Q1 1. 2 8 2008Q1 8 2009Q2-1. 5 2011 7 6. 5% CPI 2008 2009 2011 2008 2009 2010 * 430074 wangspi@ sina. com 430074
More information报告总结
CFEF RR/04/0 CAViaR RR/04/0 004 CAViaR 00080 VaR VaR Engle Manganelli 999 VaR CAViaR Chow CAViaR B Engle Manganelli CAViaR Absrac: Value-a-Risk (VaR) has become a sandard ool o measure marke risk widely
More information按揭贷款、资产回报与房地产价格
2002 : 1997 1997 4 1997 4 100 2004 4 1997 4 24.0% 28.7% 2004 4 10.3% 11.1%2005 1 12.5% 5.8 13.5% 7 2005 1 35 8 10% 19.9% 16.5%14.7%13.7%12.4%11.9%11.4% 11.2%2001 1 1 95 100 105 110 115 1998-03 1998-09
More informationuntitled
Sock Volailiy Models and he Pricing of Warrans 36005 005 0 Hong & Li 005 Absrac This paper used a lo of popular volailiy models o sudy he dynamic behavior of underlying sock and hen used Hong & Lee (005)
More information24 OECD 1960~2002 CO 2 GDP 43% GDP EKC 2007 [16] GDP U GDP 1996 U N GDP Musolesi e al [17] Brock and Taylor 2010 [1] ~ 2001 CO 2
2014 4 36 4 Joumal of Shanxi Finance and Economics Universiy Apr. 2014 Vol.36 No.4 361005 ~ F205 [ ] A [ ] 1007-9556 2014 04-0014- 13 The Influence of Economic Growh o Environmenal Polluion and Regional
More information2004 8, Gebhard,Lee Swaminahan(2000) (Discouned Residual Income Model) Fama French(1999),, Fama French(1999),,Wu, Sercu,and Chen(2000) FF ( ), ( Keire
:A 3 A ( 100871) : Fama French (1999), 1990 2001 A,, 1990 2001 :, Fama French(1999) ( ) ( FF ) FF : ( IRR on Value) ( IRR on Cos), FF, 1990 2001 A, : ;, ; (Cos of Capial), Miller Modigliani (1966) ( ),
More information中国封闭式基金折价问题研究
panel GARCH EGARCH 3 EGARCH - - 4. 4. 5.. LIQUIDITY 5.. MANAGERIAL PERFORMANCE THEORY 5..3 INVESTOR SENTIMENT THEORY RATIONAL EXPECTATION THEORY 6..4 MARKET FRICTIONS 6.3 7 8. 8. 8.. 8.. 9.3.3..3. 3 3
More information% 5 CPI CPI PPI Benjamin et al Taylor 1993 Cukierman and Gerlach 2003 Ikeda 2013 Jonas and Mishkin
2016 9 435 No. 9 2016 General No. 435 130012 1996 1-2016 6 LT - TVP - VAR LT - TVP - VAR JEL E0 F40 A 1002-7246201609 - 0001-17 2016-03 - 20 Emailjinquan. edu. cn. Email1737918817@ qq. com. * 15ZDC008
More informationΖ # % & ( ) % + & ) / 0 0 1 0 2 3 ( ( # 4 & 5 & 4 2 2 ( 1 ) ). / 6 # ( 2 78 9 % + : ; ( ; < = % > ) / 4 % 1 & % 1 ) 8 (? Α >? Β? Χ Β Δ Ε ;> Φ Β >? = Β Χ? Α Γ Η 0 Γ > 0 0 Γ 0 Β Β Χ 5 Ι ϑ 0 Γ 1 ) & Ε 0 Α
More informationWorld Economic Papers October, 2012 * Zeldes 1989 Shea 1995 Drakos Campbell and Mankiw 1989 LC-PIH 2007 Deng and Jin 2008 λ
2012 5 World Economic Papers October, 2012 * 1980 1990 Zeldes 1989 Shea 1995 Drakos 2002 2003 Campbell and Mankiw 1989 LC-PIH 2007 Deng and Jin 2008 λ 2002 2009 2010 2012 2005 2008 2009 2008 2009 1995
More informationuntitled
Co-integration and VECM Yi-Nung Yang CYCU, Taiwan May, 2012 不 列 1 Learning objectives Integrated variables Co-integration Vector Error correction model (VECM) Engle-Granger 2-step co-integration test Johansen
More information(156) / Spurious Regression Unit Root Test Cointergration TestVector Error Correction Model Granger / /
(155) * ** / / / / 1973 ~1974 1979 ~1980 1987 ~1989 * ** (156) 1990 2004 1997 1996 1980 / Spurious Regression Unit Root Test Cointergration TestVector Error Correction Model Granger / / (157) Hedonic Price
More information! # % & ( & # ) +& & # ). / 0 ) + 1 0 2 & 4 56 7 8 5 0 9 7 # & : 6/ # ; 4 6 # # ; < 8 / # 7 & & = # < > 6 +? # Α # + + Β # Χ Χ Χ > Δ / < Ε + & 6 ; > > 6 & > < > # < & 6 & + : & = & < > 6+?. = & & ) & >&
More information南華大學數位論文
A THESIS FOR THE DEGREE OF MASTER OF BUSINESS ADMINISTRATION INSTITUTE OF FINANCIAL MANAGEMENT NAN HUA UNIVERSITY A STUDY OF THE RELATIONSHIPS BETWEEN SHORT INTEREST FUTURES AND SPOTS OF THE THREE-MONTH
More information/ / Critical Mass of Web Servers * Network economics Network externalities positive feedback effect Critical Mass WWW
/ 45-57 *rialin7@yahoo.com.w Criical Mass of Web Servers * Nework economics Nework exernaliies posiive feedback effec Criical Mass WWW WWW es WWW es Nework exernaliies Kaz and Shapiro 1985 Rohlfs 1974
More informationuntitled
300 (ADF) (VEM) 300 2006 9 5 A50 2006 9 8 CFFEX 10 30 300 300 2007 1 19 6 3 300 300 Kawaller Koch(1987) S&P 500 S&P 500 20~45 1 Stoll Whaley(1990) ARMA 2 3 S&P 500 MMI S&P 500 MMI 5 Abhyankar(1995) FTSE
More information<4D6963726F736F667420576F7264202D20B0EABBDAADECAA6FBB50B0EAA4BAA854AEE3AA6FBBF9AEE6C5DCB0CAA4A3B9EFBAD9A4A7C0CBC3D2A5FEA4E530343239ADD72E646F6378>
國 際 原 油 與 國 內 車 用 汽 油 價 格 之 關 連 分 析 : 不 對 稱 誤 差 修 正 模 型 之 應 用 * 林 灼 榮 劉 浩 然 摘 要 台 灣 是 個 高 度 仰 賴 能 源 進 口 之 國 家, 對 原 油 進 口 依 存 度 接 近 %, 近 來 國 際 油 價 大 幅 上 漲, 在 現 行 浮 動 油 價 機 制 下, 國 內 油 價 跟 著 調 漲 而 衝 擊 到 車
More information4/09 4/15 4/21 4/25 5/07 5/13 5/19 5/23 5/29 6/04 6/10 6/16 6/20 6/26 7/02 7/08 第 2 期 湖 南 人 文 科 技 学 院 大 学 生 学 报 2 由 表 1 可 知, 白 银 期 货 价 格 序 列 与 现 货 价 格
第 2 期 湖 南 人 文 科 技 学 院 大 学 生 学 报 No.2 2015 年 3 月 Journal of College Sudens of Hunan Universiy of Huaniies, Science and Technology Mar.2015 白 银 期 货 与 现 货 价 格 引 导 关 系 研 究 麦 琼 辉, 吴 丽 萍, 黄 姿 ( 湖 南 人 文 科 技 学
More information中國概念股股價與投資績效之研究
中 國 概 念 股 股 價 與 投 資 績 效 之 研 究 A Sudy on Sock Prices and Invesmen Performances of Taiwan s China-Concep Socks 徐 清 俊 郭 敏 吉 南 華 大 學 財 務 管 理 研 究 所 摘 要 大 陸 經 濟 對 外 政 策 開 放 後, 資 本 市 場 快 速 發 展, 改 變 大 陸 地 區 投
More informationuntitled
o& α P( VH VaR) = α VH V 1 α Ω X : Ω R X ( ω) ω Ω S() T K max { ST ( ) K,0} Θ Ω ρ : Θ R ρ X Θc R ρ( X + c) = ρ( X) c X Y Θ ρ( X + Y) ρ( X) + ρ( Y) λ 0 X Θ ρ( λx ) = λρ( X ) X Y Θ X Y ρ( X ) ρ( Y ) X c
More information組織變革活動系絡與變革成效之探討
輔 仁 管 理 評 論 中 華 民 國 0 年 5 月, 第 二 十 卷 第 二 期,-6 臺 灣 股 票 指 數 現 貨 期 貨 選 擇 權 三 市 場 的 基 差 及 價 差 變 動 行 為 探 討 ~ 應 用 ANST-GARCH 古 永 嘉 游 忠 儒 ( 收 稿 日 期 :0 年 07 月 09 日 ; 第 一 次 修 正 0 年 08 月 07 日 ; 第 二 次 修 正 0 年 09
More informationuntitled
26 2006 年 5 251~262 數 易 理 利 不 EGARCH 料 2003 年 1 1 2004 年 12 31 483 數 數 料 數 料 來 易 兩 領 落 1. 數 2. 數 不 易 EGARCH 論 金 數 WTO 金 流 金 金流 度 更 金 數 流 數 契 易 易來 例 易 了 易 易 易 數 行 數 易 易 領 來 了 數 參 來 不 易 易 251 26 易 更 易 利
More information1970 Roulac (1996) (shock) (structure change) Barras and Ferguson (1985) Barras (1994) (1990) (1996) (1997) 1
1970 Roulac (1996) (shock) (structure change) Barras and Ferguson (1985) Barras (1994) (1990) (1996) (1997) 1 (1998) 1990 (Unit Root Test) (Cointegration) (Error Correction Model) 1 (1996) 2 (1990) 2 Barras
More informationMicrosoft Word - paper.doc
國 際 油 價 振 盪 轉 嫁 至 各 分 類 物 價 指 數 程 度 及 其 變 遷 : 台 灣 的 實 證 研 究 元 智 大 學 管 理 學 院 * 曾 翊 恆 佛 光 大 學 經 濟 學 系 ** 周 國 偉 * 本 文 聯 繫 作 者 現 為 元 智 大 學 管 理 學 院 國 際 企 業 學 群 助 理 教 授 ** 本 文 協 同 作 者 現 為 佛 光 大 學 經 濟 學 系 助 理
More information! /. /. /> /. / Ε Χ /. 2 5 /. /. / /. 5 / Φ0 5 7 Γ Η Ε 9 5 /
! # %& ( %) & +, + % ) # % % ). / 0 /. /10 2 /3. /!. 4 5 /6. /. 7!8! 9 / 5 : 6 8 : 7 ; < 5 7 9 1. 5 /3 5 7 9 7! 4 5 5 /! 7 = /6 5 / 0 5 /. 7 : 6 8 : 9 5 / >? 0 /.? 0 /1> 30 /!0 7 3 Α 9 / 5 7 9 /. 7 Β Χ9
More information中国沪深股票市场流动性研究
1 1.1 1.2 2 2.1 2.2 3 3.1 3.2 4 4.1 4.2 4.3 5 bid-ask bidask 1 2 2-1 L RISK Madhavan(1992) JN L JN L 1 2 GARCH 1 1.1 commonaliy rade mechanism 1.1.1 marke microsrucure Garmam(1976), KrausSoll (1972) NWSE
More informationΡ Τ Π Υ 8 ). /0+ 1, 234) ς Ω! Ω! # Ω Ξ %& Π 8 Δ, + 8 ),. Ψ4) (. / 0+ 1, > + 1, / : ( 2 : / < Α : / %& %& Ζ Θ Π Π 4 Π Τ > [ [ Ζ ] ] %& Τ Τ Ζ Ζ Π
! # % & ( ) + (,. /0 +1, 234) % 5 / 0 6/ 7 7 & % 8 9 : / ; 34 : + 3. & < / = : / 0 5 /: = + % >+ ( 4 : 0, 7 : 0,? & % 5. / 0:? : / : 43 : 2 : Α : / 6 3 : ; Β?? : Α 0+ 1,4. Α? + & % ; 4 ( :. Α 6 4 : & %
More information&! +! # ## % & #( ) % % % () ) ( %
&! +! # ## % & #( ) % % % () ) ( % &! +! # ## % & #( ) % % % () ) ( % ,. /, / 0 0 1,! # % & ( ) + /, 2 3 4 5 6 7 8 6 6 9 : / ;. ; % % % % %. ) >? > /,,
More information摘 要
陽 光 效 應 對 股 票 報 酬 與 波 動 的 不 對 稱 影 響 - 以 台 灣 股 市 為 例 李 源 明 南 台 科 技 大 學 財 務 金 融 系 王 冠 閔 僑 光 科 技 大 學 財 務 金 融 系 * 摘 要 本 文 以 台 灣 股 市 大 盤 指 數 為 研 究 樣 本, 在 一 般 化 殘 差 分 配 的 設 定 下, 加 入 美 國 道 瓊 股 價 指 數 作 為 美 股 對
More information22 Journal of Taiwan Land Research Vol. 10, No.2 pp. 1~22 * ** 摘 要 ARCH GARCH Markov-Switch-ARCH SWARCH ARCH-M *
22 Journal of Taiwan Land Research Vol. 10, No.2 pp. 1~22 * ** 0 0 0 20 摘 要 ARCH GARCH Markov-Switch-ARCH SWARCH ARCH-M * E-mail: trista2@mail.stut.edu.tw ** E-mail: mcchen@finance.nsysu.edu.tw Housing
More information8 9 8 Δ 9 = 1 Η Ι4 ϑ< Κ Λ 3ϑ 3 >1Ε Μ Ε 8 > = 8 9 =
!! % & ( & ),,., / 0 1. 0 0 3 4 0 5 3 6!! 7 8 9 8!! : ; < = > :? Α 4 8 9 < Β Β : Δ Ε Δ Α = 819 = Γ 8 9 8 Δ 9 = 1 Η Ι4 ϑ< Κ Λ 3ϑ 3 >1Ε 8 9 0 Μ Ε 8 > 9 8 9 = 8 9 = 819 8 9 =
More information! Ν! Ν Ν & ] # Α. 7 Α ) Σ ),, Σ 87 ) Ψ ) +Ε 1)Ε Τ 7 4, <) < Ε : ), > 8 7
!! # & ( ) +,. )/ 0 1, 2 ) 3, 4 5. 6 7 87 + 5 1!! # : ;< = > < < ;?? Α Β Χ Β ;< Α? 6 Δ : Ε6 Χ < Χ Α < Α Α Χ? Φ > Α ;Γ ;Η Α ;?? Φ Ι 6 Ε Β ΕΒ Γ Γ > < ϑ ( = : ;Α < : Χ Κ Χ Γ? Ε Ι Χ Α Ε? Α Χ Α ; Γ ;
More informationelections. In addition, the positive CARs exist during the full event date that indicates the election bull run do happen in Taiwan. When incumbent go
A Study on the Relationship between of Election and Taiwan s Stock Market 992 9 2004 9 GARCH GARCH Ching-Jun, Hsu Wen-Yan Yu, Institute of Financial Management, Nan Hua University ABSTRACT This study examines
More information4= 8 4 < 4 ϑ = 4 ϑ ; 4 4= = 8 : 4 < : 4 < Κ : 4 ϑ ; : = 4 4 : ;
! #! % & ( ) +!, + +!. / 0 /, 2 ) 3 4 5 6 7 8 8 8 9 : 9 ;< 9 = = = 4 ) > (/?08 4 ; ; 8 Β Χ 2 ΔΔ2 4 4 8 4 8 4 8 Ε Φ Α, 3Γ Η Ι 4 ϑ 8 4 ϑ 8 4 8 4 < 8 4 5 8 4 4
More information1 a benevolen governmen Baaglini Coae 005 Golosov 007 Berola 1993 Peroi 1993 Alesina Rodrik 1994 a self - ineresed governmen Besley Case 1995 Acemoglu
1 3 U U 4 510006 dengkebin@ mail. gdufs. edu. cn 361005 wym@ xmu. edu. cn 71003030 7107303 09&ZD01 10CJ010 09YJC79005 09E03 JA11010S 10Y05 1 3 1 a benevolen governmen Baaglini Coae 005 Golosov 007 Berola
More information?,,? (SVAR),,:VAR () VAR Cugado & P rez de Gracia (2003),, :,, Cugado & P rez de Gracia (2005), 6, (2006),, CPI Cologni & Manera (2
: 3 :,,:,, ; SVAR, 1 PPI,,6 PPI ; CPI, CPI : SVAR, (CPI),,,(PPI),,,,, 2008,2008 1 9,,,, 6 20,, 1713 %, 711 %, 818 %,,, Lin &Liu (2009),,,,2008,,, 2009,, 50 %,,,,,,, 3,, :361005, :bqlin @xmu. edu. cn (70841025),
More information., /,, 0!, + & )!. + + (, &, & 1 & ) ) 2 2 ) 1! 2 2
! # &!! ) ( +, ., /,, 0!, + & )!. + + (, &, & 1 & ) ) 2 2 ) 1! 2 2 ! 2 2 & & 1 3! 3, 4 45!, 2! # 1 # ( &, 2 &, # 7 + 4 3 ) 8. 9 9 : ; 4 ), 1!! 4 4 &1 &,, 2! & 1 2 1! 1! 1 & 2, & 2 & < )4 )! /! 4 4 &! &,
More information% 2 2% 5 2% 6 3% 5% - % McCallum Arseneau Woodfood ACEL Williams 6 - SGU CGW 2 7 SGU 2% 6 Friedman CGW DSGE-VAR CGW 8 % 2% SGU CGW SGU CGW 95
6 5 23 5 JOURNAL OF MANAGEMENT SCIENCES IN CHINA Vol 6 No 5 May 23 292 Ramsey Ramsey 2% Ramsey F5 A 7-987 23 5-3 - 6 2% Blanchard Friedman 2 helps 3 3 28 Chrisonian 4 Friedman helps 2 2 3 Taylor 5 2 -
More informationuntitled
1 2003 2 34 U L S 5 20022000 1 2 n n t t L = v r 100 = 1 t = 1 t v t tt-r t 3 1SHFE 4 2SHFE 5 6 KW DF Pr > KW KW DF Pr > KW 3 7 8 4 9 10 SHFE 1 r t+i t i t m 2 1/2 rti, i= 1 σ = ( ) t m 11 2 ADF τ Pr>
More information!! # % & ( )!!! # + %!!! &!!, # ( + #. ) % )/ # & /.
! # !! # % & ( )!!! # + %!!! &!!, # ( + #. ) % )/ # & /. #! % & & ( ) # (!! /! / + ) & %,/ #! )!! / & # 0 %#,,. /! &! /!! ) 0+(,, # & % ) 1 # & /. / & %! # # #! & & # # #. ).! & #. #,!! 2 34 56 7 86 9
More information中国人民银行工作论文 No.2015/12
中 国 人 民 银 行 工 作 论 文 No.206/4 PBC Working Paper No.206/4 206 年 4 月 8 日 April 8,206 货 币 政 策 通 过 银 行 体 系 的 传 导 纪 敏 张 翔 牛 慕 鸿 马 骏 摘 要 : 本 文 首 先 定 性 分 析 了 我 国 商 业 银 行 存 贷 款 利 率 定 价 的 机 制 和 面 临 的 问 题, 然 后 用
More information<4D F736F F D B0D3ACE3A9D2A44ABEC7B2CEAD70A6D2C A8F729>
准考證號碼 : ( 請考生自行填寫 ) 商研. 財金. 國際商務研究所筆試科目 : 統計學共 6 頁, 第 1 頁 注意事項 1. 本科目合計 1 分, 答錯不倒扣. 請於答案卷上依序作答, 並標註清楚題號 ( 含小題 ) 3. 考完請將答案卷及試題一併繳回 (14) 1.761, (14).145, (15) 1.753, (15).131, (16) 1.746, (16).1, (8).48,
More information= Υ Ξ & 9 = ) %. Ο) Δ Υ Ψ &Ο. 05 3; Ι Ι + 4) &Υ ϑ% Ο ) Χ Υ &! 7) &Ξ) Ζ) 9 [ )!! Τ 9 = Δ Υ Δ Υ Ψ (
! # %! & (!! ) +, %. ( +/ 0 1 2 3. 4 5 6 78 9 9 +, : % % : < = % ;. % > &? 9! ) Α Β% Χ %/ 3. Δ 8 ( %.. + 2 ( Φ, % Γ Η. 6 Γ Φ, Ι Χ % / Γ 3 ϑκ 2 5 6 Χ8 9 9 Λ % 2 Χ & % ;. % 9 9 Μ3 Ν 1 Μ 3 Φ Λ 3 Φ ) Χ. 0
More information! # % & # % & ( ) % % %# # %+ %% % & + %, ( % % &, & #!.,/, % &, ) ) ( % %/ ) %# / + & + (! ) &, & % & ( ) % % (% 2 & % ( & 3 % /, 4 ) %+ %( %!
! # # % & ( ) ! # % & # % & ( ) % % %# # %+ %% % & + %, ( % % &, & #!.,/, % &, ) ) ( % %/ ) 0 + 1 %# / + & + (! ) &, & % & ( ) % % (% 2 & % ( & 3 % /, 4 ) %+ %( %! # ( & & 5)6 %+ % ( % %/ ) ( % & + %/
More informationΠ Ρ! #! % & #! (! )! + %!!. / 0% # 0 2 3 3 4 7 8 9 Δ5?? 5 9? Κ :5 5 7 < 7 Δ 7 9 :5? / + 0 5 6 6 7 : ; 7 < = >? : Α8 5 > :9 Β 5 Χ : = 8 + ΑΔ? 9 Β Ε 9 = 9? : ; : Α 5 9 7 3 5 > 5 Δ > Β Χ < :? 3 9? 5 Χ 9 Β
More information2008 12,,,,,,,,, Lucas (1973) Sargen (1971),,, Hansen Singleon (1982) GMM () Gal Gerler (1999) GMM, Xiao e al (2008),GMM,,,,,,, (2004),,, (2005),,,,,
: 3 :, Gordon (1996) Galand Gerler (1999),,, GMM,,,, : Phillips(1958),,,, 50,,, Gordon (1996), Gal Gerler (1999),,,,,,,,,,,, Calvo (1983) Gal Gerler (1999), ( ),, 3,, :100872, :cyb @ruc. edu. cn 985,,
More information/ Ν #, Ο / ( = Π 2Θ Ε2 Ρ Σ Π 2 Θ Ε Θ Ρ Π 2Θ ϑ2 Ρ Π 2 Θ ϑ2 Ρ Π 23 8 Ρ Π 2 Θϑ 2 Ρ Σ Σ Μ Π 2 Θ 3 Θ Ρ Κ2 Σ Π 2 Θ 3 Θ Ρ Κ Η Σ Π 2 ϑ Η 2 Ρ Π Ρ Π 2 ϑ Θ Κ Ρ Π
! # #! % & ( ) % # # +, % #. % ( # / ) % 0 1 + ) % 2 3 3 3 4 5 6 # 7 % 0 8 + % 8 + 9 ) 9 # % : ; + % 5! + )+)#. + + < ) ( # )# < # # % 0 < % + % + < + ) = ( 0 ) # + + # % )#!# +), (? ( # +) # + ( +. #!,
More informationuntitled
(19) * ** 2001-2007 panel data logistic logistic regression model factor analysisprinciple component analysis 1997 * ** (20) 1998 1990 陸 2001 WTOworld trade organization 臨 2000 11 24 2001 6 27 (21) 2000
More information!! )!!! +,./ 0 1 +, 2 3 4, # 8,2 6, 2 6,,2 6, 2 6 3,2 6 5, 2 6 3, 2 6 9!, , 2 6 9, 2 3 9, 2 6 9,
! # !! )!!! +,./ 0 1 +, 2 3 4, 23 3 5 67 # 8,2 6, 2 6,,2 6, 2 6 3,2 6 5, 2 6 3, 2 6 9!, 2 6 65, 2 6 9, 2 3 9, 2 6 9, 2 6 3 5 , 2 6 2, 2 6, 2 6 2, 2 6!!!, 2, 4 # : :, 2 6.! # ; /< = > /?, 2 3! 9 ! #!,!!#.,
More informationΒ 8 Α ) ; %! #?! > 8 8 Χ Δ Ε ΦΦ Ε Γ Δ Ε Η Η Ι Ε ϑ 8 9 :! 9 9 & ϑ Κ & ϑ Λ &! &!! 4!! Μ Α!! ϑ Β & Ν Λ Κ Λ Ο Λ 8! % & Π Θ Φ & Ρ Θ & Θ & Σ ΠΕ # & Θ Θ Σ Ε
! #!! % & ( ) +,. /. 0,(,, 2 4! 6! #!!! 8! &! % # & # &! 9 8 9 # : : : : :!! 9 8 9 # #! %! ; &! % + & + & < = 8 > 9 #!!? Α!#!9 Α 8 8!!! 8!%! 8! 8 Β 8 Α ) ; %! #?! > 8 8 Χ Δ Ε ΦΦ Ε Γ Δ Ε Η Η Ι Ε ϑ 8 9 :!
More information11第十一章階層線性模式.DOC
11.1 11.1.1 (student-level) (personal-level) ( ) (school-level) (organization-level) ( ) 1. (disaggregation) (estimated standard errors) (type one error). (aggregation) (within-group) (1997) (hierarchical
More informationuntitled
WTIWTI 1 6 Crowder Hamed1993 WTI Silvapulle Moosa1999 Ewig Harer000 Li Tamvakis001 WTI Bre WTI Miloas Heker001 WTI Bre 3 WTI WTI WTI Bre Boy WTI Bre Boy WTI Nomikos Alizadeh00 1 IPE NYMEX 3 WTI WTI NYMEX
More information<4D F736F F D203130A1A1BDF0D2F8C1C1A1A1A3A8C0EEA3A92E646F63>
( ) 2014 4 15 2 Journal of Hunan Agriculural Universiy (Social Sciences), Apr. 2014, 15(2):58 63 DOI: 10.13331/j.cnki.jhau(ss).2014.02.010 人力资本 全要素生产率与经济增长的相关性 基于中国 1952 2004 年数据的验证 金银亮 ( 225300) 摘要 1952
More information) Μ <Κ 1 > < # % & ( ) % > Χ < > Δ Χ < > < > / 7 ϑ Ν < Δ 7 ϑ Ν > < 8 ) %2 ): > < Ο Ε 4 Π : 2 Θ >? / Γ Ι) = =? Γ Α Ι Ρ ;2 < 7 Σ6 )> Ι= Η < Λ 2 % & 1 &
! # % & ( ) % + ),. / & 0 1 + 2. 3 ) +.! 4 5 2 2 & 5 0 67 1) 8 9 6.! :. ;. + 9 < = = = = / >? Α ) /= Β Χ Β Δ Ε Β Ε / Χ ΦΓ Χ Η Ι = = = / = = = Β < ( # % & ( ) % + ),. > (? Φ?? Γ? ) Μ
More information中国金融体系运行效率分析(提纲)
20 90 6 1...1 1.1...1 1.1.1...1 1.1.2...3 1.2...6 1.2.1...6 1.2.2...7 2...8 2.1...9 2.1.1...9 2.1.2...11 2.2...13 2.2.1...13 2.2.2...15 2.3...17 2.3.1...17 2.3.2...20 3...21 3.1...22 3.1.1...22 3.1.2...25
More information# # # #!! % &! # % 6 & () ) &+ & ( & +, () + 0. / & / &1 / &1, & ( ( & +. 4 / &1 5,
# # # #!! % &! # % 6 & () ) &+ & ( & +, () + 0. / & / &1 / &1, & ( 0 2 3 ( & +. 4 / &1 5, !! & 6 7! 6! &1 + 51, (,1 ( 5& (5( (5 & &1 8. +5 &1 +,,( ! (! 6 9/: ;/:! % 7 3 &1 + ( & &, ( && ( )
More information,!! #! > 1? = 4!! > = 5 4? 2 Α Α!.= = 54? Β. : 2>7 2 1 Χ! # % % ( ) +,. /0, , ) 7. 2
! # %!% # ( % ) + %, ). ) % %(/ / %/!! # %!! 0 1 234 5 6 2 7 8 )9!2: 5; 1? = 4!! > = 5 4? 2 Α 7 72 1 Α!.= = 54?2 72 1 Β. : 2>7 2 1 Χ! # % % ( ) +,.
More informationVaR 3.1 VaR 3.2 VaR
D 1 1. 2 2.1 2.2 2.3 2.4 2.5 3. VaR 3.1 VaR 3.2 VaR 3.3 4. 2 VaR VaR a-garch VaR Black-Scholes 1., 1998 VaR VaR-covered porfolio insurance 3 Upside Capure 2 Perold and Sharpe 1988 Rubinsein 1985 Black
More informationBlack & choles Hull & Whie GARCH GARCH EGARCH EGARCH EGARCH GARCH EGARCH EGARCH GARCH GARCHEGARCH I
Black & choles Hull & Whie GARCH GARCH EGARCH EGARCH EGARCH GARCH EGARCH EGARCH GARCH GARCHEGARCH I Absrac ubprime morgage leads he financial sysem o be assauled grealy, and cause he global financial sunami.
More information8 9 < ; ; = < ; : < ;! 8 9 % ; ϑ 8 9 <; < 8 9 <! 89! Ε Χ ϑ! ϑ! ϑ < ϑ 8 9 : ϑ ϑ 89 9 ϑ ϑ! ϑ! < ϑ < = 8 9 Χ ϑ!! <! 8 9 ΧΧ ϑ! < < < < = 8 9 <! = 8 9 <! <
! # % ( ) ( +, +. ( / 0 1) ( 2 1 1 + ( 3 4 5 6 7! 89 : ; 8 < ; ; = 9 ; ; 8 < = 9! ; >? 8 = 9 < : ; 8 < ; ; = 9 8 9 = : : ; = 8 9 = < 8 < 9 Α 8 9 =; %Β Β ; ; Χ ; < ; = :; Δ Ε Γ Δ Γ Ι 8 9 < ; ; = < ; :
More information. /!Ι Γ 3 ϑκ, / Ι Ι Ι Λ, Λ +Ι Λ +Ι
! # % & ( ) +,& ( + &. / 0 + 1 0 + 1,0 + 2 3., 0 4 2 /.,+ 5 6 / 78. 9: ; < = : > ; 9? : > Α
More informationPowerPoint Presentation
Signals and Sysems Lecure 1-3 1 Cascading Sysem ( ) 2 Audio & DSP Lab. Discree-ime-shif operaor S k, operaing on he discree-ime signal x[n] o produce x[n k]. ( S k ) 3 Two implemenaions of he moving-average
More information2 2 Λ ϑ Δ Χ Δ Ι> 5 Λ Λ Χ Δ 5 Β. Δ Ι > Ε!!Χ ϑ : Χ Ε ϑ! ϑ Β Β Β ϑ Χ Β! Β Χ 5 ϑ Λ ϑ % < Μ / 4 Ν < 7 :. /. Ο 9 4 < / = Π 7 4 Η 7 4 =
! # % # & ( ) % # ( +, & % # ) % # (. / ). 1 2 3 4! 5 6 4. 7 8 9 4 : 2 ; 4 < = = 2 >9 3? & 5 5 Α Α 1 Β ΧΔ Ε Α Φ 7 Γ 9Η 8 Δ Ι > Δ / ϑ Κ Α Χ Ε ϑ Λ ϑ 2 2 Λ ϑ Δ Χ Δ Ι> 5 Λ Λ Χ Δ 5 Β. Δ Ι > Ε!!Χ ϑ : Χ Ε ϑ!
More informationCPI Krugman 1986 Dornbush 1987 Mark - up Pricing - to - Market Obstfeld and Rogoff 1995 Dornbush 1987 Redux NOEM 2008 NOEM CPI Tayl
2013 8 CPI * Taylor 2000 NOEM 1998 1 2012 4 CPI CPI 1998 2002 2003 2012 4 CPI JEL E52 F31 F064. 1 A 1000-6249 2013 08-045 - 12 2001 11 WTO 2008 2005 7 Exchange Rate Pass - through into Prices - * E - mail
More informationHP Hodrick and Prescott 980 BK Baxter and King 999 CF Christiano and Fitzgerald 2003 Harvey 989 Harvey and Shephard Chen et
202 5 World Economic Papers October, 202 * 99 993 200 2 20 90 2 200 998 20 80 992 993 2 998 2003 20 90 * E-mail chenyingnan@ tsinghua. edu. cn 0 305 00084 E-mail pro. chenjian@ 263. net 200 09&ZD042 2CJY029
More information> # ) Β Χ Χ 7 Δ Ε Φ Γ 5 Η Γ + Ι + ϑ Κ 7 # + 7 Φ 0 Ε Φ # Ε + Φ, Κ + ( Λ # Γ Κ Γ # Κ Μ 0 Ν Ο Κ Ι Π, Ι Π Θ Κ Ι Π ; 4 # Ι Π Η Κ Ι Π. Ο Κ Ι ;. Ο Κ Ι Π 2 Η
1 )/ 2 & +! # % & ( ) +, + # # %. /& 0 4 # 5 6 7 8 9 6 : : : ; ; < = > < # ) Β Χ Χ 7 Δ Ε Φ Γ 5 Η Γ + Ι + ϑ Κ 7 # + 7 Φ 0 Ε Φ # Ε + Φ, Κ + ( Λ # Γ Κ Γ #
More information, ( 6 7 8! 9! (, 4 : : ; 0.<. = (>!? Α% ), Β 0< Χ 0< Χ 2 Δ Ε Φ( 7 Γ Β Δ Η7 (7 Ι + ) ϑ!, 4 0 / / 2 / / < 5 02
! # % & ( ) +, ) %,! # % & ( ( ) +,. / / 01 23 01 4, 0/ / 5 0 , ( 6 7 8! 9! (, 4 : : ; 0.!? Α% ), Β 0< Χ 0< Χ 2 Δ Ε Φ( 7 Γ Β Δ 5 3 3 5 3 1 Η7 (7 Ι + ) ϑ!, 4 0 / / 2 / 3 0 0 / < 5 02 Ν!.! %) / 0
More information& & ) ( +( #, # &,! # +., ) # % # # % ( #
! # % & # (! & & ) ( +( #, # &,! # +., ) # % # # % ( # Ι! # % & ( ) & % / 0 ( # ( 1 2 & 3 # ) 123 #, # #!. + 4 5 6, 7 8 9 : 5 ; < = >?? Α Β Χ Δ : 5 > Ε Φ > Γ > Α Β #! Η % # (, # # #, & # % % %+ ( Ι # %
More informationLech 1 2 Coffey and Jia Corporate Financial Performance CFP CSP CFP 9 Preston O Bannon 10 CSP CFP Margolis et al Sun abd
2015 6 79 DEA-Tobit 1 2 1. 130012 2. 130012 CSR DEA-Tobit DEA-Tobit F062. 9 A 1671-9301 2015 06-0021-11 DOI:10.13269/j.cnki.ier.2015.06.014 Corporate Social Responsibility CSR 2014 500 31. 06 2013 GDP
More information9!!!! #!! : ;!! <! #! # & # (! )! & ( # # #+
! #! &!! # () +( +, + ) + (. ) / 0 1 2 1 3 4 1 2 3 4 1 51 0 6. 6 (78 1 & 9!!!! #!! : ;!! ? &! : < < &? < Α!!&! : Χ / #! : Β??. Δ?. ; ;
More informationForecasting and Parity Condition
国际财务管理 第四讲国际金融的平价条件 对外经济贸易大学国际商学院会计学系制作 Inernaional ariy Condiions ome fundamenal quesions managers of MNEs, inernaional porfolio invesors, imporers, exporers and governmen officials mus deal wih every
More information4 # = # 4 Γ = 4 0 = 4 = 4 = Η, 6 3 Ι ; 9 Β Δ : 8 9 Χ Χ ϑ 6 Κ Δ ) Χ 8 Λ 6 ;3 Ι 6 Χ Δ : Χ 9 Χ Χ ϑ 6 Κ
! # % & & ( ) +, %. % / 0 / 2 3! # 4 ) 567 68 5 9 9 : ; > >? 3 6 7 : 9 9 7 4! Α = 42 6Β 3 Χ = 42 3 6 3 3 = 42 : 0 3 3 = 42 Δ 3 Β : 0 3 Χ 3 = 42 Χ Β Χ 6 9 = 4 =, ( 9 6 9 75 3 6 7 +. / 9
More information: 29 : n ( ),,. T, T +,. y ij i =, 2,, n, j =, 2,, T, y ij y ij = β + jβ 2 + α i + ɛ ij i =, 2,, n, j =, 2,, T, (.) β, β 2,. jβ 2,. β, β 2, α i i, ɛ i
2009 6 Chinese Journal of Applied Probability and Statistics Vol.25 No.3 Jun. 2009 (,, 20024;,, 54004).,,., P,. :,,. : O22... (Credibility Theory) 20 20, 80. ( []).,.,,,.,,,,.,. Buhlmann Buhlmann-Straub
More information( (3) 2009) (70% ) ; ; ; (2007) ; ; (2005) ; (2010) ; (2009) MacDonald & Taylor ; (1989) Ito (1990) Chinn et al. (1994) (2009) Verschoor et al.
* (1) ; (2) 70% 25% ; F831 A 2010 6 5.5% (1) 1990 (2) ( ) ; ; * ( 70873098) /2011.12 47 ( (3) 2009) (70% ) ; ; ; (2007) ; ; (2005) 20 70 ; (2010) ; (2009) MacDonald & Taylor ; (1989) Ito (1990) Chinn et
More information13 中 南 大 学 学 报 ( 社 会 科 学 版 ) 01 年 第 18 卷 第 1 期 GARCH 模 型 的 均 值 方 程 中, 得 到 GARCH M 模 型 : y = γ1 x + δσ + u σ α α β σ = 0 + 1u 1 + 1 1 条 件 方 差 σ 代 表 了 期
第 18 卷 第 1 期 中 南 大 学 学 报 ( 社 会 科 学 版 ) Vol.18 No.1 01 年 月 J. CENT. SOUTH UNIV. (SOCIAL SCIENCE) Feb. 01 ARCH 模 型 族 在 深 圳 成 指 中 的 应 用 丁 扬 恺 ( 浙 江 师 范 大 学 数 理 信 息 学 院, 浙 江 金 华,31004) 摘 要 : 金 融 资 产 收 益 率
More information財務統計.doc
. (ucerai) (asse) (predicable) (risk) (derivaives) (o arbirage) (risk eural probabiliy) (discoued prices) (marigale) (sochasic calculus) ( (opio)) 5 (reur) (radom walk) 3 (efficie marke) 4 (Europea opio)
More informationFinancial Theory & Policy : * :,,,, ;,,,,,,, DSGE,,,, 0.01,,, : DSGE : F820 : A DOI: /j.cnki ,, (Digital Fiat Currency, DF
Financial Theory & Policy *,,, ;,,,,, DSGE,,, 0.01,, DSGE F820 A DOI10.16475/j.cnki.1006-1029.2019.01.012, (Digial Fia Currency, DFC) Jasper Ubin Sella 2014, 2017,, DC/EP (Digial Currency/Elecronic Paymen),??,,,?,
More information& &((. ) ( & ) 6 0 &6,: & ) ; ; < 7 ; = = ;# > <# > 7 # 0 7#? Α <7 7 < = ; <
! # %& ( )! & +, &. / 0 # # 1 1 2 # 3 4!. &5 (& ) 6 0 0 2! +! +( &) 6 0 7 & 6 8. 9 6 &((. ) 6 4. 6 + ( & ) 6 0 &6,: & )6 0 3 7 ; ; < 7 ; = = ;# > 7 # 0 7#? Α
More information! # %& ( %! & & + %!, ( Α Α Α Α Χ Χ Α Χ Α Α Χ Α Α Α Α
Ε! # % & ( )%! & & + %!, (./ 0 1 & & 2. 3 &. 4/. %! / (! %2 % ( 5 4 5 ) 2! 6 2! 2 2. / & 7 2! % &. 3.! & (. 2 & & / 8 2. ( % 2 & 2.! 9. %./ 5 : ; 5. % & %2 2 & % 2!! /. . %! & % &? & 5 6!% 2.
More information!!! #! )! ( %!! #!%! % + % & & ( )) % & & #! & )! ( %! ),,, )
! # % & # % ( ) & + + !!! #! )! ( %!! #!%! % + % & & ( )) % & & #! & )! ( %! ),,, ) 6 # / 0 1 + ) ( + 3 0 ( 1 1( ) ) ( 0 ) 4 ( ) 1 1 0 ( ( ) 1 / ) ( 1 ( 0 ) ) + ( ( 0 ) 0 0 ( / / ) ( ( ) ( 5 ( 0 + 0 +
More information國家圖書館典藏電子全文
Disseraion NameAn Empirical sudy on he relaion of Taiwan sock marke volailiy and macroeconomics volailiy Absrac According o Campbell, Leau, Malkiel and Xu(001), his paper uses a disaggregaed approach o
More information2005 8,,, (Okun,1971 ;Logue and Willett,1976 ; Foster,1978) (), Wachtel (1977),Carlson (1977) Fisher (1981) Taylor (1981) OECD,, Engle (1983) Engle, A
:: : 3 ( 100871) : 1985, :,,,, ARCH, :,,,, ( inflation uncertainty) Friedman, (1977,467 ), (ex ante), :,,,, ;,,,, (ex post),,, Okun (1971) Friedman (1977),(Ball and Cecchetti,1990) 3, 60 转载 2005 8,,, (Okun,1971
More information31 3 Vol. 31 No Research of Finance and Education May ,,, BS,,,,, ; ; ; ; : F : A : ( 2018)
3 3 Vol. 3 No. 3 208 5 Research of Finance and Education May. 208 730000,,, BS,,,,, ; ; ; ; : F830. 92 : A : 2095-0098( 208) 03-002 - 2005 30% 202 ± % 204 3 ± 2% 205 8 Rogoff 996 PPP PPP 30 - B - S B -
More information08-01.indd
1 02 04 08 14 20 27 31 35 40 43 51 57 60 07 26 30 39 50 56 65 65 67 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 ω ρ ε 23 λ ω < 1 ω < 1 ω > 0 24 25 26 27 28 29 30 31 ρ 1 ρ σ b a x x i +3 x i
More information( ) (! +)! #! () % + + %, +,!#! # # % + +!
!! # % & & & &! # # % ( ) (! +)! #! () % + + %, +,!#! # # % + +! ! %!!.! /, ()!!# 0 12!# # 0 % 1 ( ) #3 % & & () (, 3)! #% % 4 % + +! (!, ), %, (!!) (! 3 )!, 1 4 ( ) % % + % %!%! # # !)! % &! % () (! %
More informationuntitled
Granger Granger Granger M1 ECM M1 M1 20 90 1 2005 2004 10 12 7 2004 11 10 2004 11 17 Vasicek(1977) Dothan (1978) Courtadon (1982) Cox Ingersoll and Ross (1985) Chan Karolyi Longstaff and Sanders (1992)
More informationMyers Majluf 1984 Lu Putnam R&D R&D R&D R&D
2018 1 156 1 2 2 1. 233030 2. 233030 2005 ~ 2015 A F830. 2 A 1008-2506 2018 01-0015-12 1 2015 1 2017-07-18 71540004 BBSLDQDKT2017B02 1990-1993 - 1964-1 15 2018 1 2025 2015 1 2011 2 + Myers Majluf 1984
More informationΒ Χ + Δ Ε /4 10 ) > : > 8 / 332 > 2 / 4 + Φ + Γ 0 4 Η / 8 / 332 / 2 / 4 + # + Ι + ϑ /) 5 >8 /3 2>2 / 4 + ( )( + 8 ; 8 / 8. 8 :
!! # % & % () + (. / 0 ) 1 233 /. / 4 2 0 2 + + 5. 2 / 6 ) 6. 0 ) 7. 8 1 6 / 2 9 2 :+ ; < 8 10 ; + + ( =0 41 6< / >0 7 0?2) 29 + +.. 81 6> Α 29 +8 Β Χ + Δ Ε /4 10 )+ 2 +. 8 1 6 > 2 9 2 : > 8 / 332 > 2
More information. Ν Σ % % : ) % : % Τ 7 ) & )? Α Β? Χ )? : Β Ν :) Ε Ν & Ν? ς Ε % ) Ω > % Τ 7 Υ Ν Ν? Π 7 Υ )? Ο 1 Χ Χ Β 9 Ξ Ψ 8 Ψ # #! Ξ ; Ξ > # 8! Ζ! #!! Θ Ξ #!! 8 Θ!
!! # %& + ( ) ),., / 0 12 3, 4 5 6, 7 6 6, 8! 1 9 :; #< = 1 > )& )? Α Β 3 % Χ %? 7) >ΔΒ Χ :% Ε? 9 : ; Φ Η Ι & Κ Λ % 7 Μ Ν?) 1!! 9 % Ο Χ Χ Β Π Θ Π ; Ρ Ρ Ρ Ρ Ρ ; . Ν Σ % % : ) % : % Τ 7 ) & )? Α Β? Χ )?
More information(91 5 ) (nonstationary) (nonlinear) Huang et al. (1998) (empirial mode deomposition EMD) (intrinsi mode funtion IMF) (Nasdaq index) (Dow Jones industrial average index) 1 1.1...1 1.2...3 5 2.1...5 2.2...9..10
More informationCHIPS Oaxaca - Blinder % Sicular et al CASS Becker & Chiswick ~ 2000 Becker & Chiswick 196
2015 3 179 2015 5 Comparative Economic & Social Systems No. 3 2015 May 2015 2001 ~ 2011 F812 A 1003-3947 2015 03-0020-14 Wu & Perloff 2004 Benjamin et al. 2004 Sicular et al. 2007 1998 2003 40% 1985 2.
More informationAlexander & Wyeth Dercon 1995 ECM - Johansen Goodwin 1992 VEC Asche 1999 Gonzalez 2001 ECM Goodwin
2012 3 * 0. 20 0. 36 0. 05 2006 2010 1. 46 / 2. 14 / 2. 93 / 4. 41 / 1. 27 / 2. 12 / 47% 50% 67% 2006 1 3. 48 / 2010 11 5. 84 / 68% 1 2010 CPI 70% 2006 2006 1 106. 06 2008 6 188. 02 77. 3% 2010 11 173.
More information不同短期利率模型的实证比较
433 lzfa@fuda.edu.c czhag@us.hk 997 8 5 Emprcal sudy o he fluece of macro ecoomc varables o bod excess reurs Chese bod marke Logzhe Fa School of Maageme, Fuda Uversy, Shagha 433 Chu Zhag Deparme of Face
More information