计量金融学国外课堂10.ppt

* Lecture 5b Cointegration ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Cointegration: An Introduction In most cases, if we combine two variables which are I(1), then the combination will also be I(1). More generally, if we combine variables with differing orders of integration, the combination will have an order of integration equal to the largest. i.e., if Xi,t ? I(di) for i = 1,2,3,...,k so we have k variables each integrated of order di. Let (1) Then zt ? I(max di) ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Definition of Cointegration (Engle Granger, 1987) Let zt be a k?1 vector of variables, then the components of zt are cointegrated of order (d,b) if i) All components of zt are I(d) ii) There is at least one vector of coefficients ? such that ? ?zt ? I(d-b) Many time series are non-stationary but “move together” over time. If variables are cointegrated, it means that a linear combination of them will be stationary. There may be up to r linearly independent cointegrating relationships (where r ? k-1), also known as cointegrating vectors. r is also known as the cointegrating rank of zt. A cointegrating relationship may also be seen as a long term relationship. ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Cointegration and Equilibrium Examples of possible Cointegrating Relationships in finance: spot and futures prices ratio of relative prices and an exchange rate equity prices and dividends Market forces arising from no arbitrage conditions should ensure an equilibrium relationship. No cointegration implies that series could wander apart without bound in the long run. ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Equilibrium Correction or Error Correction Models When the concept of non-stationarity was first considered, a usual response was to independently take the first differences of a series of I(1) variables. The problem with this approach is that pure firs