金融计量经济学导论.pptxVIP

Chapter 1 Introduction 1-* 1.1 Introduction: The Nature and Purpose of Econometrics What is Econometrics? Literal meaning is “measurement in economics”. 对经济现象和经济关系的数量/计量分析 以经济理论和经济数据为依据,应用数学和统计学的方法，通过建立数学模型来研究经济现象及其变化规律的一门经济学科。 Definition of financial econometrics: The application of statistical and mathematical techniques to problems in finance. 1-* 金融计量经济学的用途 检验金融理论 确定资产价格或收益 检验关于变量之间关系的假设 考察经济景气的变化对金融市场的影响 预测金融变量的未来走势 1-* Examples of the kind of problems that may be solved by an Econometrician 1. Testing whether financial markets are weak-form informationally efficient.(根据资产价格的历史数据检验资产收益的可预测性) 2. Testing whether the CAPM or APT represent superior models for the determination of returns on risky assets. 3. Measuring and forecasting the volatility of bond returns. 4. Explaining the determinants of bond credit ratings used by the ratings agencies. 5. Modelling long-term relationships between prices and exchange rates 1-* Examples of the kind of problems that may be solved by an Econometrician  6. Testing the hypothesis that earnings or dividend announcements have no effect on stock prices. 7. Testing whether spot or futures markets react more rapidly to news. 8.Forecasting the correlation between the returns to the stock indices of two countries. 1-* 宏观经济计量分析的数据问题： 小样本；测量误差与数据修正 金融数据的观测频率高，数据量大 金融数据的质量高 这些意味着可以采用更强有力的分析技术，研究结果也更可靠。 金融数据包含很多噪音（noisy），更难以从随机的和无关的变动中分辨出趋势和规律 通常不满足正态分布 高频数据经常包含反映市场运行方式的、但人们并不感兴趣的其它模式(pattern) ，需要在建模时加以考虑 1.2 The Special Characteristics of Financial Data 1-* 1.3 Types of Data  There are 3 types of data : 1. Time series data 2. Cross-sectional data 3. Panel data, a combination of 1. 2. The data may be quantitative (e.g. exchange rates, stock prices), or qualitative (e.g. day of the week). Examples of time series data Series Frequency GNP or unemployment monthly, or quarterly government budget deficit annually money supply weekly value of a stock market index as transactions occur 1-* Type