金融计量经济学

,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,2009.11,Huazhong University of Science and Technology,*,Econometrics For Finance-Chapter 1,Econometrics for Finance,金融计量经,济,济学,讲授：薛明,皋,皋,电话：,13554398877,E-mail:,1,课程目标,课程目标,:,了解和掌握,广,广泛应用于,金,金融领域的,现,现代经济计,量,量的技术和,方,方法,.,金融学的快,速,速发展使它,已,已成为一门,相,相对独立的,学,学科。,金融学“是,一,一门具有高,度,度实践性的,科,科学”，“,金,金融理论与,实,实证分析之,间,间关系的密,切,切程度是其,他,他社会学科,无,无法相比的,”,”,.,金融经济学,家,家进行推断,的,的基本方法,是,是金融计量,经,经济学，即,以,以模型为基,础,础的统计推,断,断。,2,教材,Introductory EconometricsforFinance,ChrisBrooks,CambridgeUniversityPress 2008,2009.11,Huazhong UniversityofScience and Technology,3,作者简介,ChrisBrooks was formerlyProfessorof Finance atthe ISMA Centre,University ofReading,wherehe also obtained his PhDandBA inEconomicsandEconometrics.,His areasof research interestinclude econometricmodelingand forecasting,risk measurement,assetmanagement,and propertyfinance.,He has published over sixty articles inleading academic andpractitioner journals,including the Journalof Business,the Journalof Banking andFinance,Journal ofEmpiricalFinance,Oxford BulletinandEconomic Journal.,Chrisis Associate Editorof several journals,including theInternationalJournal ofForecasting.,4,本书的特点,内容广泛：,包,包含了与金,融,融领域相关,的,的各种经济,计,计量方法,难度适中：,不,不要求具备,很,很多的数学,知,知识,预备知识,数学：微积,分,分和线性代,数,数基础，统,计,计学基础,金融：公司,金,金融、金融,市,市场、投资,等,等方面的基,础,础知识,注重应用：,提,提供相关软,件,件的使用和,金,金融方面的,应,应用实例,5,其它参考教,材,材,经济计量学,方,方面的教科,书,书；,罗伯特,S.,平狄克 等,计量经济模,型,型与经济预,测,测,，机械工业,出,出版社,J.M.,伍德里奇,计量经济学,导,导论,现代观点,，人民大学,出,出版社,时间序列分,析,析方面的教,科,科书；,G.E.Box,等,时间序列分,析,析,预测与控制,，中国统计,出,出版社,有关金融市,场,场学、公司,金,金融等方面,的,的教科书；,T.C.Mills,，,1999,The EconometricModellingof Financial Time Series,，,金融时间序,列,列的经济计,量,量学模型,，经济科学,出,出版社，,2002,年。,J.Y.Campbell etal.,1997,TheEconometrics ofFinancialMarket,；,金融市场计,量,量经济学,，上海财经,大,大学出版社,，,，,2003,年。,专门介绍和,论,论述股票市,场,场、衍生证,券,券、固定收,入,入证券等方,面,面的实证分,析,析方法和理,论,论前沿。,6,Chapter 1,Introduction,7,Learning Outcomes,In this chapter,youwilllearn howto,Distinguish between different types ofdata,Describethestepsinvolvedin building aneconometric model,Calculate asset price returns,Construct a workfile,importdataandaccomplishsimple tasks in EViews,2009.11,Huazhong UniversityofScience and Technology,8,1.1Whatis Econometrics?,Literal meaningis“measurement ineconomics”.,对经济现象,和,和经济关系,的,的数量,/,计量分析,以经济理论,和,和经济数据,为,为依据,应用数学和,统,统计学的方,法,法，通过建,立,立数学模型,来,来研究经济,现,现象及其变,化,化规律的一,门,门经济学科,。,。（有多种,定,定义）,Definitionof,financialeconometrics,:,The applicationof statisticalandmathematical techniques to,study,problems in finance,.,9,the value,of financial econometrics,Testing theories infinance,Determining asset pricesor returns,Testing hypotheses concerningthe relationships betweenvariables,Examiningthe effecton financial markets ofchanges ineconomicconditions,Forecasting future valuesof financial variables and for financial decision-making.,10,Examples of,some,problems thatmay be solved by anEconometrician,1.Testingwhether financial markets areweak-forminformationally efficient,.,2.Testingwhether the CAPM orAPTrepresentsuperior modelsforthe determination ofreturns on risky assets.,3.Measuring and forecasting the volatility of bond returns.,4.Explaining the determinantsof bond creditratings used by theratings agencies.,5.Modelling long-term relationships betweenprices andexchangerates,11,Examples of,some,problems thatmay be solved by anEconometrician,6,Determining theoptimal hedgeratiofora spot positionin oil,7,Testing technical tradingrules todeterminewhichmakes themostmoney,8,Testing the hypothesis that earnings ordividend announcements have noeffect onstock prices.,9,Testing whetherspotor futures marketsreactmorerapidly to news.,10,Forecasting thecorrelation betweenthereturns tothestockindices of twocountries.,12,Financialdataoftendiffer from macroeconomic data.,1 Ineconomics,there aresomeproblems:,(a)smallsamples problem,(b)measurement error,(c)datarevisions,2 Infinance,higher frequency data,Furthermore,the analysisof financial data also bringswithit anumber ofnewproblems.,Forexample,(a)financialdatahave”noisy,”,”;,(b)almostalwaysnotnormallydistribution.,1.2Isfinancialeconometricsdifferentfrom,economiceconometrics?,13,1.3TypesofData,Thereare3typesofdata:,1.Timeseriesdata,2.Cross-sectionaldata,3.Paneldata,acombinationof1.&2.,Thedatamaybequantitative(e.g.exchangerates,stockprices),orqualitative,.,Examplesof,timeseriesdata,SeriesFrequency,GDPorunemployment,year,quarterly,or,monthly,governmentbudgetdeficitannually,moneysupplyweekly,valueofastockmarketindexastransactionsoccur,2009.11,HuazhongUniversityofScienceandTechnology,14,TypesofData,ProblemsthatCouldbeTackledUsingaTimeSeries,Data,-Howthevalueofacountry,sstockindexhasvariedwiththatcountrysmacroeconomic,policy,.,-Howacompanysstockpricehasvariedwhenitannouncedthevalueofitsdividendpayment.,-Theeffectonstockpriceofanincreaseincountry,s,interestrate,Cross-sectionaldata,(,横截面,数,数据,),aredataononeormorevariablescollected at asingle point in time,e.g.,-Cross-section of stock returnsonthe NewYork Stock Exchange