金融计量经济学

EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology1EconometricsforFinance金融计量经济学讲授：薛明皋电话：[phone]E-mail:[e-mail]-Chapter12009.11HuazhongUniversityofScienceandTechnology2课程目标课程目标:了解和掌握广泛应用于金融领域的现代经济计量的技术和方法.金融学的快速发展使它已成为一门相对独立的学科。金融学“是一门具有高度实践性的科学”，“金融理论与实证分析之间关系的密切程度是其他社会学科无法相比的”.金融经济学家进行推断的基本方法是金融计量经济学，即以模型为基础的统计推断。EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology3教材IntroductoryEconometricsforFinanceChrisBrooksCambridgeUniversityPress2008EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology4作者简介ChrisBrookswasformerlyProfessorofFinanceattheISMACentre,UniversityofReading,wherehealsoobtainedhisPhDandBAinEconomicsandEconometrics.Hisareasofresearchinterestincludeeconometricmodelingandforecasting,riskmeasurement,assetmanagement,andpropertyfinance.Hehaspublishedoversixtyarticlesinleadingacademicandpractitionerjournals,includingtheJournalofBusiness,theJournalofBankingandFinance,JournalofEmpiricalFinance,OxfordBulletinandEconomicJournal.ChrisisAssociateEditorofseveraljournals,includingtheInternationalJournalofForecasting.EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology5本书的特点内容广泛：包含了与金融领域相关的各种经济计量方法难度适中：不要求具备很多的数学知识预备知识数学：微积分和线性代数基础，统计学基础金融：公司金融、金融市场、投资等方面的基础知识注重应用：提供相关软件的使用和金融方面的应用实例EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology6其它参考教材经济计量学方面的教科书；罗伯特S.平狄克等《计量经济模型与经济预测》，机械工业出版社J.M.伍德里奇,《计量经济学导论——现代观点》，人民大学出版社时间序列分析方面的教科书；G.E.Box等《时间序列分析——预测与控制》，中国统计出版社有关金融市场学、公司金融等方面的教科书；T.C.Mills，1999,TheEconometricModellingofFinancialTimeSeries，《金融时间序列的经济计量学模型》，经济科学出版社，2002年。J.Y.Campbelletal.,1997,TheEconometricsofFinancialMarket；《金融市场计量经济学》，上海财经大学出版社，2003年。专门介绍和论述股票市场、衍生证券、固定收入证券等方面的实证分析方法和理论前沿。EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology1Chapter1IntroductionEconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology8LearningOutcomesInthischapter,youwilllearnhowto●Distinguishbetweendifferenttypesofdata●Describethestepsinvolvedinbuildinganeconometricmodel●Calculateassetpricereturns●Constructaworkfile,importdataandaccomplishsimpletasksinEViewsEconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology91.1WhatisEconometrics?Literalmeaningis“measurementineconomics”.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。（有多种定义）Definitionoffinancialeconometrics:Theapplicationofstatisticalandmathematicaltechniquestostudyproblemsinfinance.EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology10thevalueoffinancialeconometricsTestingtheoriesinfinanceDeterminingassetpricesorreturnsTestinghypothesesconcerningtherelationshipsbetweenvariablesExaminingtheeffectonfinancialmarketsofchangesineconomicconditionsForecastingfuturevaluesoffinancialvariablesandforfinancialdecision-making.EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology11ExamplesofsomeproblemsthatmaybesolvedbyanEconometrician1.Testingwhetherfinancialmarketsareweak-forminformationallyefficient.2.TestingwhethertheCAPMorAPTrepresentsuperiormodelsforthedeterminationofreturnsonriskyassets.3.Measuringandforecastingthevolatilityofbondreturns.4.Explainingthedeterminantsofbondcreditratingsusedbytheratingsagencies.5.Modellinglong-termrelationshipsbetweenpricesandexchangeratesEconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology12ExamplesofsomeproblemsthatmaybesolvedbyanEconometrician6Determiningtheoptimalhedgeratioforaspotpositioninoil7Testingtechnicaltradingrulestodeterminewhichmakesthemostmoney8Testingthehypothesisthatearningsordividendannouncementshavenoeffectonstockprices.9Testingwhetherspotorfuturesmarketsreactmorerapidlytonews.10Forecastingthecorrelationbetweenthereturnstothestockindicesoftwocountries.EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology13•Financialdataoftendifferfrommacroeconomicdata.1Ineconomics,therearesomeproblems:(a)smallsamplesproblem(b)measurementerror(c)datarevisions2Infinance,higherfrequencydataFurthermore,theanalysisoffinancialdataalsobringswithitanumberofnewproblems.Forexample,(a)financialdatahave”noisy”;(b)almostalwaysnotnormallydistribution.1.2Isfinancialeconometricsdifferentfrom‘economiceconometrics’?EconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology141.3TypesofData•Thereare3typesofdata:1.Timeseriesdata2.Cross-sectionaldata3.Paneldata,acombinationof1.&2.•Thedatamaybequantitative(e.g.exchangerates,stockprices),orqualitative.•ExamplesoftimeseriesdataSeriesFrequencyGDPorunemploymentyear,quarterlyormonthlygovernmentbudgetdeficitannuallymoneysupplyweeklyvalueofastockmarketindexastransactionsoccurEconometricsForFinance-Chapter12009.11HuazhongUniversityofScienceandTechnology15TypesofData•ProblemsthatCouldbeTackledUsingaTimeSeriesData-Howthevalueofacountry’sstockindexhasvariedwiththatcountry’smacroeconomicpolicy.-Howacompany’sstockpri