국제금융경제론 과제

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"국제금융경제론 과제"에 대한 내용입니다.

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Question I. Do interval estimation of pop mean and pop variance of Can$, France Fr, DM, ￥, Swiss Fr and UK￡, respectively.

Question II. Consider the Unbiased Hypothesis and FX Risk Premium.
2-1. Test whether the estimators of α(a) and β(b) are significant or not at 5(1)% significance level, respectively. That is, the forward exchange rate is an important factor to forecast the future Spot exchange rate for Can$, France Fr, DM, ￥, Swiss Fr, ￡", respectively?
2-2. Test the Null hypothesis that "Forward exchange rate is the unbiased estimator (unbiased hypothesis) of future Spot exchange rate for Can$, France Fr, DM, ￥, Swiss Fr, ￡", respectively, at 5(1)% significance level.
2-3. Test the Null hypothesis "The Risk Premium does not exist in the FX currency for Can$, France Fr, DM, ￥, Swiss Fr, ￡, respectively," using a two-tailed t-test at 5(1)% significance level. Interpret the result and reasons of above.
2-4. Show whether the time varying risk premium exist or not in FX currencies for Can$, France Fr, DM, ￥, Swiss Fr and UK. ￡ using SAS graph, respectively? Or the risk premium is constant?

본문내용

Question II. Consider the Unbiased Hypothesis and FX Risk Premium.
St+1 = α + β Ft + εt , εt -iid(0, σ2 )-----(1)

2-1. Test whether the estimators of α(a) and β(b) are significant or not at 5(1)% significance level, respectively. That is, the forward exchange rate is an important factor to forecast the future Spot exchange rate for Can$, France Fr, DM, ￥, Swiss Fr, ￡", respectively?

-> To test whether the estimators of α(a) and β(b) are significant or not at 5(1)% significance level, we set null hypothesis as below. If is rejected (if α or β are not zero), the forward exchange rate is an important factor to forecast the future Spot exchange rate.

<중 략>

(1) Canadian dollar

α = intercept, β = tlc1

In above table, Pr of α(0.0795) is greater than 0.05 and 0.01 significance level. However Pr of β is less than 0.0001 and also less than 0.05(0.01) significance level. In words, α is not significant, while β is significant.

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