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https://ah.lib.nccu.edu.tw/handle/140.119/136555| 題名: | 以Probit模型預測美元指數循環 Forecasting the turning points of the US dollar index by using the probit model |
作者: | 黃文基 Huang, Wen-Chi |
貢獻者: | 徐士勛 Hsu, Shih-Hsun 黃文基 Huang, Wen-Chi |
關鍵詞: | 美元指數 動態 Probit 模型 轉折點預測 |
日期: | 2021 | 上傳時間: | 4-八月-2021 | 摘要: | 本文建構動態Probit 模型預測美元指數循環。首先，本文以 BBQ algorithm 認定美元指數的牛熊市狀態，再透過樣本內估計結果篩選出重要變數後，進行樣本外預測評析。實證結果發現影響美元指數較為顯著且穩健的變數為美元指數在過去18 個月排名的年增率、美元指數前一期的正負值、布蘭特原油價格、美國十年期公債與兩年期公債殖利率差四個變數。樣本外預測結果有65% 的正確率，而根據預測結果組成的投資組合也可以打敗長期持有美元、s&p500、MSCI 新興市場指數。此外，我們也發現量化寬鬆政策的實施並未對本文的樣本外預測結果造成明顯的影響。 | 參考文獻: | Ahmed, J. and S. Straetmans (2015), “Predicting Exchange Rate Cycles utilizing Risk Factors,” Journal of Empirical Finance, 34, 112–130.\n\nBasher, S. A. , A. A Haug,and P. Sadorsky (2012), “Oil Prices, Exchange Rates and Emerging Stock Markets,” Energy Economics, 34, 227–240.\n\nBry, G. and C. Boschan (1971), “Cyclical Analysis of Time Series: Selected Procedures and Computer Programs,” NBER.\n\nChen, S. S. (2009), “Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators,” Journal of Banking & Finance, 33, 211-223.\n\nGonzalez, L. , J. G. Powell , J. Shi, and A. Wilson (2005), “Two Centuries of Bull and Bear Market Cycles,” International Review of Economics & Finance, 14, 469–486.\n\nKauppi, H. and P. Saikkonen (2008), “Predicting U.S. Recessions with DynamicBinary Response Models,” The Review of Economics and Statistics, 90, 777–791.\n\nMikhaylov, A. Y. (2018). “Pricing in Oil Market and Using Probit Model for Analysis of Stock Market Effects, ”International Journal of Energy Economics and Policy, 8, 69-73.\n\nNissil¨a , W. (2020), “Probit Based Time Series Models in Recession Forecasting – A Survey with an Empirical Illustration for Finland, ”BoF Economics Review.\n\nNtantamis, C. and J. Zhou (2015), “Bull and Bear Markets in Commodity Prices and Commodity Stocks: Is There a Relation?” Resources Policy,43, 61–81.\n\nNyberg, H. (2011), “Forecasting the Direction of The US Stock Market with Dynamic Binary Probit Models,”International Journal of Forecasing, 27, 561-578.\n\nNyberg, H. (2013), “Predicting Bear and Bull Stock markets with Dynamic Binary Time Series Models, ”Journal of Banking and Finance, 37, 3351–3363.\n\nSamanta, S. K. and A. H. Zadeh (2012). “Co-movements of Oil, Gold, the US Dollar, and Stocks,” Modern Economy, 3, 111-117.\n\nSartore, D. , L. Trevisan, M. Trova, and F. Volo (2002) “US Dollar/Euro Exchange Rate: a Monthly Econometric model for Forecasting,” The European Journal of Finance, 8, 480-501. | 描述: | 碩士 國立政治大學 經濟學系 108258009 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0108258009 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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|---|---|---|---|---|
| 800901.pdf | 1.4 MB | Adobe PDF2 | View/Open |
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