第1章 Introductory Econometrics for Finance(金融计量经济学导论-东北财经大学 陈磊)
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金融计量经济学导论
讲授：陈 磊
电话：84712508 E-mail: chenlei@dufe.edu.cn
1-2
学习要求与建议
• • • • • 作为理性人，应追求课堂收益最大化 课堂讲授+课下自学（最好课前预习） 阅读参考书 及时做习题 熟悉相关软件的使用
1-3
引
言
• 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“是一门具有高度实证性的科学”，“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。 • 课程目标:了解和掌握广泛应用于金融领域的现代经济 计量技术 • 缺少金融计量经济学方面的适当教科书
• e.g. the daily prices of a number of blue chip stocks over two years.
• It is common to denote each observation by the letter t and the total number of observations by T for time series data, and to to denote each observation by the letter i and the total number of observations by N for cross-sectional data.
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
1-15
Types of Data
• Problems that Could be Tackled Using a Time Series Regression - How the value of a country’s stock index has varied with that country’s macroeconomic fundamentals. - How the value of a company’s stock price has varied when it announced the value of its dividend payment. - The effect on a country’s currency of an increase in its interest rate • Cross-sectional data(截面数据) are data on one or more variables collected at a single point in time, e.g. - Cross-section of stock returns on the New York Stock Exchange - A sample of bond credit ratings for UK banks
1-14
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
1-10
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
1-11
Examples of the kind of problems that may be solved by an Econometrician
1-4
Introductory Econometrics for Finance
Chris Brooks
1-5
作者简介
• Chris was formerly Professor of Finance at the ISMA Centre, University of Reading, where he also obtained his PhD and BA in Economics and Econometrics. • His areas of research interest include econometric modelling and forecasting, risk measurement, asset management, and property finance. • He has published over sixty articles in leading academic and practitioner journals, including the Journal of Business, the Journal of Banking and Finance, Journal of Empirical Finance, Oxford Bulletin and Economic Journal. • Chris is Associate Editor of several journals, including the International Journal of Forecasting.
1-17
1.4 Returns in Financial Modelling
• It is preferable not to work directly with asset prices, so we usually convert the raw prices into a series of returns. * There are two ways to do this: Simple returns or log returns
1-12
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.
1-7
其它参考教材
• 各种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
• 各种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, The Econometric Modelling of Financial Time Series，《金融时间序列的经济计量学模型》， 经济科学出版社，2002年。
1.2 The Special Characteristics of Financial Data
• 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
1-13
• 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
– 为金融市场的研究者提供从事金融时间序列的经验分析所必需的技术
• J.Y.Campbell et al.,1997, The Econometrics of Financial Market；《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。
1-8
Chapter 1
Introduction
1-9
1.1 Introduction: The Nature and Purposeቤተ መጻሕፍቲ ባይዱof 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.
1-16
Types of Data and Notation
• Problems that Could be Tackled Using a Cross-Sectional Regression - The relationship between company size and the return to investing in its shares - The relationship between a country’s GDP level and the probability that the government will default on its sovereign debt. （主权债务） • Panel Data （平行数据，面板数据）has the dimensions of both time series and cross-sections,
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 • 注重应用：提供相关软件的使用和金融方面的应用实例 • 最新版本：英国剑桥大学出版社2002年出版 • 预备知识
1-6
–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
金融计量经济学导论
讲授：陈 磊
电话：84712508 E-mail: chenlei@dufe.edu.cn
1-2
学习要求与建议
• • • • • 作为理性人，应追求课堂收益最大化 课堂讲授+课下自学（最好课前预习） 阅读参考书 及时做习题 熟悉相关软件的使用
1-3
引
言
• 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“是一门具有高度实证性的科学”，“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。 • 课程目标:了解和掌握广泛应用于金融领域的现代经济 计量技术 • 缺少金融计量经济学方面的适当教科书
• e.g. the daily prices of a number of blue chip stocks over two years.
• It is common to denote each observation by the letter t and the total number of observations by T for time series data, and to to denote each observation by the letter i and the total number of observations by N for cross-sectional data.
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
1-15
Types of Data
• Problems that Could be Tackled Using a Time Series Regression - How the value of a country’s stock index has varied with that country’s macroeconomic fundamentals. - How the value of a company’s stock price has varied when it announced the value of its dividend payment. - The effect on a country’s currency of an increase in its interest rate • Cross-sectional data(截面数据) are data on one or more variables collected at a single point in time, e.g. - Cross-section of stock returns on the New York Stock Exchange - A sample of bond credit ratings for UK banks
1-14
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
1-10
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
1-11
Examples of the kind of problems that may be solved by an Econometrician
1-4
Introductory Econometrics for Finance
Chris Brooks
1-5
作者简介
• Chris was formerly Professor of Finance at the ISMA Centre, University of Reading, where he also obtained his PhD and BA in Economics and Econometrics. • His areas of research interest include econometric modelling and forecasting, risk measurement, asset management, and property finance. • He has published over sixty articles in leading academic and practitioner journals, including the Journal of Business, the Journal of Banking and Finance, Journal of Empirical Finance, Oxford Bulletin and Economic Journal. • Chris is Associate Editor of several journals, including the International Journal of Forecasting.
1-17
1.4 Returns in Financial Modelling
• It is preferable not to work directly with asset prices, so we usually convert the raw prices into a series of returns. * There are two ways to do this: Simple returns or log returns
1-12
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.
1-7
其它参考教材
• 各种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
• 各种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, The Econometric Modelling of Financial Time Series，《金融时间序列的经济计量学模型》， 经济科学出版社，2002年。
1.2 The Special Characteristics of Financial Data
• 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
1-13
• 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
– 为金融市场的研究者提供从事金融时间序列的经验分析所必需的技术
• J.Y.Campbell et al.,1997, The Econometrics of Financial Market；《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。
1-8
Chapter 1
Introduction
1-9
1.1 Introduction: The Nature and Purposeቤተ መጻሕፍቲ ባይዱof 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.
1-16
Types of Data and Notation
• Problems that Could be Tackled Using a Cross-Sectional Regression - The relationship between company size and the return to investing in its shares - The relationship between a country’s GDP level and the probability that the government will default on its sovereign debt. （主权债务） • Panel Data （平行数据，面板数据）has the dimensions of both time series and cross-sections,
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 • 注重应用：提供相关软件的使用和金融方面的应用实例 • 最新版本：英国剑桥大学出版社2002年出版 • 预备知识
1-6
–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