项目详情

• 项目名称：金融建模与实证分析   [已结项]
• 分类：论文实证
• 标签：
  eviews
• 发布者： 芳
• 点击量：592
• 发布时间：2021-3-20 11:57
• 项目关键词：观察金融与宏观数据的因果关系
• 项目描述： 选择一国足够多的数据（包含 股市指数，通膨率，工业生产指数，利率， 暂定美国）用这些数据来研究股市指数，通货膨胀率，工业生产指数和利率之间的关系，并且详细回答一下问题：
  1.Compute and discuss the descriptive statistics of your time series (in levels and logs). Plot the series and describe patterns.
  2.Report and comment on the ACF/PACF functions of stock market index, inflation rate, output, and interest rate and their first-differences in log.
  3.Use appropriate Dickey–Fuller tests to test if the variables stock market index, inflation rate, output, and interest rate and their first-differences in log are non-stationary (have a unit root) or not. Explain the test procedure, report the test statistics and the appropriate critical values (at 5% significance level) and discuss the results.
  4.Test for cointegration among the four variables using Johansen’s tests. Explain the test procedures, report the test statistics and the appropriate critical values (at 5% significance level). How many macro variables are cointegrated with stock market price? Discuss the results.
  
  5.If you have found one or more cointegrating relations, estimate the long-run causal relationships (i.e., the cointegrating relations) and the Vector Error Correction Model. Otherwise, use the Box-Jenkins procedure to estimate a VAR model for the appropriately transformed (de-trended or differenced) variables. Report the results of Granger causality and the impulse response functions. What are the macro variables that affect stock market price? Discuss the results.
  6.Find three published papers on the relationship between stock market index and the above macro variables and discuss/compare your results to those obtained in these papers.
  
  
  对承接人的要求：海内外知名院校金融类硕士以上，对eviews使用熟练，并有深厚的实证结果分析基础（最重要），项目最终成果中英文皆可，最好是英文，并提供eviews文件，严禁抄袭。结果会查重验收。
  所需技术：eviews
  完成时间：10天
  完成标准：双方协定
  
  
  
• 项目预算： ￥ 1000-3000 元（ 已托管1000元 ）
• 分享：

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