This article adopt ¡¨nonlinear cointegrating regression¡¨ model, which was published by Bae and DE Jong in 2007, to conduct related empirical research on one of the pricing theories of futures-Cost of carry theory. Since cost of carry theory is based on the assumption that the market belongs to ¡¨perfect market¡¨, the test for cost of carry theory is accompanied by the test of the efficiency of the market. This article takes Taiwan Stock Exchange Capitalization Weighted Stock Index ¡BTaiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Finance Sector Index as our researching target and the final result exhibits that the cost of carry theory is mostly significant in the future market of Taiwan .

Submitted by Andressa Souza Campos Monteiro de Castro (dessascmc@gmail.com) on 2015-04-29T19:10:59Z No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b5dfb8c962d18e88e3f041564 (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-04-30T14:49:43Z (GMT) No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b5dfb8c962d18e88e3f041564 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-05-04T12:47:02Z (GMT) No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b5dfb8c962d18e88e3f041564 (MD5) / Made available in DSpace on 2015-05-04T12:47:13Z (GMT). No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b5dfb8c962d18e88e3f041564 (MD5) Previous issue date: 2015-03-20 / This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived from a nonlinear consumer’s budget constraint is used to settle the link between consumption-wealth ratio and stock returns. Using G7’s quarterly aggregate and financial data ranging from the first quarter of 1981 to the first quarter of 2014, we set an unbalanced panel that we use for both estimating the parameters of the cointegrating residual from the shared trend among consumption, asset wealth and labor income, cay, and performing in and out-of-sample forecasting regressions. Due to the panel structure, we propose different methodologies of estimating cay and making forecasts from the one applied by Lettau and Ludvigson (2001). The results indicate that cay is in fact a strong and robust predictor of future stock return at intermediate and long horizons, but presents a poor performance on predicting one or two-quarter-ahead stock returns.

Made available in DSpace on 2015-03-05T18:57:21Z (GMT). No. of bitstreams: 0 Previous issue date: 29 / Nenhuma / Os ciclos econômicos representam as oscilações de variáveis como a produção e o emprego de um setor, região ou país. Apresentam-se de forma única, não divisível e com características próprias quanto à sua amplitude e duração. De uma forma geral, os ciclos podem ser subdivididos nas seguintes fases: expansão, crise e depressão. Cada fase alterna-se a outra predeterminando o comportamento da fase posterior. Uma das técnicas mais promissoras é o modelo de mudança de regime, com o trabalho seminal de Hamilton (1989), abriu-se um novo campo de investigação dentro do tema. Destaca-se que a investigação sobre ciclos econômicos na literatura internacional esteve focada nas economias centrais, e os países emergentes ainda apresentam um número relativamente baixo de trabalhos na área. Quando comparados a de outros continentes, esses apresentam um contexto singular para ser discutido em termos de teoria dos ciclos econômicos. Nesse estudo, foi utilizada a técnica de mudança de regime Markoviano, que além das formulações / Economic cycles represent fluctuations of variables such as production and employment in a sector, region or country. They are so unique, and not divisible with characteristics as to its magnitude and duration. In general, the cycles can be subdivided in the following phases: expansion, crisis and depression. Each phase switches to the behavior of other predetermined later. One of the most promising techniques is the model of regime change, with the seminal work of Hamilton (1989) opened up a new field of research within the theme. It is that research on economic cycles in the international literature has focused on central economies and emerging countries still have a relatively low number of jobs in the area. When compared to other continents, they have a natural context for discussions in terms of the theory of economic cycles. In this study, we used the technique of changing the Markovian regime, which in addition to univariate and multivariate formulations was tested bivariate arrangements. Because of th

介紹幾種具有良好性質的共積模型估計方法，這些方法因其估計目的不同，而採取相異的模型表示式、相異的估計準則。在論文的連貫性與完整性考量上，須從最簡單的單變數非恆定模型開始介紹整篇論文的基礎。考慮變數間的累積性質關聯，採取空間投影的方法，將共積向量空間、模型虛假迴歸性質、甚至非恆定模型的單根來源連結在一起。充份說明了共積模型裡變數彼此的關聯後，採用共積空間表示式來完備誤差修正表示式裡無法說明的變數相關性。兩種表示式相互配合後，可以建立不同估計方法一致的比較基礎。比較不同估計方法的同時，也系統的介紹幾種估計方法。其中Phillips的完全修正法是主要介紹的估計法，也是後續不同方法間的比較基礎。比較不同方法的異同，主要著重點在於不同方法的估計準則或是修正動機。比較後的結論，可以對照原來方法的估計步驟，唯有暸解不同角度看出的變數性質，才能更精確的掌握估計方法。

總體經濟或財務理論之所以發生爭端，主要癥結不在理論之優劣，而是 實 (Empirical Issues)。為解決此種爭議，惟一方法，是藉助於實證的 支持 前為止，總體或財務理論的模型，大部分屬於隨機動態模型；因此 ，傳統計量方法，不足適用。為處理縱斷面資料，Box & $ Jenkins (1976)提出時間數列模型，以適用動態計量理論。但傳統的 Box & Jenkins動態模於單變數分析；並且，是在數列□定的假設下，作模型之 認定、估計、檢此，遭遇許多批評 (註一)。事實上，大部分的時間數列 變數，皆具有非□者在面臨非□定模型時，應先對各別變數作單根檢定 (Unit Roots 單根時，應該對各別變數直接取差分，使非□定模型變 成□定模型。可是非□定經濟變數間，經常具有某種程度的關聯，此種關 聯，即所謂的「共egration) 關係。共積關係之所以產生，明白的說：可 能是各別變數的非生，主要是因為數列中含有隨機趨勢 (Stochastic Trend) 項。一旦數列同的走勢，使得各變數間，在長期下，有一定的均 衡關係。例如，所得消下，所得 (Y) 和 消費 (C) 的關係式為C = c Y (1.1)和 Y 本身為非□定數列，其將隨時間經過而呈 趨勢成長。一旦此兩個變數同走勢，長期下，所得與消費間將有一定的均 衡關係，即 (1.1) 式。而基(1.1) 式中，非□定 I(1) 之 C 和 Y 數列 ，經線性組合後為 I(0) 數列稱 C和 Y_t 變數具有共積關係。，共積計 量理論的發展，首先由 Engle & Granger (1987) 所提出的兩階檢定( Two Step Cointegration Regression Test) 為發端。主要的檢定方積迴 歸的殘差項是否為□定的隨機過程。另外，Stock & Watson (1988)(1988,1990,1991) 分別自數列非□定角度和充分訊息概念，去驗 證多變數具有 (N-r) 個共同隨機趨勢，或存在 r 個共積向量。鑒於共積 計量理論進分配的性質，而且各種方法的探討架構亦不相同。所以，很難 在方法和統的比較分析。綜觀國外有關共積的研究，很少有比較不同的檢 定和估計梁志民 (1990)、蔡麗茹 (1992) 雖然也有提及，但仍屬部分。 故本文擬論，依共積體系之表現式、估計方法和檢定步驟，作更深入的比 較探討。臺灣總體經濟數列作實證研究，以探討其間可能存在的共積關係 。