问一道题：NO.PZ2020010801000002

问题如下：

You suspect that the CAPM held on all days except those with a Federal Open Markets Committee (FOMC) announcement, and on these days the $\beta$ is different. How can a dummy be used to capture this effect? What could you do if you suspected that both a and b are different on FOMC days?

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解释：

The model that allowed differences in the slope would be $R_i = \alpha + \beta R_{m,i} + \gamma I_{FOMC} R_{m,i} + \epsilon_i$ where $I_{FOMC}$ is 1 on FOMC days and 0 otherwise. If $\gamma$ is not zero, then the slope is different on FOMC days. This can be extended to both parameters by estimating the model

$R_i = \alpha + \gamma I_{FOMC}+\beta R_{m,i} + \gamma I_{FOMC} R_{m,i} + \epsilon_i$

and on these days the β is different. How can a dummy be used to capture this effect?

为什么不可以像以下引入dummy variable 呢？

Ri=α+β*γIFOMC*Rm,i+ϵi

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1 个答案

品职答疑小助手雍 · 2020年02月26日

同学你好，这样非FOMC日只剩下常数项了没法做回归啊。

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NO.PZ2020010801000002 问题如下 You suspeththe CAPM helon all ys except those with a FerOpen Markets Committee (FOMannouncement, anon these ys the β\betis fferent. How ca mmy useto capture this effect? Whcoulyou if you suspectethboth a anb are fferent on FOMC ys? The mol thallowefferences in the slope woulRi=α+βRm,i+γIFOMCRm,i+ϵiR_i = \alpha + \beta R_{m,i} + \gamma I_{FOMR_{m,i} + \epsilon_iRi=α+βRm,i+γIFOMCRm,i+ϵi where IFOMCI_{FOMC}IFOMis 1 on FOMC ys an0 otherwise. If γ\gammis not zero, then the slope is fferent on FOMC ys. This cextento both parameters estimating the mol Ri=α+γIFOMC+βRm,i+γIFOMCRm,i+ϵiR_i = \alpha + \gamma I_{FOMC}+\beta R_{m,i} + \gamma I_{FOMR_{m,i} + \epsilon_iRi=α+γIFOMC+βRm,i+γIFOMCRm,i+ϵi 这个公式说明了什么问题？

2023-02-05 02:27 3 · 回答

NO.PZ2020010801000002 如题，好奇为什么要加入（Rm,i）在γIFOMC里面？谢谢

2022-02-22 14:06 1 · 回答

NO.PZ2020010801000002 a和b 在这里代表什么

2022-01-17 20:09 1 · 回答

NO.PZ2020010801000002 前边那个公示是可以理解的，引入哑变量来看对Rmi是否有影响，但后面完全看不懂，感觉和老师上课讲的构建的哑变量模型不一样

2021-12-30 18:49 2 · 回答

请问第二个方程式是怎么从第一个方程式扩展来的

2020-02-25 14:53 2 · 回答

问一道题：NO.PZ2020010801000002

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