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First Union Historical Stock Prices - Excel

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					            annual time 1st variable
Class #Student          period
    1                   Producer Price Index:   Industry
    2      1948-2008 Unemployment rate (unadjusted)
    3      1964-2008 AVERAGE HOURLY EARNINGS OF PRODUCTION WORKERS
    4      1964-2009 AVERAGE HOURLY EARNINGS OF PRODUCTION WORKERS
    5      1913-2008 The Producer Price Index
    6      1956-2008 Average majority prime rate charged by banks on short-term loans to business, quoted on an investme
    7      1956-2008 Total Consumer Credit Owned and Securitized, Not Seasonally Adjusted
    8      1959-2008 Money (M1) not seasonally adjusted
    9      1929-2008 Net government saving
   10      1960-2008 net lending or net borrowing by the government
   11      1929-2008 Net government saving
   12      1960-2008 net lending or net borrowing by the government
   13      1955-2008 Net government saving
   14      1960-2008 net lending or net borrowing by the government
   15      1973-2008 AVERAGE HOURLY EARNINGS OF PRODUCTION WORKERS
   16      1973-2008 The Consumer Price Index
   17      1973-2008 Average majority prime rate charged by banks on short-term loans to business, quoted on an investme
   18      1960-2008 U.S.exports
   19      1960-2008 U.S. imports
   20      1970-2008 Real GDP
   21      1970-2008 Real GDP
   22      1970-2008 Real GDP
   23      1956-2008 Net Saving
   24      1956-2008 Private consumption of fixed capital
   25      1959-2008 Money (M1) not seasonally adjusted
   26      1959-2008   Money (M1) not seasonally adjusted
   27      1967-2008   "domestic output of new autos"
   28      1967-2008   "Sales of imported new autos"
EXAMPLE    1976-2008   1-year Treasury bill secondary market rate^ discount basis
   30
   31
   32       Use your class number to choose the appropriate row for this homework.
   33       1. Find data on your first (column D) and second (column G) variables at the sites (col.
   34       sure you have the right variable use the hint in columns E and H respectively. You do n
   35       same source but your variable must be essentially the same as the ones shown in D an
   36
            shown beginning in column J.
   37
   38       2. On all data collected create a separate worksheet page on which to copy the data dir
   39       which you get it. Then include as
   40       close to the top left of your worksheet the URL from which the data came as well as the
   41       3. Prepare your data using the appropriate transformation called for in your hypothesis
   42       4. Use and include in your assignment the appropriate statistical techniques between t
   43       whether there is a significant positive or negative relationship between them. For this p
   44       correlation coefficient, a scattergram, or regression analysis. The maximu points are aw
            correctly.(If you want you may also use the pivot table for cross tabulation of the result
     correlation coefficient, a scattergram, or regression analysis. The maximu points are aw
45
     correctly.(If you want you may also use the pivot table for cross tabulation of the result
46
47
     5. What is your best guess about the relationship and why do you think so?
48   6. Send the project to me using WEBCT and use the subject line, "MIL09UlastnameAss
49
     DUE: June 16, 2009. 8:00 a.m.
           notes                       source               2nd variable            notes          source
                                       http://www.bls.gov/data/
           LNU04000000Q                                      Real GDP               GDP in           of chained 2000$
                                        http://data.bls.gov/PDQ/servlet/SurveyOutputServletbillionshttp://bea.gov/national/xls/gdplev.xls
           CEU0500000008                                     Unemployment rate (unadjusted)
                                                                                    LNU04000000Q
                                        http://data.bls.gov/PDQ/servlet/SurveyOutputServlet         http://data.bls.gov/PDQ/servlet/Surve
           CEU0500000009                                     The Consumer Price Index
                                                                                    CUUR0000SA0,CUUS0000SA0
                                        http://data.bls.gov/PDQ/servlet/SurveyOutputServlet         http://data.bls.gov/PDQ/servlet/Surve
           WPU00000000                                       The Consumer Price Index
                                                                                    CUUR0000SA0,CUUS0000SA1
                                        http://data.bls.gov/PDQ/outside.jsp?survey=wp               http://data.bls.gov/PDQ/servlet/Surve
                                                             The Consumer Price Index
                                                                                    CUUR0000SA0,CUUS0000SA2
                                                                                                    http://data.bls.gov/PDQ/servlet/Surve
           H15/H15/RIFSPBLP_N.A http://www.federalreserve.gov/econresdata/releases/statisticsdata.htm
                                                             Average majority primeH15/H15/RIFSPBLP_N.A
                                                                                     rate charged by banks
                                                                                                    http://www.federalreserve.gov/econre
           G19/CCOUT/DTCTL_N.M http://www.federalreserve.gov/datadownload/Format.aspx?rel=G19on short-term loans to busine
                                        http://www.federalreserve.gov/econresdata/releases/statisticsdata.htm depository institutions; (2)
                                                             Real GDP               GDP in and the of chained 2000$
                                                                                                     vaults of
           1. M1 consists of (1) currency outside the U.S. Treasury, Federal Reserve Banks, billionshttp://bea.gov/national/xls/gdplev.xls
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=84&ViewSeries=NO&Java=no&
                                                             (dummy variable ("1" in years where democrats are
           Use Table 3.1 "government current receipts and expenditures" use row 27 "net government saving" in office and 0 when wh
                                                             (dummy variable 39 titled net where or net borrowing"
           Use Table 3.1 "government current receipts and expenditures" row ("1" in years lendingdemocrats are in office and 0 when wh
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=84&ViewSeries=NO&Java=no&Re
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=84&ViewSeries=NO&Java=no&
                                                             Real GDP               GDP government saving" 2000$
                                                                                                     of chained
           Use Table 3.1 "government current receipts and expenditures" use row 27 "net in billionshttp://bea.gov/national/xls/gdplev.xls
                                                             Real GDP               GDP in billionshttp://bea.gov/national/xls/gdplev.xls
                                                                                                     of chained 2000$
           Use Table 3.1 "government current receipts and expenditures" row 39 titled net lending or net borrowing"
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=84&ViewSeries=NO&Java=no&Re
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=84&ViewSeries=NO&Java=no&
                                                             Federal Funds Rate                     http://www.federalreserve.gov/datado
           Use Table 3.1 "government current receipts and expenditures" use row 27 "net government saving"
                                                                                    H15/H15/RIFSPFF_N.A
                                                             Federal Funds EffectiveH15/H15/RIFSPFF_N.A
                                                                                     Rate           http://www.federalreserve.gov/datado
           Use Table 3.1 "government current receipts and expenditures" row 39 titled net lending or net borrowing"
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=84&ViewSeries=NO&Java=no&Re
           CEU0500000008                http://data.bls.gov/PDQ/servlet/SurveyOutputServlet
                                                                                    currencies      http://www.federalreserve.gov/release
                                                             nominal indexes: major H.10 Foreign exchange rates
           CUUR0000SA0,CUUS0000SA0      http://data.bls.gov/PDQ/servlet/SurveyOutputServlet
                                                                                    currencies      http://www.federalreserve.gov/release
                                                             nominal indexes: major H.10 Foreign exchange rates
           H15/H15/RIFSPBLP_N.A http://www.federalreserve.gov/econresdata/releases/statisticsdata.htm
                                                                                    currencies      http://www.federalreserve.gov/release
                                                             nominal indexes: major H.10 Foreign exchange rates
           Total U.S. Exports                              nominal indexes: major H.10 Foreign exchange
                                                                                     currencies      http://www.federalreserve.gov/release
                                       http://www.census.gov/foreign-trade/statistics/historical/gands.pdf rates
           Total U.S. Imports                              nominal indexes: major H.10 Foreign exchange
                                                                                     currencies      http://www.federalreserve.gov/release
                                       http://www.census.gov/foreign-trade/statistics/historical/gands.pdf rates
                                        http://bea.gov/national/xls/gdplev.xls
           GDP in billions of chained 2000$                  stock market price                      Composite Return Index
                                                                                        S&P 500 http://www.census.gov/compendia/sta
           GDP in billions of chained 2000$
                                        http://bea.gov/national/xls/gdplev.xls
                                                             stock market price         Dow Jones Composite (65 stocks)
                                                                                                    http://www.census.gov/compendia/sta
                                        http://bea.gov/national/xls/gdplev.xls
           GDP in billions of chained 2000$                  stock market price                     http://www.census.gov/compendia/sta
           Table 5.1 row 2                                                                          http://www.federalreserve.gov/econre
                                                                                     rate charged by banks on
                                                             Average majority primeH15/H15/RIFSPBLP_N.Ashort-term loans to busine
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=120&ViewSeries=NO&Java=no&R
           Table 5.1 row 14                                                                         http://www.federalreserve.gov/econre
                                                                                     rate charged by banks on
                                                             Average majority primeH15/H15/RIFSPBLP_N.Ashort-term loans to busine
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=120&ViewSeries=NO&Java=no&R
                                        http://www.federalreserve.gov/econresdata/releases/statisticsdata.htm depository institutions; (2)
                                                             Real GDP               GDP in and the of chained 2000$
                                                                                                     vaults of
           1. M1 consists of (1) currency outside the U.S. Treasury, Federal Reserve Banks, billionshttp://bea.gov/national/xls/gdplev.xls
                                        http://www.federalreserve.gov/econresdata/releases/statisticsdata.htm depository institutions; (2)
                                                             The Consumer Reserve Banks, and thehttp://data.bls.gov/PDQ/servlet/Surve
                                                                                    CUUR0000SA0,CUUS0000SA0
           1. M1 consists of (1) currency outside the U.S. Treasury, FederalPrice Index              vaults of
           Table 7.2.5 B row 44                              Real GDP                                of chained 2000$
                                                                                    GDP in billionshttp://bea.gov/national/xls/gdplev.xls
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=261&ViewSeries=NO&Java=no&R
           Table 7.2.5 B row 45                              Real GDP                                of chained 2000$
                                                                                    GDP in billionshttp://bea.gov/national/xls/gdplev.xls
                                        http://bea.gov/national/nipaweb/TableView.asp?SelectedTable=261&ViewSeries=NO&Java=no&R
                                                       MOODY'S YIELD ON SEASONED CORPORATE BONDS - ALL INDUSTRIE
                                                                            H15/H15/RIMLPBAAR_N.A
                                                                                            http://www.federalreserve.gov/datado
           H15/H15/RIFSGFSY01_N.A http://www.federalreserve.gov/datadownload/Build.aspx?rel=H15


 for this homework.
umn G) variables at the sites (col. F and I respectively). To make
ns E and H respectively. You do not have to use exactly the
 same as the ones shown in D and G for the hypotheses tests

age on which to copy the data directly fromthe website from

 hich the data came as well as the date.
 tion called for in your hypothesis.
e statistical techniques between the two variables to check
 ionship between them. For this purpose you may use the
nalysis. The maximu points are awarded if you use all three
  for cross tabulation of the results)
nalysis. The maximu points are awarded if you use all three
 for cross tabulation of the results)
 why do you think so?
 ubject line, "MIL09UlastnameAssn02".
hypothesis

The percentage change in the real GDP is inversely related to the unemployment rate.
The percentage change in average hourly earnings is inversely related to the unemployment rate
The percentage change in average hourly earnings is directly related to the inflation rate.
The percentage change in inflation at the consumer level (percentage change in the CPI) is directly related to the inflation rate
The percentage change in inflation at the consumer level (percentage change in the CPI) is directly related to the prime interes
The percentage change in consumer debt is related to the prime rate.
The logarithm of the Real GDP is directly related to the logarithm of the money supply (M1- not seasonally adjusted)
The percentage change in net government saving is directly related to the Democrats being President of the U.S.
The percentage change in net borrowing (-) by the government is directly related to the Democrats being President of the U.S.
The percentage change in net government saving is directly related to the percentage change in the real GDP of the economy
The percentage change in net borrowing (-) by the government is directly related to the percentage change in the GDP of the e
The percentage change in net government saving is directly related to the percentage change in the Federal Funds effective rat
The percentage change in net borrowing (-) by the government is directly related to the federal funds rate (the interest rate)
The percentage change in average hourly earnings is inversely related to the percentage change in the exchange rate value of t
The percentage change in the consumer inflation rate (consumer price index) is inversely related to the percentage change in t
The prime rate is inversely related to the percentage change in the exchange rate value of the dollar
The percentage change in imports is positively related to the percentage change in the exchange rate value of the dollar
The percentage change in exports is inversely related to the percentage change in the exchange rate value of the dollar
The percentage change in the real GDP is directly related to the percentage change in the stock market price.
The percentage change in the real GDP is directly related to the percentage change in the stock market price.
The percentage change in the real GDP is directly related to the percentage change in the stock market price.
The percentage change in savings is related to the prime rate.
The percentage change in investment is related to the prime rate.
The inflation rate (percentage change of the CPI) is directly related to the percentage change of the money supply (M1- not se
The percentage change of the Real GDP is directly related to the percentage change of the money supply (M1- not seasonally
The logartihm of domestic car output is directly related to the logarithm of the real GDP
The logartihm of imported cars is directly related to the logarithm of the real GDP
Moody's Baa rated corporate bonds are positively related to 1 year treasuries
ctly related to the inflation rate at the producer price level (percentage change in PPI).
ctly related to the prime interest rate charged by banks to their best customers

ot seasonally adjusted)
sident of the U.S.
rats being President of the U.S.
 the real GDP of the economy
age change in the GDP of the economy
 the Federal Funds effective rate (interest rate)
 funds rate (the interest rate)
  in the exchange rate value of the dollar
 d to the percentage change in the exchange rate value of the dollar

e rate value of the dollar
 rate value of the dollar
 market price.
 market price.
 market price.



 the money supply (M1- not seasonally adjusted)
ey supply (M1- not seasonally adjusted)
          H.15
Download Page Selected Interest Rates for Jun 08, 2009
          1-year       MOODY'S YIELD ON SEASONED CORPORATE
Series Description Treasury bill secondary market rate^ discount basis BONDS - ALL INDUSTRIES, BAA
Unit:                  Percent:_Per_Year
          Percent:_Per_Year
Multiplier:       1          1           REFERENCE for source of data:
Currency: NA            NA               http://www.federalreserve.gov/datadownload/Download.as
Unique Identifier:
          H15/H15/RIFSGFSY01_N.A         DATE: june7, 2009
                        H15/H15/RIMLPBAAR_N.A
Time Period
          RIFSGFSY01_N.ARIMLPBAAR_N.A    I can only use the data where both series have information
1959               4.64                   (so I pick out the red data to be used in cols. E and F).
1960           3.42                                                 Scattergram:
1961           2.81                                                                        18
1962           3.01
                                                                                           16
                                                                                                    Scattergram of Moody's on
1963            3.3
1964           3.75                                                                        14




                                                                       Moody's Baa Yield
1965           4.06                                                                        12
1966           5.07
                                                                                           10
1967            4.7
1968           5.46                                                                         8
1969           6.79                                                                         6
1970           6.49
                                                                                            4
1971           4.67
1972           4.76                                                                         2
1973           7.02                                                                         0
1974           7.72                                                                             0       2        4         6
1975            6.3                      1yrTs          MoodyBaa
1976           5.52       9.75                 5.52          9.75                                                    Treasury Interest Rate
1977            5.7       8.97                  5.7          8.97
1978           7.74       9.49                 7.74          9.49
1979           9.73      10.69                 9.73        10.69                                There is a positive relationship evident in upwa
1980          10.85      13.67                10.85        13.67                                correlation=      0.90534
1981          13.16      16.04                13.16        16.04                                Since the correlation coefficient is close to 1.0 t
1982          11.07      16.11                11.07        16.11
1983            8.8      13.55                  8.8        13.55                                SUMMARY OUTPUT
1984           9.94      14.19                 9.94        14.19
1985           7.81      12.72                 7.81        12.72                                 Regression Statistics
1986           6.07      10.39                 6.07        10.39                                Multiple R     0.90534
1987            6.33     10.58                   6.33       10.58                               R Square        0.81964
1988            7.13     10.83                   7.13       10.83                                              0.812125
                                                                                                Adjusted R Square
1989            7.92     10.18                   7.92       10.18                               Standard Error 1.107547
1990            7.35     10.36                   7.35       10.36                               Observations         26
1991            5.52       9.8                   5.52         9.8
1992            3.71      8.98                   3.71        8.98                               ANOVA
1993            3.29      7.93                   3.29        7.93                                                    df

1994            5.02      8.63                   5.02        8.63                               Regression                1

1995             5.6       8.2                    5.6         8.2                               Residual                  24
1996            5.22      8.05                   5.22        8.05                               Total                     25
1997            5.32      7.87                   5.32        7.87
1998             4.8      7.22                    4.8        7.22                                             Coefficients
1999            4.81      7.88                   4.81        7.88                               Intercept      3.965758
2000            5.78      8.37                   5.78        8.37                               1yrTs          0.928441
2001            3.84      7.95                   3.84        7.95
2002   ND           7.8   the equation for predicting Moody
2003   ND          6.76   As a rule of thumb add 4% of interest to .92 of t
2004   ND          6.39   RESIDUAL OUTPUT
2005   ND          6.06
2006   ND          6.48          Predicted MoodyBaa
                          Observation
2007   ND          6.48              1 9.09075
2008        1.63   7.44              2 9.25787
                                     3 11.15189
                                     4 12.99949
                                     5 14.03934
                                     6 16.18404
                                     7 14.2436
                                     8 12.13604
                                     9 13.19446
                                    10 11.21688
                                    11 9.601393
                                    12 9.842787
                                    13 10.58554
                                    14 11.31901
                                    15 10.7898
                                    16 9.09075
                                    17 7.410273
                                    18 7.020328
                                    19 8.62653
                                    20 9.165026
                                    21 8.812218
                                    22 8.905062
                                    23 8.422273
                                    24 8.431558
                                    25 9.332145
                                    26 7.53097
STRIES, BAA



adownload/Download.aspx?rel=H15&series=fdc6a61440f337ba9aa2b5f5d99976ea&from=01/01/19

h series have information and where they are contiguous
sed in cols. E and F).
                                                                              the line fit plot given by the regression
gram of Moody's on Treasuries                                                 program actually places the values (in red)
                                                                                                                                       18
                                                                              predicted by the regression model
                                                                              for our scattergram.
                                                                              The regression results below                             16
                                                                              actually provide the model that
                                                                              describes these points.                                  14
                                                         MoodyBaa
                                                                                                                                       12




                                                                                                                            MoodyBaa
                                                                                                                                       10

            6          8       10     12       14                                                                                       8
      Treasury Interest Rate
                                                                                                                                        6

sitive relationship evident in upward slope of points!                                                                                  4

elation coefficient is close to 1.0 there is a strong positive relationship                                                             2

                                                                                                                                        0
                                                                                                                                            0


                Nearly 82% of variation in Moody's is related to the variation in Treasuries




                  SS           MS          F    Significance F

                133.7887 133.7887 109.0674          2.09E-10   There is only .000000000209 chance this
                29.43986 1.226661                              relationship could have occurred by accident
                163.2286

           Standard Error t Stat P-value Lower 95%Upper 95%          Upper 95.0%
                                                           Lower 95.0%
              0.646324 6.135867 2.44E-06 2.631811 5.299705 2.631811 5.299705
              0.088901 10.44353 2.09E-10 0.744958 1.111923 0.744958 1.111923
ion for predicting Moody's Baa rated bond interest is= 3.965758 + .928441* 1 Yr treasuries.
umb add 4% of interest to .92 of the treasury rate and you have the best possible prediction of what Moody's Baa bonds interest rate will be.


            Residuals
              0.65925
                                                                                             1yrTs Residual Plot
             -0.28787                                                                 4
             -1.66189
                                                                                      2




                                                                          Residuals
             -2.30949
             -0.36934                                                                 0
             -0.14404                                                                 -2 0         5                 10
             1.866404                                                                 -4
             1.413964                                                                                     1yrTs
             0.995542
              1.50312
             0.788607
             0.737213
              0.24446
             -1.13901
               -0.4298
              0.70925
             1.569727
             0.909672
              0.00347
             -0.96503
             -0.76222
             -1.03506
             -1.20227
             -0.55156
             -0.96215
              0.41903
a&from=01/01/1919&to=12/31/2009&lastObs=&filetype=spreadsheetml&label=include&layout=serie




                      1yrTs Line Fit Plot
     18

     16

     14

     12

     10

      8                                          MoodyBaa
                                                 Predicted MoodyBaa
      6

      4

      2

      0
          0       5             10          15
                        1yrTs




hance this
d by accident
reasuries.
onds interest rate will be.




                     15
clude&layout=seriescolumn

				
DOCUMENT INFO
Description: First Union Historical Stock Prices document sample