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The remainder of this paper is organized as follows: Section 2 describes the data sourcesand preliminary methodology, while Section 3 presents unit roots and co-integration analysesof the time series employed. Section 4 discusses the vector error correction model(VECM). Section 5 evaluates the time-path of the responses between stock prices andunexpected movements of inflation. A summary is found in the final section.This study covers nine equity markets in the Pacific-Basin: Australia, Hong Kong,Indonesia, Japan, SouthKorea, Malaysia, the Philippines, Singapore, and Thailand. Monthlyconsumer price index (CPI) and monthly stock prices are used. Stock price indices for Indonesia,the Philippines, Singapore and Thailand are obtained from World Stock ExchangeFact Book (1996 and 2000 Editions, Meridian Securities Markets) and those for Australia,Hong Kong, Japan and South Korea from their respective homepages. Consumer priceindices for all countries are from Monthly Financial Statistics (International MonetaryFund):The monthly stock price and consumer price indices and the time periods studied for thenine individual markets are as follows.