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系統識別號 U0002-0601202015141200
中文論文名稱 原物料價格與原物料進口國匯率之關係
英文論文名稱 The relationship between real commodity price and real exchange rate of commodity-importing countries
校院名稱 淡江大學
系所名稱(中) 經濟學系經濟與財務碩士班
系所名稱(英) Master's Program in Economics and Finance, Department of Economics
學年度 108
學期 1
出版年 109
研究生中文姓名 吳爰媛
研究生英文姓名 Yuan-Yuan Wu
學號 607570172
學位類別 碩士
語文別 中文
口試日期 2019-12-27
論文頁數 41頁
口試委員 指導教授-林亦珍
委員-孫育伯
委員-廖惠珠
中文關鍵字 縱橫資料平滑移轉迴歸模型  原物料價格  商品進口國  實質匯率  縱橫資料固定效果門檻模型  金融整合 
英文關鍵字 Panel Smooth Transition Regression Model  Commodity prices  Commodity-importing countries  Exchange rate  Fixed-effect Panel Threshold Model  Financial integration 
學科別分類
中文摘要 本文研究目的在探討原物料價格變動與進口國匯率變動之間的關係。我們將各國的金融整合程度視為物價與匯率相互影響的傳導媒介,並討論原物料價格與匯率的關係是否會隨著進口國的金融整合程度而有所不同。採用兩種研究方法:第一為縱橫資料固定效果門檻模型,第二為縱橫平滑移轉迴歸模型。我們的研究結果發現能源價格、原物料價格、Balassa-Samuelson效應以及國外資產淨額占GDP比重對匯率的影響,會隨著金融整合程度的升高而減少。
英文摘要 The purpose of this paper is to explore the relationship between real commodity price and real exchange rate of commodity-importing countries. We consider the degree of financial integration as a transmission channel through which commodity price affects exchange rate, and discuss whether the relationship between commodity prices and exchange rates varies with the degree of financial integration of commodity-importing countries. Two research methods are adopted: the first is the fixed-effect panel threshold model, and the second is the panel smooth transition regression model. Our results show that the effects of energy prices, raw materials prices, Balassa-Samuelson effect and the ratio of net foreign assets to GDP on exchange rate decrease as the degree of financial integration increases.
論文目次 目錄 I
表目錄 III
圖目錄 IV
第一章、緒論 1
1.1研究動機 1
1.2研究目的 2
1.3研究架構 2
第二章、文獻回顧 4
2.1匯率相關 4
2.1.1以進、出口國為樣本 4
2.1.2以出口國為樣本 8
2.2金融整合相關 11
2.3 PSTR模型應用 11
2.4文獻回顧小結 13
第三章、資料與變數定義 13
3.1資料 13
3.2變數定義 14
第四章、方法與模型 15
4.1研究方法 15
4.1.1 縱橫資料固定效果門檻模型Fixed-effect Panel Threshold Model 16
4.1.2 縱橫平滑移轉迴歸模型Panel Smooth Transition Regression Model 16
4.2實證模型 18
第五章、實證結果 19
5.1 縱橫資料固定效果門檻模型之實證結果 19
5.2 縱橫平滑轉移迴歸模型之實證結果 24
5.3 FEPT與PSTR模型結果之比較 35
第六章、結論 36
參考文獻 38
附錄 40

表目錄
表5.1.1FEPT模型之門檻估計值:金融整合程度指標為M2/GDP 19
表5.1.2FEPT模型之門檻效果檢定:金融整合程度指標為M2/GDP 19
表5.1.3FEPT模型之門檻估計值:金融整合程度指標為FDI/GDP 20
表5.1.4FEPT模型之門檻效果檢定:金融整合程度指標為FDI/GDP 20
表5.1.5FEPT模型之估計結果:金融整合程度指標為FDI/GDP 21
表5.1.6FEPT模型之門檻估計值:金融整合程度指標為PC/GDP 22
表5.1.7FEPT模型之門檻效果檢定:金融整合程度指標為PC/GDP 22
表5.1.8FEPT模型之估計結果:金融整合程度指標為PC/GDP 24
表5.2.1PSTR模型之線性檢定 25
表5.2.2轉換函數形式檢定 26
表5.2.3PSTR模型之估計結果:金融整合程度指標為FDI/GDP 27
表5.3.1FEPT與PSTR模型估計結果比較 35
附表1.1進口國家列表 40
附表1.2變數定義與來源 41

圖目錄
圖1.3.1研究架構之流程圖 3
圖5.2.1BALASSA-SAMUELSON效應係數變化圖 29
圖5.2.2國外資產淨額占GDP比重係數變化圖 30
圖5.2.3能源價格係數變化圖 31
圖5.2.4原物料價格係數變化圖 32
圖5.2.5外國直接投資占GDP比重係數變化圖 33
圖5.2.6轉換函數圖 34
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trend or the new normal?” Journal of Banking and Finance, 60, pp. 93-111.
Aghion, P., Bacchetta, P., Ranciere, R. and Rogoff, K. (2009). “Exchange rate
volatility and productivity growth: The role of financial development” Journal of
Monetary Economics, 56, pp.494-513.
Basher, S., Haug, A. and Sadorsky, P. (2016). “The impact of oil shocks on exchange
rates: A Markov-switching approach” Energy Economics, 54, pp. 11-23.
Beckmann, J. and Czudaj, R. (2013a). “Is there a homogeneous causality pattern
between oil prices and currencies of oil importers and exporters?” Energy
Economics, 40, pp. 665-678.
Boubakri, S., Guillaumin, C., Silanine, A. (2019). “Non-linear relationship between
real commodity price volatility and real effective exchange rate: The case of
commodity-exporting countries” Journal of Macroeconomics, 60, pp.212-228.
Cashin, P., Céspedes, L. and Sahay, R. (2004). “Commodity currencies and the real
exchange rate” Journal of Development Economics, 75(1), pp. 239-268.
Fratzscher, M., Schneider, D. and Robays, I. V. (2014). “Oil prices, exchange rates
and asset prices” European Central Bank Working Paper, No.1689.
Giannellis, N. and Koukouritakis, M. (2019). “Gold price and exchange rates: A panel
smooth transition regression model for the G7 countries” North American
Journal of Economics and Finance, 49, pp. 27-46.
González, A., Teräsvirta, T., van Dijk, D. and Yukai, Y. ( 2017). “Panel Smooth
Transition Regression Models” Department of Economics and Business
Economics, Aarhus University CREATES Research Paper, 36.
Hansen, B. E. (1996). “Threshold effects in non-dynamic panels: Estimation, testing
and inference” Journal of Econometrics, 93, pp. 345-368.
Habib, M. M., Bützer, S. and Stracca, L. (2016). “Global exchange rate
configurations: Do oil shocks matter?” IMF Economic Review, (64), No. 3.
Lizardo, A. R. and Mollick V. A. (2010). “Oil price fluctuations and U.S. dollar
exchange rates” Energy Economics, 32, pp. 399-408.
Teräsvirta, T. (1994). “Specification, estimation, and evaluation of smooth transition
autoregressive models” Journal of the American Statistical Association, 89, pp.
208–218.
Teräsvirta, T. (1998). “Modelling economic relationships with smooth transition
regressions” in Handbook of applied economic statistics, ed. by A. Ullah, and D.
E. A. Giles, pp. 507–552. New York: Marcel Dekker.
Teräsvirta, T., Tjøstheim D. and Granger C. W. J. (2010). “Modelling Nonlinear
Economic Relationships” Oxford: Oxford University Press.
Wang, Q. (2015). “Fixed-effect panel threshold model using Stata” The Stata
Journal, 15, Number 1, pp.121-134.
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