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系統識別號 U0002-0606200820185600
中文論文名稱 原油價格與總體經濟變數非線性平滑轉換誤差修正模型之實證分析
英文論文名稱 The Crude Oil Price and among Macroeconomic Variables in Smooth Transition Error Correction Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 2
出版年 97
研究生中文姓名 張懿鵬
研究生英文姓名 Yi-peng Chang
學號 695530773
學位類別 碩士
語文別 中文
口試日期 2008-05-17
論文頁數 55頁
口試委員 指導教授-莊武仁
委員-林筠
委員-劉邦典
委員-李命志
中文關鍵字 國際原油價格  共積分析  非線性平滑轉換誤差修正模型 
英文關鍵字 Crude oil price  Cointegration  Nonlinear Smooth Transition Error Correction Model 
學科別分類 學科別社會科學商學
中文摘要 本文探討美國的產出與國際原油價格之間由短期動態調整至長期均衡的過程,以實質景氣循環理論作為探討產出與原油價格關係的理論基礎。研究期間自1959年第1季至2007年第3季。研究變數包含產出、貨幣供給、政府支出、利率以及國際原油價格。實證方法則是利用單根檢定、共積分析以及非線性平滑轉換誤差修正模型。
實證結果發現:產出、政府支出、貨幣供給、利率與原油價格需經一次差分後方能成為定態序列,即受到衝擊事件後會隨著時間慢慢回復到長期均衡。此外,五個變數之間存在一條共積關係,油價對產出呈現負向的影響。在非線性的模型估計中,發現產出從短期動態調整至長期均衡的過程以門檻值為中心,在兩體系間進行非線性且對稱的轉換,而且轉換的時點正值過去40年來曾發生原油危機的期間。此外,於各體系當中,前期貨幣供給量對當期產出皆有顯著地正向影響。
英文摘要 The purpose of this paper is to investigate the relationship among crude oil price and macroeconomic variables. Based on Real Business Cycle Theory, the shock came from real supply side, like oil shocks, were a contributing factor of economic recessions. A nonlinear smooth transition error correction model is specified and estimated with an equilibrium error as a proxy for the transition variable.
The empirical results show that the GDP, government expenditure, money supply, interest rate and crude oil price are cointegrated with each other. The long-run equilibrium relationship among GDP, macroeconomic variables and crude oil price is stable with nonlinear adjustment. The evidences suggest that the ESTECM model is best for characterizing the behaviors.
論文目次 第一章 序論 1
第一節 研究動機與目的 1
第二節 研究變數與資料期間 3
第三節 研究架構與流程 4
第二章 理論基礎與文獻回顧 6
第一節 國際原油價格的變動 6
第二節 實質景氣循環理論 9
第三節 國際原油價格與總體經濟變數之相關文獻 10
第四節 總體經濟變數非線性模型之相關文獻 14
第三章 實證模型設定 15
第一節 單根檢定 15
第二節 共積向量之估計與檢定 20
第三節 線性誤差修正模型 23
第四節 非線性平滑轉換誤差修正模型 24
第五節 非線性模型檢定與模型之選擇 26
第四章 實證分析 28
第一節 研究資料 28
第二節 單根檢定 30
第三節 油價與總體經濟變數之共積分析 34
第四節 線性誤差修正模型 41
第五節 非線性檢定與轉換函數模型之選擇 42
第六節 非線性模型之估計 44
第五章 結論 48
參考文獻 50

表目錄
【表2-1】1950年以來的國際原油市場危機 7
【表3-1】共積模型設定的檢定 22
【表 4-1】資料來源與說明 29
【表 4-2】各變數的基本統計量 30
【表 4-3】單根檢定-水準項 31
【表 4-4】單根檢定-差分項 31
【表 4-5】誤差序列相關險定 35
【表 4-6】模型設定檢定 35
【表 4-7】油價與總體經濟變數間之共積向量檢定 37
【表 4-8】未限制下之估計檢定結果 39
【表 4-9】t-1期短期調整矩陣 40
【表 4-10】t-2期短期調整矩陣 40
【表 4-11】線性誤差修正模型之估計與檢定結果 41
【表 4-12】產出(Y)變數之非線性檢定之P值 42
【表 4-13】產出(Y)變數之ESTECM模型估計 44

圖目錄

【圖 4-1a】所得之原始序列與差分序列走勢圖 32
【圖 4-1b】政府支出之原始序列與差分序列走勢圖 32
【圖 4-1c】貨幣供給之原始序列與差分序列走勢圖 32
【圖 4-1d】利率之原始序列與差分序列走勢圖 33
【圖 4-1e】國際原油價格之原始序列與差分序列走勢圖 33
【圖 4-2】殘差交叉相關與自我相關圖 35
【圖 4-3】伴隨矩陣的特性根 37
【圖 4-4】共積向量β圖 38
【圖4-5】轉換函數圖 46
【圖4-6】轉換函數之時間變化圖 47



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國內文獻
王友利、王天賜(2005),「原油價格與台灣總體經濟」,第六屆全國實証經濟學論文研討會,國立高雄大學,5 月14 日。
王天賜 (2004),「原油價格、台灣股價指數與總體經濟的關聯性」,國立東華大學國際經濟研究所碩士論文。
王鈺雯 (2006),「國內油價與所得關係之探討-門檻向量誤差修正模型之應用」,國立中山大學經濟學研究所碩士論文。
任淑怡 (2001),「台灣景氣循環與國際原油價格-共整合及共特徵分析」,輔仁大學經濟學研究所碩士論文。
許琇庭 (2006),「台灣利率期限結構之非線性平滑轉換誤差修正模型實證研究」,淡江大學金融研究所碩士論文。
黃旭淳 (2005),「國際原油價格對總體經濟變數之影響」,國立交通大學經營管理研究所碩士論文。
黃宗煌、陳谷汎和林師模(2006),「國際油價上漲的經濟影響評估」,台灣經濟論衡,第4卷,第6期,頁1-46。
楊雅瑜 (2006),「非線性時間數列模式之比較分析 -具結構性改變之原油價格資料預測」,國立台北大學統計學研究所碩士論文。
蔡蓓婷 (2004),「台灣貨幣需求函數-非線性平滑轉換誤差修正模型之分析」,淡江大學金融研究所碩士論文。
鄭育珊 (2006),「匯率與總體變數非線性平滑轉換誤差修正模型之實證分析」,淡江大學金融研究所碩士論文。
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