近年來國際原油價格變化萬千且波動甚劇，使得國際油價成為全球矚目的焦點。因此，本研究將從全球暖化、期貨市場交易行為以及市場供需之變化等層面，分析EKC、電子交易制度以及中國大陸石油需求對國際原油價格之影響。
    全球暖化問題造成各地氣候異常，進而影響國際油價走勢，故本論文第二章採用分量迴歸分析法，探討經濟成長與溫室氣體 (CO2) 排放的關係，希冀藉此能掌握全球暖化情勢，並可捕捉油價未來之動態。研究結果發現倒U字型的EKC曲線，且在高CO2排放量的國家具有更顯著的關係。除傳統分量迴歸方法外，為避免產生模型選擇誤差之情形，本文亦使用了半參數的分量迴歸方式，並與傳統分量迴歸相比較，結果發現三次式的迴歸方程較適合捕捉CO2的排放與經濟成長之間的關係。
    由於電子交易制度日趨普及，且似乎更適合目前快速變遷的世界，基此，本論文第三章探討電子交易制度的施行，對布蘭特原油期貨價格波動的影響。待建立適當的 GARCH 模型後，將可估計出兩條條件報酬波動序列，再應用 Bai 和 Perron 所提出的結構轉變模型，發現報酬波動序列出現兩個明顯的結構中斷點，約是電子交易施行的附近。而實証結果也顯示在全面電子交易時期，條件報酬波動序列主要受到暫時持續性的影響，而非波動聚集效果，此結果隱含在電子交易制度下，人們傾向運用較多完整的訊息。然而，基於原油期貨商品之特殊性質，多數投資者在缺乏充分認知下，無法充分掌握合理之原油商品價格，故在電子交易制度之下，使得原油期貨價格波動程度提高。
    有鑑於中國大陸石油需求日益增加，因此，本研究第四章以縱橫資料分析法，探討1999年至2006年間，中國各省市級行政區域之汽、柴油需求發展狀況。研究結果發現，汽、柴油價格對於汽、柴需求幾乎無任何影響性，另外，隨著國民所得的增加，各地都市化、工業化以及汽車化的興起，帶動對柴油與汽油的需求。未來中國大陸為滿足內部成品油的需求，新建置的煉油廠將陸續投入生產，故需進口大量原油方得以煉製足夠成品油，此隱含將有一股來自需求面的向上拉力推升國際油價。

The record high crude oil price and its high volatility attract lots of attention in the whole world.  This paper attempts to investigate the influences of global warming, futures trading system and oil market demand and supply on oil price.  By analyzing the EKC, we can catch the situation of global warming and infer the possible oil price pattern.  In contrast to conventional conditional mean approaches, we use the quantile regression, both parametrically and semi-parametrically, to investigate the relationship between CO2 emissions and economic growth.  The empirical results show that the cubic form relationship is found to be better capturing this relationship since our semi-parametric result is more consistent to the cubic form of parametric result.  We found some evidence to support the inverted- shape EKC again although it is only observed for higher CO2 emissions countries. 
    Since electronic trading systems are more pervasive today and may be more suitable for the rapid changing world.  This paper uses daily Brent crude prices to investigate the employment of electronic trading on the returns conditional volatility in the oil futures market.  After a suitable GARCH model is established, the conditional volatility series are found.  The Bai and Perron model is then used to find two significant structural breaks for these conditional volatility series around two implementation dates of electronic trading. This result indicates the change in the trading system has significant impacts on the returns volatility since our estimated second break date is very close to the all-electronic trade implementation date.  Moreover, the conditional volatility in the all-electronic trading period is found to be more dominated by the temporal persistence rather than the volatility clustering effect.  All these evidence can shed some light for explaining the high relationship between more volatile world oil price and the more popular electronic trade.      
    Owning to Chinese oil demand is the major sources of world oil demand growth, this paper would like to investigate the development of Chinese oil demand and infer its possible future trend.  It is believed that the oil price trend can be better captured after we trace this oil demand movement.  By panel data method, we find the higher GDP growth rate results in more diesel and gasoline consumption, which indicating the increasing consumption of transportation fuels verifies the trend of more motor vehicle population in China.  Since GDP is still increasing significantly in China, the trend of more motor vehicle population implies the more demand side pull-up impact on the world oil market especially for the diesel and gasoline market.

第一章　緒論...............................................1
1.1	研究動機與目的……………………………………………1
1.2	研究架構……………………………………………………5
1.3	研究內容……………………………………………………5

第二章　以分量迴歸法重新探討環境Kuznets假說……………………7
2.1	前言…………………………………………………………7
2.2	模型設定……………………………………………………9
2.3	資料來源與實證結果………………………………………13
2.4	參數與半母數分量迴歸結果………………………………16
2.5	結論…………………………………………………………23
參考文獻…………………………………………………………………24

第三章　電子交易制度與報酬波動:石油期貨市場之驗證.........27
3.1	前言…………………………………………………………27
3.2	研究方法……………………………………………………31
3.3	資料來源與資料特性………………………………………34
3.4	實證結果……………………………………………………36
3.5	結論…………………………………………………………43
參考文獻…………………………………………………………………45
附錄………………………………………………………………………48

第四章　中國大陸石油需求發展之探討........................49
4.1	前言…………………………………………………………49
4.2	文獻回顧……………………………………………………55
4.3	研究方法……………………………………………………59
4.4	資料來源與說明……………………………………………67
4.5	實證結果……………………………………………………69
4.6	結論…………………………………………………………79
參考文獻…………………………………………………………………82
附錄……………………………………………………………………86

第五章 結論與建議........................................95

表目錄
表 1.1  近年全球原油供需狀況………………………………………2
表 2.1  基本統計量…………………………………………………14
表 2.2  母數與半母數均數迴歸結果………………………………15
表 2.3  含二次項的母數分量迴歸估計結果………………………17
表 2.4  表2.3之ANOVA結果…………………………………………18
表 2.5  含二次與三次項的傳統分量迴歸估計結果………………20
表 2.6  表2.5之ANOVA結果…………………………………………20
表 2.7  半母數分量迴歸估計結果…………………………………22
表 3.1  電子交易系統與公開喊價系統之比較……………………28
表 3.2  基本統計量…………………………………………………35
表 3.3  GARCH 之選定………………………………………………36
表 3.4  GARCH(1,1) 估計結果……………………………………37
表 3.5  結構轉變檢定………………………………………………37
表 3.6  結構中斷日期………………………………………………39
表 3.7  不同區間下GARCH(1,1) 估計結果…………………………43
表 4.1  變數名稱、定義與資料來源………………………………68
表 4.2  汽、柴油需求彈性估計結果………………………………71
表 4.3  人均汽、柴油需求彈性估計結果…………………………72
表 4.4  Panel單根檢定 (含截距趨勢項)…………………………73
表 4.5  Panel單根檢定 (不含趨勢項)……………………………74
表 4.6  汽、柴油消費總量估計結果………………………………76
表 4.7  人均汽、柴油消費量估計結果……………………………77

圖目錄
圖 1.1  2007年全球前六大石油消費國………………………………3
圖 1.2  2007年全球前六大石油進口國………………………………4
圖 1.3  研究架構………………………………………………………5
圖 2.1  CO2與平均每人GDP配適線(二次式與三次式)……………15
圖 2.2  CO2與平均每人GDP配適線(半母數)………………………16
圖 2.3  根據第(2.1)式，在不同分量水準下( =10%、25%、50%、75%和90%)，平均每人二氧化碳排放量與平均每人GDP之配適線(二次式)………18
圖 2.4  根據第(2.2)式，在不同分量水準下( =10%、25%、50%、75%和90%)，平均每人CO2 排放量與平均每人GDP之配適線(三次式)…………19
圖 2.5  根據第(2.5)式，在不同分量水準下( =10%、25%、50%、75%和90%)，平均每人CO2 排放量與平均每人GDP之半母數分量迴歸配適線)…………22
圖 3.1  樣本期間……………………………………………………35
圖 3.2  布蘭特原油期貨每日價格、取自然對數後之報酬與報酬波動趨勢…40
圖 3.3  布蘭特原油期貨每日價格、直接報酬與報酬波動趨勢…41
圖 4.1  全球石油需求與國際油價…………………………………50
圖 4.2  1999-2006年間中國大陸各級行政區域國內生產毛額……51
圖 4.3  1999-2006年間中國大陸各級行政區域汽柴油總消費量…52
圖 4.4  1999-2006年間中國大陸各級行政區域汽柴油價格………52
圖 4.5  1999-2006年間中國大陸各級行政區域人均GDP…………54
圖 4.6  1999-2006年間中國大陸各級行政區域人均汽、柴油消費量…54
圖 4.7  模型設定架構………………………………………………60

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