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System No. U0002-2406200821102000
Title (in Chinese) CRB商品指數與股價指數、匯率及油價關聯性之研究
Title (in English) Investigating theRelationships for CRB Index with Stock Price, Exchange Rate and Oil Price
Other Title
Institution 淡江大學
Department (in Chinese) 管理科學研究所碩士班
Department (in English) Graduate Institute of Management Science
Other Division
Other Division Name
Other Department/Institution
Academic Year 96
Semester 2
PublicationYear 97
Author's name (in Chinese) 蔡睿宇
Author's name(in English) Ruei-Yu Tsai
Student ID 695620509
Degree 碩士
Language Traditional Chinese
Other Language
Date of Oral Defense 2008-05-30
Pagination 66page
Committee Member advisor - Yen-Sen Ni
co-advisor - Chao-Che Hsu
co-chair - Wen-Cheng Hsiao
co-chair - Kuo-Ren Lou
Keyword (inChinese) 向量自我迴歸模型
衝擊反應函數
預測誤差變異分解
共整合
雙變量GARCH
Keyword (in English) VAR
Impulse Response Function
Error Variance Decomposition
Cointegration
Bivariate Garch Models
Other Keywords
Subject
Abstract (in Chinese)
原物料價格在過去的20年間,價格一直相當平穩,甚少有大漲大跌的情行,但從2002年開始走多頭,從2005年開始原物料價格更是一路飆漲,一直到2007年甚至到2008年初,其漲勢似乎尚未停歇。本研究主要採用向量自我迴歸模型、共整合檢定和雙變量GARCH模型,以R/J CRB商品指數代表原物料價格走勢,來探討2005年至2007年間,R/J CRB商品指數與台美股價指數、美日和台美匯率和油價報酬率關聯性及波動性外溢效果。
    由Granger因果關係之實證結果發現,R/J CRB商品指數與道瓊工業指數和那斯達克指數俱有雙向回饋關係,且R/J CRB商品指數對美股為負相關,代表原物料上漲對股市而言,實屬不利之消息。而由波動性外溢效果之實證結果發現,R/J CRB商品指數波動性會單向外溢至台灣加權指數,原因可能是台灣屬於資源極度匱泛的海島型國家,原物料取得多由國外進口,所以原物料價格波動時,台灣會受其影響;而美日匯率波動性則會單向外溢至R/J CRB商品指數,可能是日圓利率相當低,且原物料近年走多頭行情,因而被大量舉債投資於原物料上,因此R/J CRB商品指數會受美日匯率波動影響。
Abstract (in English)
In the past two decades, the prices of commodities were quite steady. However, the above situations were changed in these recent years.  The prices of commodities have moved upward since 2002, the growth rate of commodities prices rose sharply in 2005, and commodities prices seem to rise up continuously without stop signs now. Thus, the relationships between the RJ/CRB Index with share prices, the relationships between the RJ/CRB Index and exchanged rates and the relationships between the RJ/CRB Index and oil prices are investigated in this thesis, and several important  results are found as shown below:
1.The feedback relationships between American share prices and R/J CRB Index are existed, and the commodities prices will affect the American share prices negatively. 
2.The Taiwan stock markets could be affected by the volatility of R/J CRB Index. Since oil, iron and other materials are imported in Taiwan due to lack of natural resources, the fluctuation of commodities prices, no wonder, will affect the volatilities of Taiwan share prices.  
3.R/J CRB Index could be affected by the volatilities of exchange rates between the currencies of US dollars and Japanese Yen. The interest rate of Yen is quite low, and the Japanese Yen are not strong currencies in these years, investment institutions might loan the Japanese Yen in order to invest and then push the rising of commodities prices. Similarly, R/J CRB will also be affected by the volatilities of exchange rates between the currencies of US dollars and Japanese Yen.
Other Abstract
Table of Content (with Page Number)
目 錄
目 錄	I
表目錄	II
圖目錄	III
附表目錄	IV
第一章 緒論	1
第一節 研究背景與動機	1
第二節 研究目的	3
第三節 研究架構	3
第二章 文獻探討	6
第一節 原物料價格(含油價)與股價間的關聯	6
第二節 原物料價格(含油價)與匯率間的關聯	10
第三節 原物料指數與商品期貨之關聯	11
第三章 研究假設與方法	18
第一節 研究假設	18
第二節 研究方法	21
第四章 實證結果與分析	29
第一節 資料來源與整理分析	29
第二節 單根檢定	30
第三節 向量自我迴歸模型	32
第四節 共整合檢定	39
第五節 雙變量GARCH波動性外溢效果探討	40
第五章 結論	46
一、研究結論	46
二、後續研究建議	48
參考文獻	49
附錄	53

表目錄
表1-1  國際主要原物料價格2005年至2007年的變化	2
表2-1  國內外文獻彙總表	13
表4-1  各指數、匯率及油價之敘述統計	29
表4-2  各指數、匯率及油價之單根檢定	30
表4-3  各指數、匯率及油價一階LOG差分後之單根檢定	31
表4-4  R/J CRB商品指數與各指數、匯率及油價間之最適落後期選取	32
表4-5  R/J CRB商品指數與台灣和美國股價指數之因果關係檢定	33
表4-6  R/J CRB商品指數與美日和台美匯率之因果關係檢定	35
表4-7  R/J CRB商品指數與布蘭特和西德州原油之因果關係檢定	36
表4-8  R/J CRB商品指數與各股價指數、匯率及油價之共整合檢定	39
表4-9  各指數、匯率及油價之LM檢定	41
表4-10  R/J CRB商品指數與台灣和美國股價指數之波動性外溢效果	42
表4-11  R/J CRB商品指數與美日和台美匯率之波動性外溢效果	43
表4-12  R/J CRB商品指數與布蘭特和西德州原油之波動性外溢效果	44
表4-13  實證結果之彚整	45

 
圖目錄
圖1-1 研究流程	5

 
附表目錄
附表1-1   R/J CRB商品指數發生衝擊之衝擊反應函數	53
附表1-2   道瓊工業指數發生衝擊之衝擊反應函數	53
附表1-3   R/J CRB商品指數發生衝擊之衝擊反應函數	53
附表1-4   那斯達克指數發生衝擊之衝擊反應函數	54
附表1-5   R/J CRB商品指數發生衝擊之衝擊反應函數	54
附表1-6   台灣加權指數發生衝擊之衝擊反應函數	54
附表1-7   R/J CRB商品指數發生衝擊之衝擊反應函數	55
附表1-8   食品類指數發生衝擊之衝擊反應函數	55
附表1-9   R/J CRB商品指數發生衝擊之衝擊反應函數	55
附表1-10  紡織類指數發生衝擊之衝擊反應函數	56
附表1-11  R/J CRB商品指數發生衝擊之衝擊反應函數	56
附表1-12  造紙類指數發生衝擊之衝擊反應函數	56
附表1-13  R/J CRB商品指數發生衝擊之衝擊反應函數	57
附表1-14  營建類指數發生衝擊之衝擊反應函數	57
附表1-15  R/J CRB商品指數發生衝擊之衝擊反應函數	57
附表1-16  金融類指數發生衝擊之衝擊反應函數	58
附表1-17  R/J CRB商品指數發生衝擊之衝擊反應函數	58
附表1-18  泥窯類指數發生衝擊之衝擊反應函數	58
附表1-19  R/J CRB商品指數發生衝擊之衝擊反應函數	59
附表1-20  塑化類指數發生衝擊之衝擊反應函數	59
附表1-21  R/J CRB商品指數發生衝擊之衝擊反應函數	59
附表1-22  機電類指數發生衝擊之衝擊反應函數	60
附表1-23  R/J CRB商品指數發生衝擊之衝擊反應函數	60
附表1-24  美日匯率發生衝擊之衝擊反應函數	60
附表1-25  R/J CRB商品指數發生衝擊之衝擊反應函數	61
附表1-26  台美匯率發生衝擊之衝擊反應函數	61
附表1-27  R/J CRB商品指數發生衝擊之衝擊反應函數	61
附表1-28  布蘭特原油發生衝擊之衝擊反應函數	62
附表1-29  R/J CRB商品指數發生衝擊之衝擊反應函數	62
附表1-30  西德州原油發生衝擊之衝擊反應函數	62

 
附表目錄 (續)
附表2-1   R/J CRB商品指數與道瓊工業指數之誤差變異分解	63
附表2-2   R/J CRB商品指數與那斯達克指數之誤差變異分解	63
附表2-3   R/J CRB商品指數與台灣加權指數之誤差變異分解	63
附表2-4   R/J CRB商品指數與食品類指數之誤差變異分解	63
附表2-5   R/J CRB商品指數與紡織類指數之誤差變異分解	64
附表2-6   R/J CRB商品指數與造紙類指數之誤差變異分解	64
附表2-7   R/J CRB商品指數與營建類指數之誤差變異分解	64
附表2-8   R/J CRB商品指數與金融類指數之誤差變異分解	64
附表2-9   R/J CRB商品指數與泥窯類指數之誤差變異分解	65
附表2-10  R/J CRB商品指數與塑化類業指數之誤差變異分解	65
附表2-11  R/J CRB商品指數與機電類指數之誤差變異分解	65
附表2-12  R/J CRB商品指數與美日匯率之誤差變異分解	65
附表2-13  R/J CRB商品指數與台美匯率之誤差變異分解	66
附表2-14  R/J CRB商品指數與布蘭特原油之誤差變異分解	66
附表2-15  R/J CRB商品指數與西德州原油之誤差變異分解	66
References
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