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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110732

    Title: 頁岩油價格對於國際原油價格、黃金、美元報酬率之影響
    Other Titles: The impact of the shale oil price on the international oil price, gold price and us dollar return rate
    Authors: 沈彥彤;Shen, Yen-Tong
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 頁岩油;黃金;美元指數;CCC-GARCH;DCC-GARCH;外溢效果;Shale oil;Gold;US Dollar;Spillover
    Date: 2016
    Issue Date: 2017-08-24 23:34:33 (UTC+8)
    Abstract: 能源充足與否向來是眾所矚目的議題,當中又以石油能源最富全球經濟之地位,是一直以來被關注的焦點。而美國蘊藏著大片的非常規石油-頁岩油,由於過去開採技術的不發達,許多人認為其並無開採價值,但自二十一世紀以來,開採頁岩油技術的日漸成熟,像是水平鑽井與高壓液裂技術,使得頁岩油浴火重生般的大放異彩,如今被認為是具有改變石油能源地位的重大發現。


    The adequacy of energy has always been a subject of public attention, which especially the oil energy in the most status of the global economy, has been the focus of attention. The United States is rich in unconventional oil -“shale oil”. Because of past mining developed technology, many people believed that there was no exploitation value, but since the twenty-first century, shale oil technology had been matured, such as horizontal drilling and pressure fluid cracking technology. Now, shale oil is considered to have the energy that can change the status of major oil discovery.

    This study uses drastic decline in oil prices in 2014 as a time division point and respectively explores the impact that variables relevance between before and after this period. In this study, shale oil is regarded as the main subject of research, through research methods of single test, ARCH effect test and multivariate GARCH test. To use US dollar index, gold, crude oil index, Dow Jones Industrial Average and the S & P500 variables to analyze each other whether existing long-term co-movement, correlation and volatility spillover effects.

    Empirical results show that the shale oil on the US dollar index, Dow Jones Industrial Average, the S & P500, WTI crude oil, Brent crude oil and gold all exist volatility spillover effects in 2014 oil prices decline period. It means that shale oil exist co-movement and influence on these macroeconomic indices.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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