頁岩油價格對於國際原油價格、黃金、美元報酬率之影響

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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李沃牆;方鏘傑
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。本研究以2014年油價劇烈下跌為時間劃分點，分別探討這時期前後變數間的相關聯影響。本文以頁岩油做為主要研究標的，經由單根檢定、ARCH效果檢定與多變量GARCH之研究方法，對美元指數、黃金、國際原油指標、道瓊工業平均指數與S&P500等變數，分析其之間是否具有長期聯動性、相關性及波動外溢效果。實證結果發現，在2014年油價下跌時期，頁岩油對美元指數、道瓊工業平均指數與S&P500、西德州原油、布蘭特原油以及黃金，均存在波動外溢效果，表示頁岩油對這些總體經濟指標存在著連動性以及影響性。 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:	[Graduate Institute & Department of Banking and Finance] Thesis

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