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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31733

    Title: 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
    Other Titles: The crude oil price and among macroeconomic variables in smooth transition error correction model
    Authors: 張懿鵬;Chang, Yi-peng
    Contributors: 淡江大學財務金融學系碩士班
    莊武仁;Chuang, Wu-jen
    Keywords: 國際原油價格;共積分析;非線性平滑轉換誤差修正模型;Crude Oil Price;Cointegration;Nonlinear Smooth Transition Error Correction Model
    Date: 2008
    Issue Date: 2010-01-11 01:11:24 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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