淡江大學機構典藏:Item 987654321/31733

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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/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。
    實證結果發現：產出、政府支出、貨幣供給、利率與原油價格需經一次差分後方能成為定態序列，即受到衝擊事件後會隨著時間慢慢回復到長期均衡。此外，五個變數之間存在一條共積關係，油價對產出呈現負向的影響。在非線性的模型估計中，發現產出從短期動態調整至長期均衡的過程以門檻值為中心，在兩體系間進行非線性且對稱的轉換，而且轉換的時點正值過去40年來曾發生原油危機的期間。此外，於各體系當中，前期貨幣供給量對當期產出皆有顯著地正向影響。
    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:[Graduate Institute & Department of Banking and Finance] Thesis

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