油價、銅價、鎳價與紙漿價格之關聯性探討

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Title:	油價、銅價、鎳價與紙漿價格之關聯性探討
Other Titles:	A research of the interactive relationship among the price of crude oil, copper, nickel and pulp
Authors:	朱俊澔;Chu, Chun-Hao
Contributors:	淡江大學企業管理學系碩士在職專班趙慕芬
Keywords:	原油價格;銅價格;價格;紙漿價格;向量誤差修正模型;Price of Crude Oil;Price of Copper;Price of Nickel;Price of Pulp;Vector Error Correction Model (VECM)
Date:	2011
Issue Date:	2011-12-28 18:20:25 (UTC+8)
Abstract:	自第一次的工業革命，人類與能源便形成密切的關係。隨時代的變遷與科技的進步，亦使原物料的需求更是大幅走揚。在所有能源供應裡，原油占有舉足輕重的地位，也因如此，全世界的原物料價格也伴隨著原油價格一路飆漲。「原物料」包括工業用金屬與民生物資原物料等等，而其中又以銅、鎳與紙漿和我們的生活關係最為密切。回顧文獻，雖然有許多學者對單一原物料與原油之相關性多有著墨，但單一原物料與單一原物料之間的關聯性卻從無任何系統整合去探討與研究。本研究主要在探討原油價格、銅價格、鎳價格與紙漿價格之關聯性，以2005年07月01日至2010年06月30日的週資料為研究樣本，利用共整合檢定、向量誤差修正模型（Vector Error Correction Model, VECM）以及Granger因果關係檢定等實證方法，探討變數間長期關聯性。其研究結果發現，原油價格、銅價格、鎳價格與紙漿價格存在共整合關係。在VECM模型中，發現原油價格、銅價格與鎳價格除了受本身前期價格波動影響外，也會受其餘2種變數之價格波動所影響；而紙漿價格僅受本身前期價格波動影響。由Granger因果關係檢定證實，原油價格會影響鎳價與銅價格會影響紙漿價格的單向因果關係。為了可進一步了解各變數之相互關係，因此利用變異分解模型將其變異數分解後得知，銅價格對鎳價格與紙漿價格、鎳價格對原油價格與銅價格，其引發來源都為鎳價格自己本身但誤差數值卻有逐漸變大趨勢。也更進一步證實了原油價格對鎳價與銅價對紙漿價格的單向因果關係。 Since Industrial Revolution, energy resources play essential roles in human''s life. With the development of scientific and technological progress in different eras, the need for raw materials has increased dramatically. Among all raw materials, crude oil is the most dominant one, and the prices of other raw materials have also been soaring with the price of crude oil worldwide. ‘Raw materials’ includes industrial metals and daily necessities, and, it is the copper, nickel and pulp that are closely influential to our daily life. In the existing literatures, even though many researchers have discussed the relationship between single raw material and crude oil, there is no systematical and integrated examination on the correlation between different types of raw materials. This research aims to explore the correlation between the prices of crude oil, copper, nickel and pulp. Adopting weekly data collected from 1st July 2005 until 30th June 2010 as references, this paper investigates long-term interrelationship between variances via Co-Integration Test, Vector Error Correction Model (VECM) and Granger Causality Test. The research outcome points out the integrated correlation between the price of crude oil, copper, nickel and pulp. In the model of VECM, the price of crude oil, copper and nickel has been affected not only by their own wavering prices in prior period, but also the rest two variable prices; the price of pulp has only been affected by its own wavering prices in prior period. Through Granger Causality Test, the result demonstrates the one-way causation of how the price of crude oil has effects on the prices of nickel and copper and pulp. In order to explore the correlation between each raw materials, the research applies variable decomposition model to analyse the variances, and finds out that the price of copper to the prices of nickel and pulp, the price of nickel to the prices of crude oil and copper, all the variable prices been mediated by the price of nickel, but the numerical error has been gradually increased. The research has further indicates that the one-way causation from the price of crude oil to nickel, and the price of copper to pulp.
Appears in Collections:	[Graduate Institute & Department of Business Administration] Thesis

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