淡江大學機構典藏:Item 987654321/87220
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    题名: 產業因素及總體經濟變動對塑膠公司獲利之關聯性研究
    其它题名: The study on the impact of industry factors and macroeconomic variables on earnings of plastic companies
    作者: 林俊賢;Lin, Chun-Hsien
    贡献者: 淡江大學財務金融學系碩士在職專班
    聶建中;Nieh, Chieh-Chung
    关键词: 塑膠公司;國際油價;庫存;平滑移轉迴歸模型;plastic companies;global oil prices;Inventory;GDP;SmoothTransitionAutoRegression
    日期: 2012
    上传时间: 2013-04-13 10:51:49 (UTC+8)
    摘要: 本研究係以國際油價、庫存、GDP、CPI、新台幣匯率等產業面因素及總體經濟的變動資料進行研究，並以油價為門檻，探討對近年來台灣上市塑膠公司之獲利狀況，何者有重大影響，是否呈現不同的互動關係或產生結構性的轉變？以及存在著非線性之關係。
    透過Granger and Teräsvirta（1993）and Teräsvirta（1994）提出的平滑移轉迴歸模型(Smooth Transition AutoRegression, STAR)，發現當油價達到某一個水準(即門檻值，接近88.84美元)附近時，油價、GDP及匯率對塑膠公司獲利，均呈現正相關的影響，但庫存及CPI，則與塑膠公司獲利呈現負相關的狀況。而當油價遠大於門檻值或遠小於門檻值時，庫存、GDP及CPI對塑膠公司獲利，呈現正相關的影響，而油價及匯率則與塑膠公司獲利反而呈現負相關的狀況。
    This research investigates the profitability of the listed plastic companies in Taiwan affected by both the industrial factors and macro-fundamentals, includes oil price, inventory, GDP, CPI and exchange rate. The model of non-linear relationships with considering of structural change is applied by utilizing the oil price as the threshold variable.
    The result of smooth transition auto regression (STAR) elaborated by Granger and Teräsvirta (1993) and Teräsvirta (1994) shows that the ESTAR model is fitted to our estimation and the threshold value of the oil price is found to be $88.84 US dollar. Around the threshold value, there exists positive impact of oil prices, GDP and exchange rate on the profit of plastic companies. However, inventory and CPI are shown to have negative impacts on the profit of plastic companies. On the other hand, when the oil price is far apart from the threshold value, inventory, GDP and CPI positively and oil price and exchange rate negatively affect the profit of plastic companies, respectively.
    显示于类别:[財務金融學系暨研究所] 學位論文

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