國際油價、匯率與利率之動態關聯—VECM與VECM-GARCH之應用;The dynamic association of crude oil price, exchange rate and interest rate -VECM and VECM-GARCH application

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题名:	國際油價、匯率與利率之動態關聯—VECM與VECM-GARCH之應用;The dynamic association of crude oil price, exchange rate and interest rate -VECM and VECM-GARCH application
作者:	葉俐君;Yeh,Li-chun
贡献者:	產業經濟研究所碩士在職專班
关键词:	利率;匯率;VECM-GARCH;VECM;原油;interest rate;VECM-GRACH;VECM;exchange rate;oil price
日期:	2012-07-25
上传时间:	2012-09-11 19:08:59 (UTC+8)
出版者:	國立中央大學
摘要:	本文以西德州原油、布蘭特原油、利率與匯率為探討變數，利用VECM與VECM- GARCH藉以探討國際油價、匯率與利率三者之動態關聯。本文的研究期間為2000年1月4日至2009年5月29日止，共計日資料2416筆。資料來源主要為美國能源局網站及美國聯邦儲備局網站，利用VECM與VECM-GARCH來分析，結果顯示在VECM中，除布蘭特原油不受自身落後期的影響外，其他變數皆受自身落後期的影響，尤其是匯率受自身落後期的影響最為顯著。從長期下觀察到誤差修正項的係數皆為負值，代表國際原油、利率、匯率脫離長期均衡關係時，皆為下跌，以回復長期均衡。另外考慮到變數之間的長期性和波動群聚現象產生的異質變異問題，本研究利用VECM-GRACH模型進行進正。發現均數方程式在VECM-GRACH(1,1)模型下，已消除了殘差序列中的自我相關和異質變異的問題。在VECM-GRACH(1,1)中顯示，除布蘭特原油不受自身落後期的影響外，其他變數皆受自身落後期之影響，尤其是利率受自身落後期的影響最為顯著，且國際原油與利率之間有某種程度的雙向因果關係。也就是說原油和利率會互相影響，但利率影響力稍大。Depend on the VECM and VECM-GARCH model, the thesis probe into the dynamic relationship among four variables: exchange rate, interest rate, Brent crude oil price and West Texas Intermediate. According to the 2,416 daily data from FED and U.S. Department of Energy from Jan 4th 2000 to May 29th 2009, the VECM and VECM-GARCH model shows that all variables, except for Brent crude oil price, are affected by influenced on the previous periods especially for exchange rate. By the way, the error correction results of all variables shows an minus trend during long term inspection. It means that once the relationship of all variables escapes the long-term equilibrium, all variables would go down simultaneously for rebalancing to such long-term equilibrium. In addition, the thesis modifies the problem of variation of variables by VECM and VECM-GARCH model which by means of equation under VECM-GRACH (1,1) model could eliminate the variational and self-related issue of residual error. Such problem is caused by long-term date and volatility clustering of variables. Depend on VECM-GRACH (1,1), all variables, except for Brent crude oil price, are affected by influenced on the previous periods especially on exchange rate. Also, there are certain levels of two-way and cause-effect relationship between interest rate and crude oil price. Though the interest rate and crude oil price would influence each other, here in this case, interest rate appears to be more influential.
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