博碩士論文 964304024 詳細資訊


姓名 葉啟文(Chi-Wen Yeh)  查詢紙本館藏   畢業系所 產業經濟研究所在職專班
論文名稱 國際原油投資報酬與資金行情之探討-GARCH模型
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摘要(中) 近年來油價不斷創新高,引發通膨的壓力,為從美國房貸金融風暴中好不容易振作起來的全球經濟帶來隱憂,更高的油價對經濟成長產生負向的影響。本研究將探討資金行情效果對國際油價的影響,在利率與匯率影響下,美國西德州原油報酬與英國布蘭特原油報酬的波動性及相關性GARCH分析,樣本研究期間開始自1988年8月1日至2009年5月29日止,共計日資料7607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。
  為比較資金行情效果的影響,所以主要以美國西德州原油及英國布蘭特原油為分析對象,又因原油價格為非定態故先以Log方式改為報酬之狀態,結果發現原油報酬資料存在異質變異,採用ARCH模型描述條件變異數,以GARCH模型進行實證研究。
  根據本研究發現,在2004年後的資金行情效果部份,美國聯邦資金利率對西德州原油報酬及布蘭特原油為皆顯著且負向相關,另外,西德州原油報酬對布蘭特原油為正相關,代表西德州原油的波動對布蘭特原油有引導的效果。
摘要(英) Gas price continues to break record high causing inflationary pressures. The rising energy prices cause a negative economic impact to the recovery of the U.S. Subprme Mortgage Crisis.
Our study will show how Capital Market Effect has an impact to the international oil prices. In addition, the GARCH analysis will focus on the correlation and volatility of West Texas Intermediate (WTI) crude oil return and Brent oil Return. Sample studies are analyzed from total 7,607 number of data and dated back from August 1st 1988 till May 29th 2009 and the main sources of information is from the Federal Reserve’s website and the Bureau of Energy website.
We used WTI crude oil and Brent oil as benchmark for analysis of Capital Market Effect. Due to crude oil Price showed as non-stationary, make difference to be return status, the result showed that crude oil return existed heteroskedasticity, we used the model of ARCH to describe the conditional variance, then used the model of GARCH to empirical this study.
According to our study, Federal capital interest rate shows an adverse impact on Capital Market Effect after 2004 for West Texas Intermediate (WTI) crude oil return and Brent oil return. Also, the study shows the return of West Texas crude oil has a positive impact to Brent oil means the volatility of West Texas Intermediate (WTI) crude oil prices correlate closely with Brent oil price.
關鍵字(中) ★ 波動性
★ 單根檢定
★ ARCH
★ GARCH
★ 原油價格
關鍵字(英) ★ Crude Oil
★ Volatility
★ Unit Root
★ ARCH
★ GARCH
論文目次 目錄
中英文摘要 i
感謝誌 iii
目錄 iv
圖目錄 vi
表目錄 vi
一、 緒論 1
1-1  研究動機 1
1-2  研究目的 2
1-3  研究限制 2
1-4  研究對象 3
1-5  研究流程 3
二、 文獻回顧 5
2-1  石油價格議題國內相關文獻 5
2-2  石油價格議題國外相關文獻 8
2-3  波動率模型相關文獻 10
三、 研究方法 12
3-1  定態與非定態 12
3-2  單根檢定 13
3-3  一般化自我迴歸條件異質變異模型 16
3-3-1 相關基本模型之介紹 16
3-3-2 統計量檢定 21
四、 實證結果與分析 24
4-1  資料來源與處理 24
4-1-1 資料來源 24
4-1-2 研究資料 24
4-1-3 研究期間 25
4-1-4 資料處理 26
4-2  基本統計量 26
4-3  實證結果 30
4-3-1 ARCH 模型檢定 42
4-3-2 GARCH 模型實證結果 50
五、 結論與建議 56
5-1  研究結論 56
5-2  研究建議 58
參考文獻 59
中文文獻 59
英文文獻 60
圖目錄
圖1  研究流程圖 4
圖2-1 1988/08/01~2009/05/29西德州原油日價格及日報酬原始走勢圖 34
圖2-2 1988/08/01~2009/05/29 布蘭特原油日價格及日報酬原始走勢圖 35
圖2-3 1988/08/01~2009/05/29 匯率原始走勢圖 35
圖2-4 1988/08/01~2009/05/29 利率原始走勢圖 35
圖2-5 1988/08/01~1999/12/31 西德州原油日價格及日報酬原始走勢圖 36
圖2-6 1988/08/01~1999/12/31 布蘭特原油日價格及日報酬原始走勢圖 37
圖2-7 1988/08/01~1999/12/31 匯率原始走勢圖 37
圖2-8 1988/08/01~1999/12/31 利率原始走勢圖 37
圖2-9 2001/01/01~2009/05/29 西德州原油日價格及日報酬原始走勢圖 38
圖2-10 2001/01/01~2009/05/29 布蘭特原油日價格及日報酬原始走勢圖 39
圖2-11 2001/01/01~2009/05/29 匯率原始走勢圖 39
圖2-12 2001/01/01~2009/05/29 利率原始走勢圖 39
圖2-13 1988/08/01~2009/05/29 匯率經HP 修正後之走勢圖 40
圖2-14 1988/08/01~2009/05/29 利率經HP 修正後之走勢圖 40
圖2-15 1988/08/01~1999/12/31 匯率經HP 修正後之走勢圖 41
圖2-16 1988/08/01~1999/12/31 利率經HP修正後之走勢圖 41
圖2-17 2001/01/01~2009/05/29 匯率經HP修正後之走勢圖 41
圖2-18 2001/01/01~2009/05/29 利率經HP修正後之走勢圖 41
表目錄
表1  相關變數說明 25
表2-1基本統計量--1988/08/01 至2009/05/29 27
表2-2 基本統計量--1988/08/01 至1999/12/31 28
表2-3 基本統計量--2004/01/01 至2009/05/29 29
表3-1 西德州原油日報酬單根檢定結果 30
表3-2 布蘭特原油日報酬單根檢定結果 30
表3-3 匯率單根檢定結果 31
表3-4 利率單根檢定結果 31
表3-5 匯率HP修正後單根檢定結果 33
表3-6 利率HP修正後單根檢定結果 33
表4-1 西德州原油日報酬OLS 模型實證結果 45
表4-2 布蘭特原油日報酬OLS 模型實證結果 47
表5-1 西德州原油日報酬GARCH 模型實證結果 51
表5-2 布蘭特原油日報酬GARCH 模型實證結果 53
參考文獻 參考文獻
中文文獻
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12. 陳明賜 (2008),「台灣股市、匯率與國際原油價格之動態關聯-VECM與VECM-GARCH之應用」,中央大學產業經濟研究所碩士論文。
13. 美國能源資訊局網站(Energy Information Administration) ,
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指導教授 劉錦龍、陳禮潭
(JIN-LONG LIU、Lii-Tarn Chen)
審核日期 2010-7-5
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