臺灣博碩士論文加值系統

本篇主要為原物料指數與總體經濟物價間動態關聯性的研究。由於近年來糧食價格高漲，本研究選取CRB現貨指數（Commodity Research Bureau）、CCI期貨指數（Continuous Commodity Index），與CRB農產品指數為原物料指數以觀察原物料價格對總體面物價影響的程度；研究期間為2001年10月至2011年3月；總經物價指標選擇生產者物價指數（PPI）、消費者物價指數（CPI）、再加上國內生產毛額（GDP）；選取的國家為美國、臺灣與中國。本研究以Johansen共整合、向量自我迴歸模型、向量誤差修正模型、Granger因果關係檢定及衝擊反應分析等方法，探討三項原物料指數與總體經濟指標的互動關係。

研究結果顯示，原物料指數與總體指標之間的長期均衡關係不明顯。因果檢定顯示，CCI指數在因果檢定上領先CRB指數與CRB農產品指數；除了美國的GDP之外，CCI指數也領先各項總體經濟指標，但不論是CRB現貨指數或CRB農產品指數，對總經物價指標的領先-落後關係都不明顯，表示在CCI指數為較佳的預測指標。由衝擊反應分析的結果顯示，除了有共整合關係的變數間相互影響為長期性之外，受影響的物價指標僅在短期內會受到原物料價格變動的影響：總體物價指標面對原物料價格波動的反應約3期之後反應便逐漸消失，顯示原物料價格與總體物價指數之間的短期失衡期間並不長。

This paper investigates the relationship between the commodity indexes and macroeconomic price indexes. Due to the sharp increase of food price in recent years, we add CRB index (Commodity Research Bureau), CCI index (Continuous Commodity Index), and CRB foodstuffs index in the research to see the magnitude of commodity price indexes to macroeconomic price indexes. This paper selects United State, Taiwan and China as samples and manages to find out the relationship of commodity indexes and macroeconomic price indexes by applying monthly data from October 2001 to March 2011. Macroeconomic price indexes are PPI (Producer Price Index), CPI( Consumer Price Index) and plus GDP Index. This paper tries to get the answer by applying Johansen Cointegration Test, Vector Autoregression Model(VAR), Vector Error Correction Model (VECM), Granger causality test and Impulse Response Analysis.

The result does not show obvious long-term relationship between commodity price indexes and macroeconomic price indexes; and Granger causality test exhibits that CCI index takes the lead in the change of time. But we do not get consistent result between CRB index, CRB foodstuffs index and macroeconomic price indexes in Granger causality test which means commodity spot indexes do not necessarily lead in the change of time. This result implies that CCI index a better indicator in forecasting. According to Impulse Response Analysis, macroeconomic price indexes are influenced by commodity index only in a short period of time and this result tells us that the disequilibrium between commodity indexes and macroeconomic price indexes will not last long.

摘要 I
英文摘要 II
致謝 III
目錄 IV
圖目錄 V
表目錄 VI
第一章 緒論 1
第二章 文獻回顧 9
第三章 研究方法 13
第一節 單根檢定 14
第二節 向量自我迴歸模型 17
第三節 共整合分析 18
第三節 向量誤差修正模型 20
第四節 GRANGER因果關係檢定 21
第五節 衝擊反應分析 22
第四章 實證結果與分析 23
第一節 單根檢定 24
第二節 原物料指數與各國總經指標共整合分析 27
第三節 迴歸結果分析與因果關係檢定 33
第四節 衝擊反應分析 50
第五章 結論與建議 60
第一節 結論 60
第二節 對後續研究之建議 62
參考文獻 63

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