臺灣博碩士論文加值系統

石油變動與匯率之間的關係，隨著兩次石油危機和最近油價的升高而再度值得關注，本研究利用兩種時間序列方法探討2004年1月1日到2006年12月31日原油價格變動與台幣兌換美元匯率之間的關係。在VAR模型中的Granger因果關係方面，得知原油價格變動領先於匯率的變動，從衝擊反應分析的實證結果，可觀察出油價變動將使匯率變動有負向的反應但維持期間不長。在殘差變異數分解方面，可發現石油的變動僅能解釋些許匯率的變動。最後，本研究嘗試用GARCH模型捕捉異質條件變異數為基礎之下，配合Markov模型將油價變動區分為高、低變動和Mork(1989)進一步將油價變動區分為上漲與下跌的方式，以考慮不同狀態的油價對於匯率可能產生抵銷的效果並再次檢定油價變動與匯率之間的關係，研究中除了發現油價變動對於匯率會存在不對稱的現象之外，在高、低變動下油價的上漲與下跌亦會抵銷原本其油價變動對於匯率變動的影響，此外，油價高變動且上漲並未進一步影響匯率可能來自於貿易條件的影響。

In recent years, because of two oil crises and subsequent increases in oil prices, discussions have arisen on the relationship between crude oil prices and exchange rates. This paper attempts to explain the relationships between the exchange rate of the NT dollars to US dollars and oil price changes from 2004/1/1 to 2006/12/31 by using different kinds of time series models. According to Granger causality test of the VAR model, the change of oil price granger causes exchange rate. However, from the results of Impulse Response and the Forecast Error Variance Decomposition, the relationship between the oil price changes and exchange rate is negative, and the reliability of oil price changes to account for variation in exchange rates is not strong. Therefore, this paper uses GARCH models to solve the problem of heteroskedasticity. It applies the Markov model to separate the oil price from high changes and low changes. And it applies the method of Mork (1989) to separate the oil price from increasing status and decreasing status in order to consider how the different status of oil price may offset the relationship between the oil price changes and exchange rates and to reexamine the relation between the oil price changes and exchange rates. The evidence shows that the oil price changes affect exchange rates asymmetrically. Moreover, the status of increasing and decreasing oil price in the high and low changes will offset its relationship with exchange rate. Moreover, the paper finds that the reason the high changes with increasing status of oil price does not affect the exchange rate might relate to the terms of trade.

第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 3
第貳章 文獻回顧 5
第一節 石油價格變動與匯率之間的關聯性 5
第二節 貿易條件、油價變動與匯率之間的關係 8
第參章 研究方法 10
第一節 單根檢定(Unit Root Test) 10
第二節 向量自我迴歸模型(Vector Autoregression Model) 11
(一) 因果關係檢定(Causality Test) 12
(二) 衝擊反應分析(Impulse Response Function) 12
(三) 預測殘差變異數分析(Forecast Error Variance Decomposition) 14
第三節 馬可夫轉換理論架構與模型（Markov Switching Model） 14
第四節 GARCH模型(Generalized Autoregressive Conditional Heteroskedastic model) 16
第肆章 實證結果分析 19
第一節 研究期間、變數定義及敘述性統計分析 19
第二節 單根檢定與向量自我回歸模型(VAR) 21
第三節 馬可夫轉換模型分析 24
第四節 GARCH模型之實證結果 25
第伍章 結論與建議 32
參考文獻 34

中文部份
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