臺灣博碩士論文加值系統

國際油品市場日趨競爭的今天，各個油公司不再擁有以往的優勢，必須致力於降低自身的營運成本，才有辦法繼續存活下來。不過，國際原油的種類繁多，依其比重、黏度與含硫量多寡等多種特性而有所差異。因此本篇研究擬藉由國際原油價格之瞭解，以尋求合理之油價，而得以直接減少其購買成本，幫助公司提昇競爭優勢。
余宗憲(2000)應用特徵價格模型來檢視國際原油價格之合理性，然而該研究由於資料以及技術上的限制，所得取之結果未臻完善。根據Efron(1979)所提出的拔靴模擬法，可利用插入原則(plug-in principle)，利用經驗分配函數(empirical distribution)做為假想母體，以抽出放回(sample with replacement)的方式進行重覆隨機抽樣，在多次的電腦模擬下，產生抽樣分配(sampling distribution)，如此便可評估參數估計值的不偏性與有效性。本文擬以拔靴法補正余宗憲研究上的缺失，以更確實的探討油價形成之要因
在特徵價格函數的選取上，本研究以拔靴法來選擇最適迴歸模型，其結果顯示：在函數型式為對數倒數模式之下，最符合有效性的要求，而成為在判定合理價格時的實證模型。為了檢視各種國際原油價格是否合理，本研究進一步將模型所估出來的合理價格，和所收集到的三十二種國際原油價格做一比較。在經由單維變異數(ANOVA)檢定後，發現這兩組價格有明顯的差別，由此顯示出國際原油市場可能不具效率性。

Oil companies, which have lost their competitive advantages they used to have due to the growing competition in the international oil market, must be committed to lowering their operating cost in order to survive. The international crude oil is so varied in properties that it can be distinctive in terms of specific gravity, viscosity and sulphur content. This paper is dedicated to finding out a rational pricing scenario based on the current international oil market, with a hope that companies can directly reduce their purchasing cost; hence boosting their competitive advantages.
In 2000, Mr. Tsung-Hsien Yu applied Characterized Pricing Model to examine the rationale of the international oil pricing. However the result of his research is not perfect because of the limitation in data and techniques. According to Professor Bradley Efron, who proposed Bootstrap Emulation Method in 1979, the plug-in principle can be applied to repeat random sampling with replacement from a hypothetical population of empirical distribution. Thanks to computer emulation, the sampling distribution produced this way is used to evaluate the deviation and validity of parameter estimates. This paper using bootstrap method makes up a deficiency in Mr. Tsung-Hsien Yu ‘s research, in order to confirm the factors in oil pricing.
With respect to characterized pricing function, this paper uses bootstrap method to select the optimal regression model, the result of which shows that the function of the reciprocal of logarithm best suits the validity concern and therefore can be used as a pragmatic model to assess the pricing rationale. To further validate the rationale of crude oil prices, this paper compares the estimated prices with 32 different oil prices and finds out that the two groups of prices as tested by ANOVA have obvious differences. It is safely to conclude that the international crude oil market might not be efficient.

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究方法 2
第三節 研究流程 2
第四節 本文架構 3
第二章 文獻回顧5
第一節 原油價格相關文獻探討5
第二節 拔靴模擬法之相關文獻8
第三章 油價模型的建立及其模擬過程11
第一節 特徵價格模型11
第二節 實證模型之建立18
第三節 Panel Data之固定效果與隨機效果模型25
第四節 拔靴模擬過程30
第四章 實證與模擬結果分析35
第一節 各種油價公式之比較35
第二節 影響原油價格因素再探討64
第三節 國際原油價格合理性分析67
第五章 結論與建議69
第一節 結論69
第二節 研究建議70
參考文獻72

一、中文部份
中國石油公司人事訓練所，石油化學工業，東雅出版社，台北，民國70年。
中國石油公司研究及訓練中心，石油產品及其應用(上)，民國65年。
中國石油學會，石油煉製原理與實務，拾穗出版社，台北，民國71年。
余宗憲(2000)，國際原油價格合理性之實證分析：特徵價格模式之應用，淡江大學。
鄭德珪(1995)，長期國際油價模型之資料檢定與TCU法則的應用，淡江大學。
廖東成，數值方法與應用軟體，松崗電腦圖書公司，台北，民國83年。
郭玉麟(1999)，時間數列模式之拔靴模擬法研究，國立政治大學統計研究所-碩士論文。
許志義、洪育民(1990)，〝國際油價預測：貝氏計量模型之應用〞，〝能源季刊〞，第20卷，第1期，頁12-36。
許志義、洪育民，石油經濟學(上)，華泰書局出版，台北，民國83年。
許志義、洪育民，國際油價分析與預測，中華經濟研究院出版，台北，民國81年。
廖惠珠(2000)，〝國際油價大幅震盪對我國石油產業未來發展之啟示〞，〝能源季刊〞，第30卷，第2期，頁77-88。
梁啟源，臺灣能源需求模式之建立與運用，中央研究院經濟研究所，現代經濟探討叢書，第三種，台北，民國70年。
孫智陸、周添城，國際石油市場定價行為之分析，中國經濟學會七十九年論文，台北，民國79年。
二 英文部份
Efron, B. and Tibshirani, R. J.,(1993)”An Introduction to the Bootstrap,” Chapman & Hall., New York.
Mooney, C. Z. and Duval, R. D. ,(1993)” Bootstrapping a Nonparametric Approach to Statistical Inference,” a SAGE UNIVERSITY PAPER.
Efron B.(1979)” Bootstrap Method:Another Look at The Jackkniff ,” The Annals of Statistics, 7:1, 1-26.
Efron, B.,and Tibshirani, R. J.(1986) “Bootstrap Methods for Standard Errors, Confidence Intervals, and Other Measures of Statistical Accuracy,” Statistical Science, 1, 54-77.
Vinod, H. D. and Raj, B.(1988)”Economic Issues in Bell System Divestiture : A Bootstrap Application,” Appl. Statist., 37:2, 251-261.
Freedman, D. A.(1981)”Bootstrapping regression model,” The Annals of Statistics, 9, 1218-1228.
Veall, M. R.(1992)”Bootstrapping The Process of Model Selection : an Econometric Example,” Journal of Applied Economertic, 7, 93-99.
Veall, M. R.(1987) “Bootstrapping The Probability Distribution of .Peak Electricity Demand,” International Economic Review, 28:1, 203-212.
Miller, R. G.(1974) ”The Jackknife-a review,” Biometrika, 61:1 ,pp1-15.
Horowitz, J. L. and Savin N. E.(2000)”Empirically Relevant Critical Values for Hypothesis Test：A Bootstrap Approach,” Journal of Econometrics, 95:2, 375-389.
Jeong, Jinook and Lee, Kyoungwoo(1999)”Bootstrapped White’s Test for Heteroskedasticity in Regression Models,” Economics Letters, 63:3, 261-267
Li, Qi(1998)”A Simple Consistent Bootstrap Test for a Parametric Regression Function,” Jorunal of Econometrics, 87:1, 146-165.
Whang, Yoon-Jae(2000)”Consistent Bootstrap Test of Parametric Regression Function,” Journal of Econometrics, 98:1, 27-46..
Yatchew, A.(2000)”Scale Economies in Electricity Distribution：A Semiparametric Analysis,” Journal of Applied Econometrics, 15:2, 187-210.
Huntington, H. G.(1998)”Crude Oil Prices and U.S. Economic Performance：Where Does the Asymmetry Reside?,” Energy Journal, 19:4, 107-132.
Uri, N. D.(1995)”The Impact of Crude Oil Price Volatility on Agricultural Employment in the United States,” Journal of Enegy & Development, 20:2, 269-288.
Watkins, G. C.(1993)”How Might North American Oil and Gas Markets Have Performed with a Free Trade Agreement in 1970?,” Energy Journal, 14:3, 119-152.
Sowey, E. R.(1973)”A Classified Bibliography of Monte Carlo Studies in Econometrics,” Journal of Econometrics, 1:4, 377-395.
Baltagi, B. H.(1984)”A Monte Carlo Study for Pooling Time Series of Cross Section Data in the Simultaneous Equations Model” International Economec Review, 25:3, 603-624.
Nagel, H. and Schobel, R.(1999)”Volatility and GMM Monte Carlo Studies and Empirical Estimations” Statistical Papers, 40:3, 297-321.
Hendry, D.(1984)”Monte Carlo Experimentation in Econometrics,” Handbook of Econometrics, Vol. 2. Amsterdam:North Holland.
Souza, R. C. and Neto, A. C.(1996),”A Bootstrap Simulation Study in ARMA(p,q) Structure,” Journal of Forecasting, 15, 343-353.
Energy Modeling Forum, (1992)”International Oil Supplies and Demands,” EMF Report 11, Vol. 2, Standford University, US.
Gately, D. and J.F. Kyle (1977)” Strategies for OPEC’s Pricing Decesion,” European Economics Review, 10:2, 209-230.
Gately, D.(1983)”OPEC：Retrospective and Prospects: 1973-1990,”European Economics Review, 21:3, 313-331.
Gately, D.(1984)”A Ten-Year Retrospective：OPEC and the World Oil Market,” Journal of Economic Literature, 22, 1100-1114.
Powll, S. G.(1990)”The Target Capacity-Utilization Model of OPEC and the Dynamics of the World Oil Market,” The Energy Journal, 11:1, 27-63.
Suranovic, S. M.(1993)”Does a Target-capacity Utilization Rule Fulfill OPEC’s Economic Objects?” Energy Economics, 15:2, 71-79.
Wirl, F.(1992)”Impact on World Oil Price when Large and Fewer Producers Emerge form a Political Restructuring of the Middle East,” Energy, 17:4, 367-375.
Ezzati, A.(1976)”Future OPEC Price and Production Strategies as affected by Its Capacity to Absorb Oil Revenues,” European Economic Review, 8:2, 107-138
Adams, F. G. and J. marguez(1984)”Petroleum Price Elasticity, Income Effects, and OPEC’s Pricing Policy,” Energy Journal, 5:1, 115-127.
Quenouille, M. H.(1949)” approximate Tests of Correlation in Time Series,” Journal of the Royal Statistical Society, Series B, 11, 68-84.
Metropolis, N. and S. Ulam(1949)”The Monte Carlo Method,” Journal of the American Statistical Association, 44, 335-341.
Mundlak, Y.(1978)”On The Pooling of Time Series and Cross Section Data,” Econometrica, 46:1, 69-85.
Jong, F. D.(2000)”Time Series and Cross-section Information in Affine Term-Structure Models,” Journal of Business & Economic Statistics, 18:3, 300-314.
Baltagi, B. H.(1981)”Simultaneous Equations with Error Components,” Journal of Econometrics, 17, 189-200.