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研究生:陳君卉
研究生(外文):Jun -Hui Chen
論文名稱:匯率與油價關聯性分析
論文名稱(外文):The relationship between exchange rates and oil prices
指導教授:簡美瑟簡美瑟引用關係
指導教授(外文):Mei-Se, Chien
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融資訊研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:68
中文關鍵詞:實質匯率實質油價Panel 單根檢定Panel 共整合檢定Panel 完全修正OLS模型
外文關鍵詞:Real exchange ratesReal oil pricesPanel unit root testsPanel cointegrationPanel fully modified OLS
相關次數:
  • 被引用被引用:2
  • 點閱點閱:818
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
近年來油價飆升的現象使得油價波動問題再次成為熱門的研究議題,而匯率與油價的波動一直密不可分。過去相關的實證研究本多以歐美國家為主,本文擬以亞太地區國家作研究對象,以了解此地區各國實質匯率與實質油價間之關連性。在研究方法上,首先建立實證相關模型,接著以亞太地區中11個國家的匯率與OPEC之油價資料進行ADF、PP單根檢定與Panel單根檢定等,以驗證此些變數是否具有恆定性。其次,再利用Pedroni (2004)與Larsson et al. (2001)Panel共整合檢定來探討變數間是否出現共整合現象,以分析其長期趨勢的關係。最後,以Pedroni (2000, 2001)完全修正OLS模型來分析實質匯率與油價間變動所帶來影響的比例與方向,進而了解在各國間兩者關係的模式。
Recently the relationship between oil prices and exchange rate becomes a hot issue again for the fluctuation of oil prices. Most of empirical researches were studies about U.S and Europe, the aim of this paper is explored the cointegration between real oil prices and real exchange rate by monthly observations of thirteen Asian-Pacific countries. First, I establish empirical model, and apply Augmented Dickey-Fuller test, Phillips-Perron test and Panel unit root tests for non-stationary. To examine whether the real exchange rate and real oil prices exists a cointegration, I use Panel cointegration tests developed by Pedroni (2004) and Larsson et al.(2001). Finally, I analyze long-run relationship between them by using Panel fully modified OLS proposed by Pedroni (2000, 2001).
中文摘要 I
英文摘要 II
表目錄 V
圖目錄 VI
第一章、緒論 1
一、研究背景與動機 1
二、研究目的 4
三、研究方法 6
四、研究架構 7
第二章、相關文獻探討與實證模型 9
一、相關文獻研究 9
(一)、油價對匯率影響之相關文獻 9
(二)、匯率對油價影響之相關文獻 12
(三)、以追蹤(Panel)資料分析匯率與油價之相關文獻 14
(四)、文獻彙整 17
二、實證模型 19
第三章、研究方法 21
ㄧ、單根檢定(Unit Root Tests) 21
(一)、Augmented Dickey-Fuller(ADF) Test 21
(二)、Perron–Phillips Test 22
二、追蹤(Panel)資料分析 23
(ㄧ)、追蹤資料單根檢定 (Panel Unit Root Tests) 23
(二)、追蹤資料共整合分析 29
(三)、Fully modified OLS(FMOLS) 33
第四章、實證結果與分析 36
一、資料描述 37
二、ADF、PP單根檢定分析 45
三、追蹤資料單根檢定分析 49
四、追蹤資料共整合分析 53
(一)、Pedroni(2004)的追蹤資料共整合檢定法 54
(二)、Larsson et al.(2001) 追蹤資料共整合檢定分析 55
五、完全修正OLS模型分析 59
(一)、油價與匯率為正關聯性之分析 60
(二)、油價與匯率為負關聯性之分析 61
第五章、結論 67
參考文獻 69
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