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研究生:王鈺雯
研究生(外文):Yu-wun Wang
論文名稱:國內油價與所得關係之探討-門檻向量誤差修正模型之應用
論文名稱(外文):An Examination of the Relationship between Oil Price and Income in Taiwan by Threshold Vector Error Correction Model.
指導教授:李慶男李慶男引用關係
指導教授(外文):Ching-nun Lee
學位類別:碩士
校院名稱:國立中山大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
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:55
中文關鍵詞:門檻向量誤差修正模型門檻效果油價停滯性通貨膨脹
外文關鍵詞:oil pricethreshold effectthreshold vector error correction
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石油屬於耗竭性資源,用完即不可再生,其蘊藏量分佈極為不均,半數以上集中在中東地區。
近年來國際原油變化莫測,油價的絕對數據也一再突破新高。台灣地區自產石油極為有限,
為國際油價之接受者,故油價對於經濟的影響不得不成為重要的議題。根據經濟學原理,
油價上漲常造成停滯性通貨膨脹,故本文首先利用共整合方法探討國內油價與本國每人所得的關係,
發現兩者之間存在負向的長期均衡關係。除此之外本文還以Hansen and
Seo(2003)門檻向量誤差修正模型來檢定國內油價與本國每人所得之間是否存在門檻效果,
結果發現變數間符合門檻共整合的長期均衡關係,並且可表達成門檻向量誤差修正模型
Since petroleum is a kind of exhaustive resource, it can not be
regenerated after being consumed. And petroleum is distributed
extremely uneven in the world, more than half of petroleum is
distributed in the Middle East area. In the recent years, the oil
price was so fluctuating and broke the record again and again.
However, the productivity of petroleum in Taiwan is very low and
we are a price taker. So it turns to be important that how the
oil price affects the economy. According to Economics, high oil
price often causes the staginflation. In the purpose of this study
we examine the long run relationship between oil price and
personal income in Taiwan by cointegration theory. And we find
that there indeed exists a negative longrun relationship. In
addition, we consider a nonlinear model, Threshold Vector Error
Correction Model, to test a threhold effect in the long run
relationship between variables. Finally we have a result that
there is a threshold cointegrating relationship between the oil
price and personal income in Taiwan.
1. 緒論 …………………………………………………………………….…..6
1.1前言…………………………………………………………………….…6
1.2研究動機………………………………………………………………….8
1.3研究目的………………………………………………………………….10
1.4研究內容與架構………………………………………………………….10
2經濟理論與相關文獻回顧……………………………………………………11
2.1經濟理論………………………………………………………………….11
2.2相關文獻回顧…………………………………………………………….12
3研究方法………………………………………………………………………16
3.1單根檢定………………………………………………………………….17
3.2傳統共整合檢定………………………………………………………….23
3.3Granger因果檢定…………………………………………………………30
3.4門檻向量誤差修正模型………………………………………………….32
4實證結果分析…………………………………………………………………36
4.1資料來源與處理………………………………………………………….36
4.2單根檢定結果…………………………………………………………….36
4.3共整合檢定結果………………………………………………………….38
4.4向量誤差修正與Granger causality檢測………………………………...40
4.5門檻向量誤差修正模型………………………………………………….42
5結論……………………………………………………………………………46
5.1結論……………………………………………………………………….46
附錄……………………………………………………………………………...48
參考文獻………………………………………………………………………...49
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