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研究生:鄧延俞
研究生(外文):Yan-Yu Deng
論文名稱:油價與經濟成長率關係之探討:Panel分量迴歸分析
論文名稱(外文):An Inquiry into the Relationship between Oil Price and GDP Growth:A Panel Quantile Regression
指導教授:周濟周濟引用關係
指導教授(外文):Ji Chou
學位類別:碩士
校院名稱:世新大學
系所名稱:經濟學研究所(含碩專班)
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:2009
畢業學年度:97
語文別:中文
論文頁數:43
中文關鍵詞:油價影響力油價波動Panel分量迴歸
外文關鍵詞:oil price effectoil price volatilitypanel quantile
相關次數:
  • 被引用被引用:13
  • 點閱點閱:1518
  • 評分評分:
  • 下載下載:470
  • 收藏至我的研究室書目清單書目收藏:2
本文探討油價與經濟成長率之間的關係,以Panel分量迴歸對21個國家進行分析,並納入油價波動 (oil price volatility) 探討油價不對稱的問題以及不確定性的傳遞管道。對此問題Blanchard and Gali (2007;B&G)認為實質工資僵固的改善、更可信的貨幣政策以及石油在經濟生產的份額減少是三個主要原因讓2000年的油價影響力不同於1970年代,本文以不同方法重新探討,實證結果發現油價成長率並未對經濟造成影響,而是油價波動影響經濟。而油價波動在低分量時對經濟成長率有明顯的負向影響,若將資料期間區分為1983年之前與1983年之後時,可以發現油價的影響力已經不如從前,尤其在低分量時更為明顯。油價影響力減小除了B&G所提到的三個原因之外,本文認為原油期貨商品的出現亦會使油價的衝擊減少。
The paper reexamines the oil price-GDP growth relationship using Panel Quantile Regression with 21 countries. We employee “oil price volatility” to explore uncertainty channel and explain the asymmetric relationship between oil price changes and GDP growth. Blanchard and Gali (2007) observed that the effect of oil price shocks is different between 2000s and 1970s. They discussed three hypotheses for this problem: (1) more flexible labor markets, (2) improvements in monetary policy, and (3) smaller share of oil in production. Our empirical result suggests that oil price change does not affect GDP growth but oil price volatility does, especial in lower quantile. In addition to Blanchard and Gali offering three reasons to explain the effect of oil price is decrease, we conclude that oil future contract is the another reason which decrease the effect of oil price shocks.
目次
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 6
第三節 研究架構 6
第貳章 文獻回顧 7
第一節 油價議題 7
第二節 不對稱效果-非線性 10
第三節 內生性 11
第參章 研究方法 12
第一節 資料來源與變數定義 12
第二節 Panel 單根檢定 14
第一小節 Levin, Lin and Chu 14
第二小節 Im, Pesaran and Shin 15
第三節 固定效果模型 16
第四節 Panel分量迴歸 16
第肆章 實證結果 19
第一節 敘述統計以及單根檢定 19
第二節 固定效果模型及分量迴歸分析 22
第三節 油價影響力不如從前? 25
第伍章 結論 27
附錄 29
附圖、附表 29
參考文獻: 35
[1]周濟、何金巡、周麗芳、林建甫 (2008),〈油價高漲下油價政策對總體經濟及政府財政影響之模擬分析〉,世新經濟2007年學術研討會。
[2]Bernanke, B.S. (1997): "Irreversibility, Uncertainty, and Cyclical Investment." Quarterly Journal of Economics 98, 1: 85-106.
[3]Bernanke, B.S., M. Gertler, and M. Watson, (1997): "Systematic Monetary Policy and the Effects of Oil Shocks," Brookings Papers on Economic Activity, 1997-1, 91-157.
[4]Berndt, E.R., and D.O. Wood (1979): "Engineering and Econometric Interpretations of Energy-Capital Complementarity." The American Economic Review 69, 3: 342-54.
[5]Blanchard, O. and J. Gali (2007): "The Macroeconomic Effects of Oil Shocks: Why Are the 2000s So Different from the 1970s?" NBER Working Paper 13368, National Bureau of Economic Research, 2007.
[6]Burbidge, J. and A. Harrison (1984): "Testing for the effects of oil-price rises using vector autoregressions." International Economic Review 25, 459–484.
[7]Choi, I. (2001): "Unit Root Tests for Panel Data,” Journal of International Money and Finance, 20: 249–272.
[8]Davis, S.J., and J. Haltiwanger, (2001): "Sectoral Job Creation and Destruction Response to Oil Price Changes, "Journal of Monetary Economics, 48: 465-512.
[9]Ferderer, J.P. (1996): "Oil Price Volatility and the Macroeconomy: A Solution to the Asymmetry Puzzle, " Journal of Macroeconomics 18: 1-26.
[10]Fischer, S., (1985): "Supply Shocks, Wage Stickiness, and Accommodation," Journal of Money, Credit and Banking 17, 1: 1-15.
[11]Guo,H. and K.L. Kliesen (2005): "Oil Price Volatility and U.S. Macroeconomic Activity." Federal Reserve Bank of St. Louis Review, November/December, 669-684.
[12]Herrera, A.M. and E. Pesavento (2007): "Oil Price Shocks, Systematic Monetary Policy, and the Great Moderation," Michigan State University, unpublished manuscript.
[13]Hamilton, J.D. (1983): "Oil and the Macroeconomy since World War II," Journal of Political Economy, April 1983, 28-248
[14]Hamilton, J.D. (1996): "This is What Happened to the Oil Price Macroeconomy Relationship," Journal of Monetary Economics, vol. 38, no2, October, 215-220.
[15]Hamilton, J.D. (1988): "A Neoclassical Model of Unemployment and the Business Cycle," Journal of Political Economy, 96: 593-617.
[16]Hamilton, J.D. (2003): "What Is an Oil Shock?" Journal of Econometrics 113: 363-398.
[17]Hamilton, J.D., and A. M. Herrera (2004): "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy, " Journal of Money, Credit and Banking, vol.36, No.02, 265-286.
[18]Hooker, M.A. (1996): "What Happened to the Oil Price Macroeconomy Relationship?" Journal of Monetary Economics, 38, 195-213.
[19]He, X. and Hu, F. (2002): "Markov Chain Marginal Bootstrap," Journal of the American Statistical Association, 97: 783–795.
[20]Im, K. S., M. H. Pesaran, and Y. Shin (2003): "Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics, 115, 53–74.
[21]Koenker, R. and Bassett, G. W. (1978): "Regression Quantiles," Econometrica, 46: 33–50.
[22]Koenker, R. (2004):“Quantile Regression for Longitudinal Data,” Journal of Multivariate Analysis, 91,74–89.
[23]Levin, A., C. F. Lin, and C. Chu (2002): "Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties,” Journal of Econometrics, 108, 1–24.
[24]Lilien, D. (1982): "Sectoral Shifts and Cyclical Unemployment," Journal of Political Economy 90: 777-793.
[25]Loungani, P. (1986): "Oil Price Shocks and the Dispersion Hypothesis," Review of Economics and Statistics 68: 536- 539.
[26]Mork, K.A. (1989):"Oil and the Macroeconomy when Prices Go Up and Down: An Extension of Hamilton’s Results," Journal of Political Economy 97: 740-744.
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