臺灣博碩士論文加值系統

過去五年，由於金融海嘯爆發，引起全球經濟震盪。其中尤以2007年至2009年間美國次級房貸風暴發生以及2010年開始的歐債危機均造成各國政府與民眾極大不安，因而使得波動率指數(恐慌指數)大幅走升。過去波動率指數之研究多用於預測股票市場之走勢，較少探討匯率與油價之關聯。有鑑於匯率及油價的變動皆曾對一國的經濟造成嚴重衝擊，本研究特別探討波動率指數、美元指數及油價三者間之關聯性，並將波動率指數的走勢細分為三小段(第一小段從2004年1月1日至2006年12月29日，期間波動率指數走勢穩定；第二小段從2007年1月1日至2009年12月31日，期間受到美國次級房貸襲捲全世界的影響，波動率指數一路走高；第三小段從2010年1月1日至2011年12月30日，由於歐債風暴衝擊，使逐漸趨緩的波動率指數再次劇升)，以比較在不同的波動率指數之下，三者間的互動關係。本研究並以葛蘭吉的因果檢定、向量自我迴歸模型(VAR)及向量誤差修正(VECM)模型進行實證分析，俾探討三者間是否具有因果關係，且三者間是否存在長期均衡關係。本研究實證結果歸納如下：
1.在全樣本期間及第一小段期間，三者間彼此存在長期均衡關係，其中全樣本期間的波動率指數與美元指數、油價呈現顯著負相關；但在第一小段內波動率指數只與油價呈現顯著負相關。
2.本研究透過因果檢定分析，發現波動率指數在第一小段期間，油價與美元指數為雙向因果關係；而在第二小段的金融海嘯時期，波動率指數飆升，因而使得波動率指數領先美元指數及油價；而在第三小段的歐債危機期間，波動率指數只領先美元指數，顯示波動率指數可做為投資者套利或是避險的參考工具之一。
3.本研究在預測誤差變異數分解方面，發現波動率指數，美元指數與油價最具解釋能力的仍然為自己本身，但波動率指數及美元指數對油價具有部份的解釋能力；而在衝擊反應函數方面，本研究發現源自波動率指數及油價的衝擊對變數間具有外溢效果，而在美元指數的衝擊下，會產生共移現象。當三變數受到彼此間的衝擊後，會在短期間內迅速收斂，表示市場具有效率性。

For the past five years, the financial tsunami caused great uneasiness around the whole world. Especially, the subprime loan crisis during the period of 2007 to 2009 and the European debt crisis has been started from 2010 till the present, both caused the volatility index (VIX) soared dramatically. For previous researches, the VIX was used to forecast stock market movements rather than focus on the association of the exchange rate with oil prices. Since the changes in exchange rates and oil prices severely influenced a country's economy, this study employs the Granger causality test, vector autoregressive (VAR) test and vector error-correction model (VECM) to examine the long-run equilibrium relationship among VIX, USDX and oil price (OIL). This investigation also divides the entire sample period into three subperiods, the first sub-period is defined as the VIX stable period, starting from 2004 to 2006. The second sub-period is called as VIX rising period, running from 2007 to 2009 as the U.S. subprime loan crisis lasted for three years. The third sub-period starts from 2010 to 2011 as the European debt crisis occurred and lasted, the VIX rose dramatically again from gradually smoothing period. The empirical results are summarized below:
1.The long-run equilibrium relationship exists for the entire sample period and for the first sub-period. However, this study finds that VIX、USDX and OIL have significantly negative relationship during the entire sample period. Yet only VIX and OIL have a significantly negative relationship during the 1st sub-period.
2.This investigation finds that OIL and USDX have significantly mutual relationship during the first sub-period using the Granger Causality test. Empirical results also show that VIX affects USDX and OIL during the U.S. subprime loan crisis period (the second sub-period). However, VIX only affects USDX during the European debt crisis period (the third sub-period), suggesting that VIX can be used as a reference tool for investors to arbitrage or hedge.
3.The result of variance decomposition method shows that VIX, Oil and USDX have the best explanatory power for all three parameters themselves. However, both VIX and USDX may explain a portion of Oil trend. This study finds that, there are spillover effects from VIX and OIL using impulse responsive function; while the co-movement exists when the influence of dramatic change in USDX occurred. This investigation also finds that all three parameters converge rapidly during a short period after the dramatic change in three parameters, suggesting that market efficiency exists.

摘要 I
Abstract III
致謝詞 V
目錄 VI
圖目錄 VIII
表目錄 IX
第一章　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 4
第二章　文獻探討 5
第一節　波動率指數(VIX)之相關文獻 5
第二節　油價與總體經濟變數關聯性之相關文獻 7
第三章　研究方法 9
第一節　變數選取與資料來源 9
第二節　單根檢定 11
第三節　共整合檢定 12
第四節　向量自我迴歸模型 14
第五節　向量誤差修正模型 15
第六節　因果關係檢定 16
第七節　衝擊反應分析 17
第八節　變異數分解 18
第四章　證實結果與分析 19
第一節　資料型態與說明 19
第二節　敘述統計與研究期間說明 19
第三節　實證模型設定與選取 23
第四節　實證結果 25
第五章 結論與建議 48
第一節 結論 48
第二節 研究限制 50
第三節 研究建議 51
參考文獻 52
中文文獻 52
英文文獻 52


 
圖目錄
圖1波動率指數走勢圖 2
圖2 研究流程 4
圖3 VIX、USD與OIL走勢圖 21
圖4 模型選擇程序架構圖 24
圖5取自然對數之波動率指數、美元指數與油價時間序列 25
圖6波動率指數、美元指數與油價差分後為定態之時間序列 26
圖7 取自然對數之波動率指數、美元指數與油價時間序列 29
圖8波動率指數、美元指數與油價差分後為定態之時間序列 29
圖9 取自然對數之波動率指數、美元指數與油價時間序列 32
圖10波動率指數、美元指數與油價差分後為定態之時間序列 32
圖11第二段期間衝擊反應圖-VIX 35
圖12第二段期間衝擊反應圖-USDX 36
圖13第二段期間衝擊反應圖-OIL 37
圖14取自然對數之波動率指數、美元指數與油價時間序列 40
圖15波動率指數、美元指數與油價差分後為定態之時間序列 40
圖16第三段期間衝擊反應圖-VIX 43
圖17第三段期間衝擊反應圖-USDX 44
圖18第三段期間衝擊反應圖-OIL 45

表目錄

表1 波動率指數之相關文獻彙整表 5
表2 石油價格與總體經濟變數相關文獻彙整表 7
表3 變數定義表 19
表4 敘述統計彙總表 20
表5 ADF檢定結果：全部樣本期間 25
表6 Johansen共整合檢定: 全部樣本期間 26
表7 VIX、USDX、OIL因果關係：全部樣本期間 27
表8誤差修正之調整速度 28
表 9 ADF檢定結果：第一段期間 29
表10 Johansen共整合檢定: 第一段期間 30
表11 VIX、USDX、OIL因果關係：第一段期間 31
表12誤差修正之調整速度 31
表13 ADF檢定結果：第二段期間 32
表14 Johansen共整合檢定: 第二段期間 33
表15 VIX、USDX、OIL因果關係：第二段期間 34
表16第二段期間衝擊反應函數-VIX 35
表17第二段期間衝擊反應函數-USDX 36
表18第二段期間衝擊反應函數-OIL 37
表19變異數分解表：第二段期間 39
表20 ADF檢定結果：第三段期間 40
表21 Johansen共整合檢定: 第三段期間 41
表22 VIX、USDX、OIL因果關係：第三段期間 42
表23 第三段期間衝擊反應函數-VIX 43
表24第三段期間衝擊反應函數-USDX 44
表25 第三段期間衝擊反應函數-OIL 45
表26變異數分解表：第三段期間 47

中文文獻
鍾展弘(2011)，「VIX、CDS與TED 價差對股票市場的影響」，世新大學財務金融學研究所碩士論文。
蕭建文(2009)，「金融風暴前後之金價、油價、美元匯率與利率關聯性分析」，國立中正大學財務金融研究所碩士論文。
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