(3.238.173.209) 您好!臺灣時間:2021/05/15 15:45
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

: 
twitterline
研究生:Thieu Thi Thanh Ha (Emily)
研究生(外文):Thieu Thi Thanh Ha (Emily)
論文名稱:以原油價格及產量分析原油價格之門檻值
論文名稱(外文):Oil Threshold Value Between Oil Price and Production.
指導教授:楊子儀楊子儀引用關係
指導教授(外文):Yang,Tzu-Yi
口試委員:楊子儀謝百鉤盧建中
口試委員(外文):Yang,Tzu-YiHsieh, Pio-GoLu, Chien-Chung
口試日期:2017-05-12
學位類別:碩士
校院名稱:明志科技大學
系所名稱:經營管理系碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:英文
論文頁數:70
外文關鍵詞:panel smooth transition regression (PSTR) modelthreshold effectscrude oil pricescrude oil productionnonlinear relationship
相關次數:
  • 被引用被引用:0
  • 點閱點閱:210
  • 評分評分:
  • 下載下載:49
  • 收藏至我的研究室書目清單書目收藏:0
This study proposes a panel smooth transition regression (PSTR) model to investigate the nonlinear relationship between crude oil prices and crude oil production for 122 countries, both OPEC and non-OPEC, from March 1994 to October 2015. The statistical test for the existence of a threshold effect indicates that the relationship between oil prices and oil production is nonlinear, with different changes over time and among the oil price and transition variables. Additionally, a threshold value does exist. Furthermore, crude oil price volatility has asymmetric responses to its production volatility by fluctuating above or below the threshold value. Finally, when crude oil price volatility with a lag of two periods exceeds the threshold value, crude oil production changes have a positive impact on crude oil price volatility. In contrast, when crude oil price volatility with a lag of two periods is less than the threshold value, the effect of crude oil production changes on its price volatility is negative.
Acknowledgments iv
Abstract vi
Content vii
List of Tables ix
List of Firgures x
CHAPTER ONE: INTRODUCTION 1
1.1. Research background and motivation 3
1.2. Research purpose: 8
1.3. Research Structure 9
1.4. Summary: 11
CHAPTER TWO: LITERATURE REVIEW 13
2.1. The relation between crude oil prices and crude oil production: 13
2.2. The threshold models in previous literatures: 14
2.3. Threshold models in literature about crude oil price: 16
2.4. Panel smooth transition regression (PSTR) model in literatures: 21
2.5. Summary: 23
CHAPTER THREE: DATA AND METHODOLOGY 25
3.1. The data sources 25
3.1.1. International Monetary Fund (IMF) Database 25
3.1.2. The United State Energy Information Administration (EIA) Database 26
3.2. Description of Variables 28
3.2.1. Dependent Variable 28
3.2.2. Independent variable 30
3.2.3. Transfer variable 34
3.3. Empirical models: 35
3.3.1. PSTR model 35
3.3.2 Estimation and specification test: 36
3.4. Summary 37
CHAPTER FOUR: ANALYSES AND FINDINGS 39
4.1. Descriptive Statistics 39
4.2. Correlation and Collinearity: 41
4.3. Specification tests: 42
4.3.1. Panel unit root test: 42
4.3.2. Linear tests 43
4.3.3. The optimal number of threshold regime tests 45
4.4. Empirical Results 45
4.4.1. PSTR model 46
4.4.2. Linear model 46
4.4.3. Estimation results 47
4.5. Summary: 49
CHAPTER FIVE: CONCLUSION 51
5.1. Discuss about the results 51
5.2. Concluding remarks 52
References 54

Ahmad, A., & Hernandez, R. M., 2013. Asymmetric adjustment between oil prices and exchange rates: Empirical evidence from major oil producers and consumers. Journal of International Financial Markets, Institutions and Money, 27, 306-317.
Allegret, J. P., Couharde, C., Coulibaly, D., & Mignon, V., 2014. Current accounts and oil price fluctuations in oil-exporting countries: the role of financial development. Journal of International Money and Finance, 47, 185-201.
Apergis, N., Ewing, B. T. & Payne, J. E., 2016. A time series analysis of oil production, rig count and crude oil price: Evidence from six U.S. oil producing regions. Energy, 97, 339-349.
Apergis, N., & Payne, J. E., 2014. Renewable energy, output, CO 2 emissions, and fossil fuel prices in Central America: evidence from a nonlinear panel smooth transition vector error correction model. Energy Economics, 42, 226-232.
Asimakopoulos, S., & Karavias, Y., 2016. The impact of government size on economic growth: A threshold analysis. Economics Letters, 139, 65-68.
Barhoumi, K., 2006. Differences in long run exchange rate pass-through into import prices in developing countries: An empirical investigation. Economic Modelling, 23 (6), 926-951.
Brana, S., & Prat, S., 2016. The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model. Economic Modelling, 52, 26-34.
Chang, T. H., Huang, C. M. & Lee, M. C., 2009. Threshold effect of the economic growth rate on the renewable energy development from a change in energy price: Evidence from OECD countries. Energy Policy, 37 (12), 5796-5802.
Chan, K. S., 1993. Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model. Ann. Statist. The Annals of Statistics, 21 (1), 520-533.
Chen, L. H., Finney, M., & Lai, K. S., 2005. A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices. Economics Letters, 89 (2), 233-239.
Chen, S. S., & Chen, H. C., 2007. Oil prices and real exchange rates. Energy Economics, 29(3), 390-404.
Cheikh, N. B., & Louhichi, W., 2016. Revisiting the role of inflation environment in exchange rate pass-through: A panel threshold approach. Economic Modelling, 52, 233-238.
Cunado, J. & Gracia, F. P. D., 2005. Oil prices, economic activity and inflation: evidence for some Asian countries. The Quarterly Review of Economics and Finance, 45 (1), 65-83.
Cuñado, J., & de Gracia, F. P., 2003. Do oil price shocks matter? Evidence for some European countries. Energy Economics, 25(2), 137-154.
Ebrahimi, M., & Ghasabani, N. C., 2015. Forecasting OPEC crude oil production using a variant Multicyclic Hubbert Model. Journal of Petroleum Science and Engineering, 113, 818-823.
Enders, W., & Siklos, P. L., 2001. Cointegration and Threshold Adjustment. Journal of Business and Economic Statistics, 19, 166–176.
Gallo, A., Mason, P., Shapiro, S., & Fabritius, M., 2010. What is behind the increase in oil prices? Analyzing oil consumption and supply relationship with oil price. Energy, 35 (10), 4126-4141.
González, A., Teräsvirta, T., & Dijk, D. V., 2005. Panel smooth transition regression models (No. 604). SSE/EFI Working Paper Series in Economics and Finance.
Ghassan, H. B., & Alhajhoj, H. R., 2016. Long run dynamic volatilities between OPEC and non-OPEC crude oil prices. Applied Energy, 169, 384-394.
Ghosha, S., & Kanjilalb, K., 2016. Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests. Energy Economics, 53, 111-117.
Güntner, J. H. F., 2014. How do oil producers respond to oil demand shocks?. Energy Economics, 44, 1-13.
Hamilton, J. D., 1983. Oil and the Macroeconomy since World War II. Journal of Political Economy, 91 (2), 228-248.
Hamilton, J. D., 1985. Historical Causes of Postwar Oil Shocks and Recessions. EJ The Energy Journal, 6 (1), 1985.
Hamilton, J. D., 2003. What is an oil shock?. Journal of Econometrics, 113 (2), 363-398.
Hansen, B., E., & Seo, B., 2002. Testing for two-regime threshold cointegration in vector error-correction models. Journal of Econometrics, 110 (2), 293-318.
Huang, B. N., Hwang, M. J & Peng, H. P., 2005. The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model. Energy Economics, 27 (3), 455-476.
Huang, W. H., & Chao, M. C., 2012. The effects of oil prices on the price indices in Taiwan: International or domestic oil prices matter?. Energy Policy, 45, 730-738.
He, Y., Wang, S. & Lai, K. K., 2010. Global economic activity and crude oil prices: A cointegration analysis. Energy Economics, 32 (4), 868-876.
Herrera, A. M., Lagalo, L. G., & Wada, T., 2015. Asymmetries in the response of economic activity to oil price increases and decreases?. Journal of International Money and Finance, 50, 108-133.
Horn, M., 2004. OPEC's optimal crude oil price. Energy Policy, 32(2), 269-280.
Johansen, S., 1988. Statistical analysis of cointegration vectors. Journal of economic dynamics and control, 12(2), 231-254.
Joëts, M., & Mignon, V., 2012. On the link between forward energy prices: A nonlinear panel cointegration approach. Energy Economics, 34(4), 1170-1175.
Yang, Tzu-Yi, and Yu-Tai Yang. 2015. “A study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock market.” Panoeconomicus, 62(3), 361-383.
Ye, M., Zyren, J. & Shore, J., 2002. Forecasting crude oil spot price using OECD petroleum inventory levels. International Advances in Economic Research, 8 (3), 324-333.
Ye, M., Zyren, J. & Shore, J., 2008. Forecasting short-run crude oil price using high- and low-inventory variables. Energy Policy, 34 (17), 2736-2743.
Yu, L., Wang, S., & Lai, K. K., 2008. Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm. Energy Economics, 30 (5), 2623-2635.
Kesicki, F., 2010. The third oil price surge – What’s different this time?. Energy Policy, 38 (3), 1596-1606.
Killian, L., 2009. Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 99 (3), 1053-1069.
Killian, L., 2014. Oil Price Shocks: Causes and Consequences. Annu. Rev. Resour. Econ. Annual Review of Resource Economics, 6 (1), 133-154.
Kolodzeij, M. & Kaufmann, R. K., 2014. Oil demand shocks reconsidered: A cointegrated vector autoregression. Energy Economics, 41, 33-40.
Maggio, G., & Cacciola, G., 2009. A variant of the Hubbert curve for world oil production forecasts. Energy Policy, 37 (11), 4761-4770.
Mihut, M. I. & Daniel, D. L., 2012. First Oil Shock Impact on the Japanese Economy. Procedia Economics and Finance, 3, 1042-1048.
Mustapha, S. A. & Sulaiman, L. A., 2015. Estimating the Critical Bands for Nigeria's Crude Oil Price and Production: Evidence from GARCH Models and Interval Adjustments. Procedia Economics and Finance, 30, 573-585.
Natanelov, V., Alam, M. J., Mckenzie, A. M., & Huylenbroeck, G. V., 2011. Is there co-movement of agricultural commodities futures prices and crude oil?. Energy Policy, 39 (9), 4971-4984.
Park, J. & Ratti, R. A., 2008. Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics, 30 (5), 2587-2608.
Pal, D., & Mitra, S. K., 2015. Asymmetric impact of crude price on oil product pricing in the United States: An application of multiple threshold nonlinear autoregressive distributed lag model. Economic Modelling, 51, 436-443.
Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of econometrics, 108(1), 1-24.
Linn, J., 2006. Why do oil shocks matter? The importance of inter-industry linkages in US manufacturing. Mimeo, University of Illinois at Chicago.
Qin, X., Zhou, C., & Wu, C., 2016. Revisiting asymmetric price transmission in the U.S. oil-gasoline markets: A multiple threshold error-correction analysis. Economic Modelling, 52, 583-591.
Sadorsky, P., 2009. Renewable energy consumption and income in emerging economies. Energy policy, 37(10), 4021-4028.
Tsagkanos, A., & Siriopoulo, C., 2015. Stock markets and industrial production in north and south of Euro-zone: Asymmetric effects via threshold cointegration approach. The Journal of Economic Asymmetries, 12 (2), 162-172.
Tsay, R. S., 1998. Testing and modeling multivariate threshold models. Journal of the american statistical association, 93(443), 1188-1202.
The U.S Energy Information Administration - EIA - Benchmarks play an important role in pricing crude oil. Retrieved October 28, 2014, from
http://www.eia.gov/todayinenergy/detail.php?id=18571.
Wan, J. Y., & Kao, C. W., 2015. Interactions between oil and financial markets — Do conditions of financial stress matter?. Energy Policy, 52, 160-175.
Wang, Y., & Wu, C., 2013. Are crude oil spot and futures prices cointegrated? Not always!. Economic Modelling, 33, 641-650.
Wang, Y. S., & Chueh, Y. L., 2013. Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices. Economic Modelling, 30, 792-798.
Wang, Y. S., 2013. Oil price effects on personal consumption expenditures. Energy Economics, 36, 198-204.
Wu, P. C., Liu, S. Y., & Pan, S. C., 2013. Nonlinear bilateral trade balance-fundamentals nexus: A panel smooth transition regression approach. International review of economics & finance, 27, 318-329.
Schubert, S. F. & Turnovsky, S. J., 2011. The impact of oil prices on an oil-importing developing economy. Journal of Development Economics, 94 (1), 18-29.
Zhu, H. M., Li, S. H., & Yu, K., 2011. Crude oil shocks and stock markets: A panel threshold cointegration approach. Energy Economics, 33 (5), 987-994.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關論文
 
無相關期刊
 
無相關點閱論文