臺灣博碩士論文加值系統

本文研究以2009年01月01號至2023年05月31日期間，以月數據資料進行實證分析。試圖以嚴重特殊傳染性肺炎(COVID-19)對市場的恐慌影響為背景，並以單根檢定、最適落後期數選擇、共整合檢定、向量自我迴歸模型、脈衝反應作為研究方法，探討恐慌指數、碳權指數與石油價格之間的相互關係。實證結果得知，各變數經過一階差分後進行單根檢定，皆為定態的時間序列資料。根據軌跡檢定跟Johansen共整合檢定分析結果發現，三者變數間沒有長期均衡關係，因此接下來以向量自我迴歸模型進行研究，研究結果顯示，碳權指數會受到前兩期恐慌指數正向影響；石油價格會受到前一、二期碳權指數正向影響，及前一期恐慌指數正向影響；恐慌指數會受到前一期碳權指數、及自身前一、二期指數負向影響。最後由脈衝反應研究方法中可看出，可以發現短期內恐慌指數、碳權指數與石油價格呈現雙向的因果關係，可以彼此互解釋並互相影響。

This study employs monthly data from January 1, 2009, to May 31, 202 to examine the impact of the COVID-19 pandemic on the interrelationships between panic index, carbon quota index, and oil prices. The research methods employed include unit root tests, optimal lag selection, cointegration tests, vector autoregressive models, and impulse response analysis. The unit root results indicate that all variables, after being first-differenced, are stationary time series data. According to the trace test and Johansen cointegration test results, there is no long-term equilibrium relationship among the three variables. Therefore, vector autoregressive models are used for further analysis. The research findings show that the carbon quota index is positively influenced by the panic index in the previous two periods. Oil prices are positively influenced by the carbon quota index in the previous one and two periods, as well as the panic index in the previous period. The panic index is negatively influenced by the carbon quota index in the previous period and its own index in the previous one and two periods. Lastly, the impulse response analysis reveals a bi-directional causal relationship among the panic index, carbon quota index, and oil prices, indicating that they can mutually explain and affect each other.

目錄 i
表目錄 ii
圖目錄 iii
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的與架構 5
第貳章 文獻探討 7
第一節 碳權指數 7
第二節 石油價格 9
第三節 恐慌指數 11
第參章 研究方法 13
第一節 單根檢定 13
第二節 最適落後期數選擇 15
第三節 共整合檢定 16
第四節 向量自我迴歸模型 18
第五節 脈衝反應 19
第肆章 實證結果與分析 20
第一節 資料來源及處理 20
第二節 基本統計量分析 21
第三節 單根檢定 26
第四節 最適落後期數 29
第五節 Johansen共整合檢定 31
第六節 向量誤差修正模型與向量自我迴歸模型 34
第七節 脈衝反應 37
第伍章 結論與建議 39
第一節 研究發現 39
第二節 實務與經濟意涵 40
第三節 研究限制與建議 42
參考文獻 44

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