商品與金融市場非對稱關聯性之實證研究

The Empirical Study of Asymmetric Relationships in the Commodity and Financial Markets

卓訓方(Hsun-Fang Cho)

指導教授 ： 聶建中

共同指導教授 ： 韋伯韜(Duan Wei)

淡江大學/商管學院/財務金融學系博士班/博士(2016年)

https://doi.org/10.6846/TKU.2016.00147

摘要

過去10年來，全球經濟受國際化、自由化及資訊科技發達影響，各國貿易及金融活動更加頻繁及密切，商品市場及金融市場間的連動性也與日俱增。近年來，全球經濟受到油價波動、全球金融海嘯與美國及日本量化寬鬆貨幣政策衝擊，對於全球的商品市場及金融市場也產生了重大的衝擊。故本文將運用非對稱關聯性之模型探討商品市場與金融市場之因果關係及蔓延的共同移動或是共同趨勢效果。
本文第一篇研究議題是「油價與糧食價格非對稱關聯性之實證研究」，實證結果發現油價與玉米、大豆、小麥及稻米價格有長期均衡關係，另發現油價與玉米及小麥價格存在短期因果關聯性，最後結果發現油價確實領先玉米、大豆及小麥價格。
第二篇論文是探討「安倍經濟學前後在非對稱架構下匯率市場之蔓延效果」，實證結果發現在安倍經濟學期間日圓貶值確實對與日本出口競爭的亞洲國家匯率造成競貶的蔓延效果，除了南韓之外。我們也清楚發現日圓貶值現象沒有蔓延到亞洲其他地區。最後結論安倍經濟學讓日圓大幅貶值僅有區域性的蔓延效果，不是全球性的蔓延效果。
本文最後一篇研究主題是「安倍經濟學前後台幣匯率對股價報酬的影響」，實證結果發現安倍經濟學所造成的台幣匯率波動確實會影響台灣汽車及積體電路產業的獲利性及股價報酬。以台灣汽車業為例當台幣相對升值超過2.30%，台灣汽車業獲利能力就受影響，進而影響股價報酬。而積體電路產業則是當台幣升值超過2.72%，獲利能力就會下降，股價也因此受到影響。

關鍵字

不對稱門檻共整合模型 ； 縱橫平滑移轉模型 ； 蔓延效果 ； 油價 ； 糧食價格 ； 匯率 ； 股票報酬 ； 財務比率 ； 安倍經濟學

並列摘要

In past 10 years global economy affected by internationalization, liberalization and advanced science and technology makes more frequent and closer international trade and financial transactions all over the world. The relationships of commodity and financial markets have gathered great importance. In recent years, oil price volatility, global financial crises and America and Japan Quantitative Easing Monetary Policies have greatly been affecting the global commodity and financial markets. We utilize the model of asymmetric relationships to explore the causal nexus of commodity and financial markets and co-movement effects or common trend effects in the transmission or contagion among international commodity and financial markets
The first topic of our study is “the empirical study of the asymmetric relationships between oil and food prices”. Empirical evidence suggests that there is a long-term equilibrium relationship between corn, rice, soybean, and wheat prices and the oil price during the time period investigated. Furthermore, we examined the short-run causal relationship exists between corn, and wheat prices and oil price. Finally, we also find out oil price to corn, soybean, and wheat price have a lead-lag causal relationship.
The second theme is “the exchange market contagion in an asymmetric framework before and after Abenomics”. The empirical evidence confirms a contagion effect particularly in Asian countries where there is export competition with Japan with the exception of South Korea during Abenomics. The contagion of the Japanese yen depreciation is not transmitted to Australia, the Euro zone (France, Germany, Italy, and Netherlands), Qatar, Saudi Arabia, and USA in competitive trade with Japan. We can apparently find the effect of yen devaluation only occurred in the region of Asia close to Japan and does not spread Europe and America. In general, our results support the contagion phenomenon for Abenomics. Nevertheless, the effect of the contagion is regional not global.
The third issue is “the effect of exchange rate change on stock return in Taiwan around Abenomics”. The main contribution is to provide a means for CEOs of companies in the two industries to exercise hedge options and evade the risk of exchange rate for their firms when the appreciation of currency are over 2.30% and 2.72% for automotive and integrated circuits industries, respectively. The empirical study finds that the exchange rate change over the threshold level certainly influenced profitability and stock returns of companies in the automotive and integrated circuits industries in Taiwan around Abenomics.

並列關鍵字

Asymmetric Threshold Co-integration Model ； Panel Smooth Transition Regression Model ； Contagion Effect Oil Price ； Food Prices ； Exchange Rate ； Stock Returns ； Financial Ratios ； Abenomics

參考文獻

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