油價衝擊對於石油輸出與輸入國股、匯市之影響性 —以東亞六國為例

The influence of oil price shocks on the stock and foreign exchange markets between oil exporting and importing countries － Evidence on six countries in East Asia

徐春傑(Chun-Chieh Shu)

指導教授 ： 張健邦

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

近年來油價波動劇烈，石油輸出國如巴西、俄羅斯等因油價上漲而受
惠。另一方面石油輸入國日本、韓國以及中國等，卻因油價上漲影響生產
成本，進而對股、匯市等指標產生重大影響。
本研究以東亞地區石油輸入國(中國、日本、韓國、台灣)以及石油出
口國(馬來西亞、印尼)等六國之股、匯市以及杜拜原油作為研究對象。分
析股、匯市及油價在石油輸出入國之間，是否有因果關係、共同移動的現
象、和受到衝擊之反應，以了解油價在景氣上扮演的角色。
實證結果顯示，除了中國的股、匯市與杜拜原油價格具有長期均衡關
係之外，油價波動對於石油輸出國的影響力較石油輸入國為大，此與中國
為近年來原物料最大需求者的角色相符合。而同為石油輸出國的印尼、馬
來西亞，在Granger 因果關係以及預測誤差變異數分解上略有出入。我們
推估可能與兩國石油化工展業占全國產值比有直接關係，導致經濟能力與
油價相關性有所不同。

關鍵字

共整合分析 ； 變異數分解 ； 衝擊反應 ； 單根檢定 ； 因果關係

並列摘要

The oil price fluctuates violently in recent years, oil exporting countries such
as Brazil, Russia benefit because of the rising oil price. Oil importers such as
Japan, South Korea and China, on the other hand, suffer increasing production
costs due to the rise in oil price. Indicators such as the stock and foreign
exchange markets are greatly affected as a result of increasing costs.
This study analyzes Dubai oil price and the stock and foreign exchange
markets based on East Asian oil importers (China, Japan, South Korea, Taiwan)
and exporters (Malaysia, Indonesia). The results show the causality,
co-movement and impulse responses among the stock markets, foreign
exchanges and oil price in the oil exporters and importers and clarify the role of
oil price on the economic cycles.
The empirical results show that the oil price fluctuates greater than
petroleum importer to the influence of the petroleum exporting country , except
China stock and foreign currency market with Dubai oil price have balanced
relation for a long time . And as oil exporting country Indonesia, Malaysia, have
some discrepancy in Granger-causality and variance decomposition . We
conjecture exhibition industry of petrochemical industries of two countries than
having direct relations to estimate, cause economic ability to be different from
relevance of the oil price.

並列關鍵字

cointegration ； variance decomposition ； impulse response ； Granger-causality ； unit root test

參考文獻

9. 蔡坤助(2005)，台灣股、匯市與美國股市之連動關係：三元GJR

interdependence of stock and foreign exchange markets: an Australian

perspective, Internation Financial Markets , Institutions & Money, vol

Statistical Association, 74, pp.427-431.

Autoregressive Time Series with a Unit Root, Econometrica, 49,