原油價格與國內貨幣關係之非線性關係研究: 以俄羅斯和美國為例

Nonlinear causality relations of oil price and national currency based on momentum threshold autoregressive (MTAR) model: Cases of Russia and USA

石浩文(Arkadiy Galiev)

指導教授 ： 聶建中 ； 陳達新

淡江大學/商管學院/財務金融學系碩士班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.01016

摘要

本研究欲探討在美國市場中WTI油價與美元指數間之非線性關係及在俄羅斯市場中URALS 油價與盧布對美元匯率間之非線性關係。本研究包含單根檢定(穩定性檢定)、非線性門檻檢定、共整合檢定、和因果關係檢定。實證結果與分析發現，油價與貨幣皆為定態。同時，油價與貨幣於兩個市場中，在長期下，皆有共整合關係。此外，此關係於美國市場中為對稱；而於俄羅斯市場，則有門檻不對稱之情形。最後，本研究發現油價於短期和長期，皆有領先美元之情形。

關鍵字

原油價格 ； 盧布對美元匯率 ； 美元指數 ； 非對稱門檻自我迴歸 ； 領先落後關係

並列摘要

The research investigates non-linear relations of WTI oil price and US Dollar Index on the US market and URALS oil price and RUB/USD exchange rate on Russian market. The study includes unit root test (stationarity test), non-linear threshold cointegration test and Granger causality test. The empirical results and analysis suggest that oil prices and national currencies are all stationary. Also, oil price and currency are co-integrated in the long run on both markets. Apart from that, the relationship is symmetric on the US market and threshold asymmetric on Russian market. Finally, oil price leads US dollar in the short run and in the long run.

並列關鍵字

Oil price ； RUB/USD exchange rate ； US Dollar Index ； Asymmetric threshold auto-regression ； Lead-lag relationship

參考文獻

Granger, C. W. J. (1969). “Investigating Causal Relations by Econometric Models and Cross-spectral Methods.” Econometrica, 37(3), 424–438.

Kapetanios, G., Shin, Y. and Snell, A. (2003). “Testing for a unit root in the nonlinear STAR framework.” Journal of Econometrics, 112, 359–379.

Organization of Petroleum Exporting Countries, Data and statistics (2015).

Pomfret, R. (2009). “Common currency: adoption of euro.” The Princeton encyclopedia of the World Economy, 1, 190–196.

Yau, H. Y. and Nieh, C. C. (2009). “Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan.” Japan and the World Economy, 21, 292–300.