探討波羅地海指數與總體經濟成長率之關係-以美國、中國大陸、台灣為例

Discussion the Relationship between Baltic Dry Index and Economic Growth Rate- Taking the United States, Mainland China and Taiwan for Example

徐雅淳(YA-CHUN HSU)

指導教授 ： 施懿宸

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2016年)

摘要

由於探討波羅地海綜合指數(Baltic Dry Index，縮寫為BDI)的文獻大多集中在探討該指數與各種商品指數、各國股價指數、個股股價的關聯性，對於波羅地海綜合指數與各國經濟成長與是否有不同程度的關聯性並無相關研究，本研究以波羅地海綜合指數、美國國內生產總值、中國大陸國內生產總值、台灣國內生產總值等季資料，以向量自我回歸模型(VAR)來分析三國的經濟成長率與波羅地海綜合指數變動率之間變動的關係，並透過Granger因果關係檢定來探討各變數間是否存在領先或落後的因果關係，也用衝擊反應函數瞭解三國的經濟成長率對波羅地海綜合指數變動率的反應函數及其遞延效果。
研究結果發現，波羅地海綜合指數會受到美國、中國大陸、台灣三國經濟成長率的影響，而美國的經濟成長率同時也會影響中國大陸和台灣的經濟成長率。波羅地海綜合指數受到台灣經濟成長率的影響顯著，表示對國際貿易依存度高、且以出口為導向的國家的經濟成長影響散裝航運價格顯著。

關鍵字

波羅地海綜合指數 ； 向量自我回歸模型 ； Granger因果關係檢定 ； 衝擊反應函數分析

並列摘要

Most of the literature that discussed about the Baltic Dry Index, abbreviated as BDI, tended to focus on the relationship with commodity index, stock index, individual stock price, but less to discuss the relationship with economic growth of individual country. This study is to examine the relationship between BDI and the economic growth of the United States, Mainland China and Taiwan by using the quarterly data of BDI, the GDP of the United States, Mainland China and Taiwan. By using self-vector regression (VAR) to analysis the relationship between BDI and the three countries’ economic growth. Through Granger causality test to find the causal relationships between the presences of lead or lag between the variables. Finally, with understanding the impact of the reaction function of the three countries’ economic growth changes to BDI and the deferred effect.
The results found that BDI is influenced by the economic growth of the United States, Mainland China and Taiwan. Meanwhile, the economic growth of United States could impact the economic growth of Mainland China and Taiwan. BDI is significantly related to the economic growth of Taiwan. The economic meaning is that the economic growth of the countries with highly worldwide trade reliability and with export leading tendency might noticeable impact the freights of bulk market.

並列關鍵字

BDI ； vector self-regression model ； Granger causality test ； impact response function analysis

參考文獻

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