Title

原油價格與總體經濟變數非線性平滑轉換誤差修正模型之實證分析

Translated Titles

The Crude Oil Price and among Macroeconomic Variables in Smooth Transition Error Correction Model

DOI

10.6846/TKU.2008.00143

Authors

張懿鵬

Key Words

國際原油價格 ; 共積分析 ; 非線性平滑轉換誤差修正模型 ; Crude oil price ; Cointegration ; Nonlinear Smooth Transition Error Correction Model

PublicationName

淡江大學財務金融學系碩士班學位論文

Volume or Term/Year and Month of Publication

2008年

Academic Degree Category

碩士

Advisor

莊武仁

Content Language

繁體中文

Chinese Abstract

本文探討美國的產出與國際原油價格之間由短期動態調整至長期均衡的過程,以實質景氣循環理論作為探討產出與原油價格關係的理論基礎。研究期間自1959年第1季至2007年第3季。研究變數包含產出、貨幣供給、政府支出、利率以及國際原油價格。實證方法則是利用單根檢定、共積分析以及非線性平滑轉換誤差修正模型。 實證結果發現:產出、政府支出、貨幣供給、利率與原油價格需經一次差分後方能成為定態序列,即受到衝擊事件後會隨著時間慢慢回復到長期均衡。此外,五個變數之間存在一條共積關係,油價對產出呈現負向的影響。在非線性的模型估計中,發現產出從短期動態調整至長期均衡的過程以門檻值為中心,在兩體系間進行非線性且對稱的轉換,而且轉換的時點正值過去40年來曾發生原油危機的期間。此外,於各體系當中,前期貨幣供給量對當期產出皆有顯著地正向影響。

English Abstract

The purpose of this paper is to investigate the relationship among crude oil price and macroeconomic variables. Based on Real Business Cycle Theory, the shock came from real supply side, like oil shocks, were a contributing factor of economic recessions. A nonlinear smooth transition error correction model is specified and estimated with an equilibrium error as a proxy for the transition variable. The empirical results show that the GDP, government expenditure, money supply, interest rate and crude oil price are cointegrated with each other. The long-run equilibrium relationship among GDP, macroeconomic variables and crude oil price is stable with nonlinear adjustment. The evidences suggest that the ESTECM model is best for characterizing the behaviors.

Topic Category 商學院 > 財務金融學系碩士班
社會科學 > 財金及會計學
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Times Cited
  1. 周思廷(2009)。以奧肯法則探討石油價格對美國經濟成長的影響。淡江大學美洲研究所碩士班學位論文。2009。1-87。