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https://ah.lib.nccu.edu.tw/handle/140.119/137062| 題名: | 國際原油市場衝擊對於臺灣主要產業股市報酬率之影響 The impact of global oil market shocks on the stock returns of main industries in Taiwan |
作者: | 黃竑翰 Huang, Hung-Han |
貢獻者: | 方中柔 Fang, Chung-Rou 黃竑翰 Huang, Hung-Han |
關鍵詞: | 國際原油市場衝擊 產業指數報酬率 遞迴式SVAR 衝擊反應 |
日期: | 2021 | 上傳時間: | 2-Sep-2021 | 摘要: | 近期國際原油市場因為新冠疫情的關係動盪不安，油價的波動開始使人臆測經濟與股市與其之關聯，然而，真正具影響力的關鍵因素應該是油價波動背後的外生衝擊而非單一「價格」能解釋。\n\n是故本文在主要參考 Kilian (2009) 與 Kilian and Murphy (2014) 的基礎上，利用遞迴式向量自我迴歸 (Structural Vector Autoregression Model , 簡稱SVAR)的架構建立一套國際原油市場模型，以其捕捉國際油市主要三大衝擊 ─ 供給面衝擊 (oil supply shock)、總和需求面衝擊 (aggregate demand shock)、與投機性需求面衝擊 (speculative demand shock) 以及三大衝擊外油市的殘餘衝擊 (residual shocks) 對台灣主要產業指數的影響。\n\n實證結果發現，整體來說，航運、塑膠、紡織業指數對於國際原油市場衝擊有較大之反應，非原油概念股的產業指數中僅營建業亦是如此，而食品業則是唯一在所有衝擊中反應皆相對較小的產業。此外，供給面衝擊、總和需求面衝擊都符合理論與直覺分別對台灣主要產業指數是為利空與利多因素，而投機性需求面衝擊則在當期使報酬率減少，但在爾後增加。三項主要衝擊之外，殘餘的衝擊儘管非主要國際原油市場衝擊，然而其對台灣主要產業股市之正面影響反而最為明顯。\n\n最後，經比對其他文獻如 ElFayoumi (2018) 實際廠商營業行為的實證結果，會發現本文產業指數報酬率的反應結果並非無脈絡可循。 | 參考文獻: | 官德星 (2020)。What Does the Negative Price Mean? 取自國立台北大學經濟學系，副教授官德星個人網頁https://web.ntpu.edu.tw/~guan/。\n\n郭維裕、李淯靖、陳致綱、林建秀 (2015)。台灣產業指數的外溢效果。《經濟論文叢刊》，43(4)，407–442。\n\n陳旭昇 (2013)。《時間序列分析：總體經濟與財務金融之應用》。臺北市：東華書局, 2版。\n\n黃裕烈、管中閔 (2014)。《向量自我迴歸模型：計量方法與R程式》。臺北市：雙葉書廊。\n\nAmisano, G. and Carlo Giannini, C. 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資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0108258012 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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