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Title: 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
Authors: 黃竑翰
Huang, Hung-Han
Contributors: 方中柔
Fang, Chung-Rou
Huang, Hung-Han
Keywords: 國際原油市場衝擊
Date: 2021
Issue Date: 2021-09-02 17:42:16 (UTC+8)
Abstract: 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。

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。


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。
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