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題名 跨市場金融指標影響航運金融之外溢效果-以中美貿易戰衝擊為例
Cross-market financial indicators for affecting the spillover effect of shipping finance: Case of Impact on the U.S.-China trade war作者 滕樹彤
Teng, Shu-Tung貢獻者 林靖<br>陳心蘋
Lin, Ching<br>Chen, Hsin-Ping
滕樹彤
Teng, Shu-Tung關鍵詞 外溢效果
GARCH-MIDAS
傳遞熵
波羅的海船運指數
石油
農產品
黃豆期貨
布蘭特原油
匯率市場
原物料市場
S&P鋼鐵指數
中美貿易戰
波動性
spillover effect
GARCH-MIDAS
transfer entropy
Baltic shipping index
agricultural products
soybean futures
Brent crude oil
exchange rate market
raw material market
S&P steel index
China-US trade war
volatility日期 2020 上傳時間 3-Aug-2020 18:12:51 (UTC+8) 摘要 本研究使用 GARCH-MIDAS 模型以及傳遞熵對 2008 年 1 月 11 日至 2020 年 4 月 30 日的數據集進行了檢驗，分析了波羅的海乾散貨指數對商品期貨、匯率、股票、原油市場的外溢效果，結果顯示出波羅的海乾散貨指數外溢效果隨期 間而有所變化。波羅的海乾散貨指數的外溢效果在全樣本時期影響不顯著，但我 們在 2018 年後發生的中美貿易戰中卻產生格外顯著的關係。我們可以推斷波羅 的海乾散貨指數在金融商品市場中為短期指標而非長期指標，特別是在對經濟有 重大衝擊的事件上。此外，航運市場與匯率、農產品、原油等市場之間有著顯著 的關聯，由於船運運載的商品包括原油、農產品等皆是與美元為計價方式，美元 升值可能會導致商品價格下跌，這種匯率市場與期貨市場之間的影響揭示了金融 傳導之間的聯繫。目前現有文獻中，有關於船運市場與金融商品市場之間的文章 少之又少，本研究旨在希望透過實證研究，為波羅的海乾散貨指數對匯率、農產 品和原油期貨等市場的外溢效果提供更有力的證據。為了檢測各市場中彼此造成的波動性強烈，本研究選擇以下八個資料變數:波羅的海乾散貨運價指數、美元 指數、標普高盛商品指數、黃豆期貨、布蘭特原油期貨、調整過後的道瓊全球航 運指數、S&P 鋼鐵指數、全球碳指數。我們運用這幾種變數的月波動率對日報酬 率進行回測，來觀察彼此之間是否有外溢效果的產生，本文采用 GARCH-MIDAS 模型來測量日月波動度的影響，可以為投資者在日後的經濟衝擊影響事件中提供 有用的資訊，並作出合適的決策。
This study uses the GARCH-MIDAS model and transfer entropy to test the data set from January 11, 2008 to April 30, 2020, and analyzes the spillover of the Baltic dry bulk index to commodity futures, exchange rates, stocks, and crude oil markets The results show that the spillover effect of the Baltic Dry Bulk Index varies with the period. The spillover effect of the Baltic Dry Index was not significant during the entire sample period, but we have had a particularly significant relationship in the China-US trade war that occurred after 2018. We can infer that the Baltic Dry Index is a short-term indicator rather than a long-term indicator in the financial commodity market, especially in events that have a major impact on the economy.At present, there are very few articles on the relationship between the shipping market and the financial commodity market in the existing literature. This research aims to provide stronger evidence on the spillover effect of the Baltic Dry Index on exchange rates, agricultural products and crude oil futures through an empirical study . In order to detect the strong volatility caused by each other in each market . We use the monthly volatility of these variables to back-test the daily rate of return to observe whether there is a spillover effect between each other. This article uses the GARCH-MIDAS model to measure the impact of daily and monthly volatility, which can provide investors useful information and make appropriate decisions during future economic shocks.參考文獻 一、 中文部分1. 林宏銘 (2010)，「美元、股票市場、債券市場及商品市場之互動關係研究」， 國立成功大學財務金融研究所碩士論文。2. 陳玉樹 (2011)，「原物料指數與股市、匯市之關聯性的研究」，國立政治大學金融研究所碩士論文。3. 張瀞之、劉錫謙 (2012)，「時間序列方法探討波羅的海綜合運價指數與運 輸類股之研究─以美國與臺灣為研究對象」，台灣銀行季刊，第六十一卷 第二期，頁 191∼207。二、 英文部分Adland, R., & Strandenes, S. P. (2007). A discrete-time stochastic partial equilibrium model of the spot freight market. 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國立政治大學
經濟學系
107258035資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107258035 資料類型 thesis dc.contributor.advisor 林靖<br>陳心蘋 zh_TW dc.contributor.advisor Lin, Ching<br>Chen, Hsin-Ping en_US dc.contributor.author (Authors) 滕樹彤 zh_TW dc.contributor.author (Authors) Teng, Shu-Tung en_US dc.creator (作者) 滕樹彤 zh_TW dc.creator (作者) Teng, Shu-Tung en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 18:12:51 (UTC+8) - dc.date.available 3-Aug-2020 18:12:51 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 18:12:51 (UTC+8) - dc.identifier (Other Identifiers) G0107258035 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131185 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 107258035 zh_TW dc.description.abstract (摘要) 本研究使用 GARCH-MIDAS 模型以及傳遞熵對 2008 年 1 月 11 日至 2020 年 4 月 30 日的數據集進行了檢驗，分析了波羅的海乾散貨指數對商品期貨、匯率、股票、原油市場的外溢效果，結果顯示出波羅的海乾散貨指數外溢效果隨期 間而有所變化。波羅的海乾散貨指數的外溢效果在全樣本時期影響不顯著，但我 們在 2018 年後發生的中美貿易戰中卻產生格外顯著的關係。我們可以推斷波羅 的海乾散貨指數在金融商品市場中為短期指標而非長期指標，特別是在對經濟有 重大衝擊的事件上。此外，航運市場與匯率、農產品、原油等市場之間有著顯著 的關聯，由於船運運載的商品包括原油、農產品等皆是與美元為計價方式，美元 升值可能會導致商品價格下跌，這種匯率市場與期貨市場之間的影響揭示了金融 傳導之間的聯繫。目前現有文獻中，有關於船運市場與金融商品市場之間的文章 少之又少，本研究旨在希望透過實證研究，為波羅的海乾散貨指數對匯率、農產 品和原油期貨等市場的外溢效果提供更有力的證據。為了檢測各市場中彼此造成的波動性強烈，本研究選擇以下八個資料變數:波羅的海乾散貨運價指數、美元 指數、標普高盛商品指數、黃豆期貨、布蘭特原油期貨、調整過後的道瓊全球航 運指數、S&P 鋼鐵指數、全球碳指數。我們運用這幾種變數的月波動率對日報酬 率進行回測，來觀察彼此之間是否有外溢效果的產生，本文采用 GARCH-MIDAS 模型來測量日月波動度的影響，可以為投資者在日後的經濟衝擊影響事件中提供 有用的資訊，並作出合適的決策。 zh_TW dc.description.abstract (摘要) This study uses the GARCH-MIDAS model and transfer entropy to test the data set from January 11, 2008 to April 30, 2020, and analyzes the spillover of the Baltic dry bulk index to commodity futures, exchange rates, stocks, and crude oil markets The results show that the spillover effect of the Baltic Dry Bulk Index varies with the period. The spillover effect of the Baltic Dry Index was not significant during the entire sample period, but we have had a particularly significant relationship in the China-US trade war that occurred after 2018. We can infer that the Baltic Dry Index is a short-term indicator rather than a long-term indicator in the financial commodity market, especially in events that have a major impact on the economy.At present, there are very few articles on the relationship between the shipping market and the financial commodity market in the existing literature. This research aims to provide stronger evidence on the spillover effect of the Baltic Dry Index on exchange rates, agricultural products and crude oil futures through an empirical study . In order to detect the strong volatility caused by each other in each market . We use the monthly volatility of these variables to back-test the daily rate of return to observe whether there is a spillover effect between each other. This article uses the GARCH-MIDAS model to measure the impact of daily and monthly volatility, which can provide investors useful information and make appropriate decisions during future economic shocks. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究架構 4第四節 研究限制 5第二章 文獻回顧 6第一節 航運金融文獻 6第二節 金融傳導文獻 11第三節 傳遞熵文獻 17第四節 GARCH-MIDAS文獻 21第三章 研究設計 25第一節 變數定義與衡量 25第二節 研究方法 32第三節 實證流程 37第四節 研究假說與模型設定 38第四章 實證結果 45第一節 資料描述 45第二節 敘述性統計與單根檢定 53第三節 傳遞熵實證結果 58第四節 GARCH-MIDAS實證結果 62第五章 結論 69第一節 研究成果 69第二節 經濟意涵與建議 71參考文獻 75 zh_TW dc.format.extent 3608242 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107258035 en_US dc.subject (關鍵詞) 外溢效果 zh_TW dc.subject (關鍵詞) GARCH-MIDAS zh_TW dc.subject (關鍵詞) 傳遞熵 zh_TW dc.subject (關鍵詞) 波羅的海船運指數 zh_TW dc.subject (關鍵詞) 石油 zh_TW dc.subject (關鍵詞) 農產品 zh_TW dc.subject (關鍵詞) 黃豆期貨 zh_TW dc.subject (關鍵詞) 布蘭特原油 zh_TW dc.subject (關鍵詞) 匯率市場 zh_TW dc.subject (關鍵詞) 原物料市場 zh_TW dc.subject (關鍵詞) S&P鋼鐵指數 zh_TW dc.subject (關鍵詞) 中美貿易戰 zh_TW dc.subject (關鍵詞) 波動性 zh_TW dc.subject (關鍵詞) spillover effect en_US dc.subject (關鍵詞) GARCH-MIDAS en_US dc.subject (關鍵詞) transfer entropy en_US dc.subject (關鍵詞) Baltic shipping index en_US dc.subject (關鍵詞) agricultural products en_US dc.subject (關鍵詞) soybean futures en_US dc.subject (關鍵詞) Brent crude oil en_US dc.subject (關鍵詞) exchange rate market en_US dc.subject (關鍵詞) raw material market en_US dc.subject (關鍵詞) S&P steel index en_US dc.subject (關鍵詞) China-US trade war en_US dc.subject (關鍵詞) volatility en_US dc.title (題名) 跨市場金融指標影響航運金融之外溢效果-以中美貿易戰衝擊為例 zh_TW dc.title (題名) Cross-market financial indicators for affecting the spillover effect of shipping finance: Case of Impact on the U.S.-China trade war en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、 中文部分1. 林宏銘 (2010)，「美元、股票市場、債券市場及商品市場之互動關係研究」， 國立成功大學財務金融研究所碩士論文。2. 陳玉樹 (2011)，「原物料指數與股市、匯市之關聯性的研究」，國立政治大學金融研究所碩士論文。3. 張瀞之、劉錫謙 (2012)，「時間序列方法探討波羅的海綜合運價指數與運 輸類股之研究─以美國與臺灣為研究對象」，台灣銀行季刊，第六十一卷 第二期，頁 191∼207。二、 英文部分Adland, R., & Strandenes, S. 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