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題名 石油價格與匯率的動態調整
Dynamic Adjustments of Oil Prices and Exchange Rates
作者 王雅玲
Wang, Ya-Ling
貢獻者 賴景昌
Lai, Ching-Chong
王雅玲
Wang, Ya-Ling
關鍵詞 匯率
石油
碳稅
動態調整
資產替代性
Exchange Rate
Oil
Carbon Tax
Dynamic Adjustment
Asset Substitutability
日期 2025
上傳時間 4-Aug-2025 12:50:22 (UTC+8)
摘要 本研究建構一個以 Dornbusch（1976）匯率動態調整模型為基礎，結合Frankel（1986）與 Lai、Hu and Fan（2005）納入農產品市場的擴充架構，應用於石油市場，並將石油視為兼具商品與資產屬性的前瞻性投資標的，以探討貨幣政策與碳稅政策宣告對石油價格與匯率動態調整的影響。結果顯示，恆常性擴張的貨幣政策即使尚未實施，僅宣告，民眾的預期行為即造成匯率單調貶值與石油價格持續上漲。相較之下，碳稅政策對石油價格的影響，則受到資產替代性與政策宣告至實施時間差的影響。當替代性較高時，市場快速反映對未來報酬下降的預期，石油價格呈現單調下跌；當替代性較低且政策實施時間離宣告時刻尚遠時，石油因相對穩定性及商品需求尚存吸引部分資金短暫流入，價格出現先漲後跌的「錯向調整」；若實施時點略近，則價格可能於宣告當下短暫跳升後迅速下跌，形成「錯向跳動」。僅當政策即將實施時，石油價格才回歸與高資產替代程度相同的單調下跌的路徑。相對而言，匯率對碳稅政策宣告的反應一致，無論資產替代性或政策時點為何，皆呈現單調貶值趨勢，反映市場對長期經濟前景惡化的預期。本文補足文獻中對石油資產特性之討論，並分析政策預期如何影響油價與匯率的調整動態。
This study builds on the Dornbusch (1976) exchange rate adjustment model, integrating extensions from Frankel (1986) and Lai, Hu, and Fan (2005) to include agricultural markets, and applies it to the oil market. Oil is treated as a forward-looking asset with both commodity and financial characteristics. The analysis explores how announcements of monetary and carbon tax policies affect the dynamic adjustment of oil prices and exchange rates.Results show that even before implementation, an announced permanent expansionary monetary policy can influence expectations, leading to capital reallocation, currency depreciation, and rising oil prices. In contrast, the effect of a carbon tax announcement on oil prices depends on asset substitutability and the time gap between announcement and implementation. With high substitutability, oil prices fall steadily after the announcement. With low substitutability and a longer interval before implementation, oil’s relative stability attracts temporary capital inflows, causing a short-term rise followed by a drop—termed “misadjustment.” If implementation is imminent, prices may briefly jump at the announcement and then quickly decline, showing a “misjump.” Only when the policy is about to take effect do oil prices follow a consistent downward path.In comparison, exchange rates respond uniformly to the carbon tax announcement, showing a steady depreciation regardless of substitutability or timing, reflecting expectations of a weaker economic outlook. This study contributes to the literature by highlighting the dual nature of oil and analyzing how policy expectations shape oil and exchange rate dynamics.
參考文獻 賴景昌(2007)。《國際金融理論:基礎篇》。台北市:華泰圖書有限公司 賴景昌(1994),《國際金融理論:進階篇》,台北市:茂昌圖書有限公司 Adams, Z., & Kartsakli, M. (2017). Has crude oil become a financial asset? Evidence from ten years of financialization (Working Paper No. 1710),University of St. Gallen, School of Finance. Aoki, M. (1985). Misadjustment to anticipated shocks: An example of exchange-rate response. Journal of International Money and Finance, 4(3), 415–420. Barsky, R. B., & Kilian, L. (2004). Oil and the macroeconomy since the 1970s. Journal of Economic Perspectives, 18(4), 115–134. Bodenstein, M., Erceg, C. J., & Guerrieri, L. (2011). Oil shocks and external adjustment. Journal of International Economics, 83, 168–184. Cheng, I.-H., & Xiong, W. (2014). The financialization of commodity markets. Annual Review of Financial Economics, 6(1), 419–441. Frankel, J. A. (1986). Expectations and commodity price dynamics: The overshooting model. American Journal of Agricultural Economics, 68(2), 344–348 Gaete, M., Herrera, R. (2023). Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. Journal of Commodity Markets,32,100363. Golub, S. S. (1983). Oil prices and exchange rates. The Economic Journal, 93(371), 576–593. Hamilton, J. D. (2009). Causes and consequences of the oil shock of 2007–08. FRB Atlanta CQER Working Paper No. 09-02. Kaufmann, R. (2009). Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices. Energy Economics , 31(4), 550–558. Krichene, N. (2006). World crude oil markets: Monetary policy and the recent oil shock.( IMF Working Paper No. 2006/062), International Monetary Fund. Lai, C. C., Hu, S. W., & Fan, C. P. (2005). The overshooting hypothesis of agricultural prices: The role of asset substitutability. Journal of Agricultural and Resource Economics, 30(1), 1–23. Macaluso, N., Tuladhar, S., Woollacott, J., McFarland, J. R., Creason, J., & Cole, J.(2018). The impact of carbon taxation and revenue recycling on U.S. industries.Climate Change Economic, 9(1), 1-41. Masters, M. W. (2008). Testimony of Michael W. Masters, Managing Member / Portfolio Manager, Masters Capital Management, LLC. Testimony before the U.S. Senate Committee on Homeland Security and Governmental Affairs. Rivers, N., & Schaufele, B. (2015). Salience of carbon taxes in the gasoline market. Journal of Environmental Economics and Management, 74, 23–36. Schubert, S. F. (2014). Dynamic effects of oil price shocks and their impact on the current account. Macroeconomic Dynamics, 18(2), 316–337. Schubert, S. F. , &Turnovsky, S. J. (2011). The impact of oil prices on an oil-importing developing economy. Journal of Development Economics, 94(1), 18–29. Yoshino, N., Taghizadeh-Hesary, F., Otsuka, M., & Nakahigashi, M. (2021). Economic impacts of carbon tax in a general equilibrium framework: Empirical study of Japan. Journal of Environmental Assessment Policy and Management, 23(1/2), 1–25.
描述 碩士
國立政治大學
經濟學系
112258014
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112258014
資料類型 thesis
dc.contributor.advisor 賴景昌zh_TW
dc.contributor.advisor Lai, Ching-Chongen_US
dc.contributor.author (Authors) 王雅玲zh_TW
dc.contributor.author (Authors) Wang, Ya-Lingen_US
dc.creator (作者) 王雅玲zh_TW
dc.creator (作者) Wang, Ya-Lingen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 12:50:22 (UTC+8)-
dc.date.available 4-Aug-2025 12:50:22 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 12:50:22 (UTC+8)-
dc.identifier (Other Identifiers) G0112258014en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158273-
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) 112258014zh_TW
dc.description.abstract (摘要) 本研究建構一個以 Dornbusch（1976）匯率動態調整模型為基礎，結合Frankel（1986）與 Lai、Hu and Fan（2005）納入農產品市場的擴充架構，應用於石油市場，並將石油視為兼具商品與資產屬性的前瞻性投資標的，以探討貨幣政策與碳稅政策宣告對石油價格與匯率動態調整的影響。結果顯示，恆常性擴張的貨幣政策即使尚未實施，僅宣告，民眾的預期行為即造成匯率單調貶值與石油價格持續上漲。相較之下，碳稅政策對石油價格的影響，則受到資產替代性與政策宣告至實施時間差的影響。當替代性較高時，市場快速反映對未來報酬下降的預期，石油價格呈現單調下跌；當替代性較低且政策實施時間離宣告時刻尚遠時，石油因相對穩定性及商品需求尚存吸引部分資金短暫流入，價格出現先漲後跌的「錯向調整」；若實施時點略近，則價格可能於宣告當下短暫跳升後迅速下跌，形成「錯向跳動」。僅當政策即將實施時，石油價格才回歸與高資產替代程度相同的單調下跌的路徑。相對而言，匯率對碳稅政策宣告的反應一致，無論資產替代性或政策時點為何，皆呈現單調貶值趨勢，反映市場對長期經濟前景惡化的預期。本文補足文獻中對石油資產特性之討論，並分析政策預期如何影響油價與匯率的調整動態。zh_TW
dc.description.abstract (摘要) This study builds on the Dornbusch (1976) exchange rate adjustment model, integrating extensions from Frankel (1986) and Lai, Hu, and Fan (2005) to include agricultural markets, and applies it to the oil market. Oil is treated as a forward-looking asset with both commodity and financial characteristics. The analysis explores how announcements of monetary and carbon tax policies affect the dynamic adjustment of oil prices and exchange rates.Results show that even before implementation, an announced permanent expansionary monetary policy can influence expectations, leading to capital reallocation, currency depreciation, and rising oil prices. In contrast, the effect of a carbon tax announcement on oil prices depends on asset substitutability and the time gap between announcement and implementation. With high substitutability, oil prices fall steadily after the announcement. With low substitutability and a longer interval before implementation, oil’s relative stability attracts temporary capital inflows, causing a short-term rise followed by a drop—termed “misadjustment.” If implementation is imminent, prices may briefly jump at the announcement and then quickly decline, showing a “misjump.” Only when the policy is about to take effect do oil prices follow a consistent downward path.In comparison, exchange rates respond uniformly to the carbon tax announcement, showing a steady depreciation regardless of substitutability or timing, reflecting expectations of a weaker economic outlook. This study contributes to the literature by highlighting the dual nature of oil and analyzing how policy expectations shape oil and exchange rate dynamics.en_US
dc.description.tableofcontents 中文摘要 I 英文摘要 II 目錄 III 圖目錄 IV 第一章 緒論 1 第一節 研究動機與目的 1 第二節 文獻回顧 3 第三節 本文架構 4 第二章 理論模型 5 第一節 模型架構 5 第二節 長期均衡 8 第三節 動態分析 9 第三章 政策宣示效果 14 第一節 本國的恆常性貨幣擴張政策 14 第二節 本國的恆常性碳稅政策 19 第四章 結論 27 參考文獻 32zh_TW
dc.format.extent 871841 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112258014en_US
dc.subject (關鍵詞) 匯率zh_TW
dc.subject (關鍵詞) 石油zh_TW
dc.subject (關鍵詞) 碳稅zh_TW
dc.subject (關鍵詞) 動態調整zh_TW
dc.subject (關鍵詞) 資產替代性zh_TW
dc.subject (關鍵詞) Exchange Rateen_US
dc.subject (關鍵詞) Oilen_US
dc.subject (關鍵詞) Carbon Taxen_US
dc.subject (關鍵詞) Dynamic Adjustmenten_US
dc.subject (關鍵詞) Asset Substitutabilityen_US
dc.title (題名) 石油價格與匯率的動態調整zh_TW
dc.title (題名) Dynamic Adjustments of Oil Prices and Exchange Ratesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 賴景昌(2007)。《國際金融理論:基礎篇》。台北市:華泰圖書有限公司 賴景昌(1994),《國際金融理論:進階篇》,台北市:茂昌圖書有限公司 Adams, Z., & Kartsakli, M. (2017). Has crude oil become a financial asset? Evidence from ten years of financialization (Working Paper No. 1710),University of St. Gallen, School of Finance. Aoki, M. (1985). Misadjustment to anticipated shocks: An example of exchange-rate response. Journal of International Money and Finance, 4(3), 415–420. Barsky, R. B., & Kilian, L. (2004). Oil and the macroeconomy since the 1970s. Journal of Economic Perspectives, 18(4), 115–134. Bodenstein, M., Erceg, C. J., & Guerrieri, L. (2011). Oil shocks and external adjustment. Journal of International Economics, 83, 168–184. Cheng, I.-H., & Xiong, W. (2014). The financialization of commodity markets. Annual Review of Financial Economics, 6(1), 419–441. Frankel, J. A. (1986). Expectations and commodity price dynamics: The overshooting model. American Journal of Agricultural Economics, 68(2), 344–348 Gaete, M., Herrera, R. (2023). Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. Journal of Commodity Markets,32,100363. Golub, S. S. (1983). Oil prices and exchange rates. The Economic Journal, 93(371), 576–593. Hamilton, J. D. (2009). Causes and consequences of the oil shock of 2007–08. FRB Atlanta CQER Working Paper No. 09-02. Kaufmann, R. (2009). Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices. Energy Economics , 31(4), 550–558. Krichene, N. (2006). World crude oil markets: Monetary policy and the recent oil shock.( IMF Working Paper No. 2006/062), International Monetary Fund. Lai, C. C., Hu, S. W., & Fan, C. P. (2005). The overshooting hypothesis of agricultural prices: The role of asset substitutability. Journal of Agricultural and Resource Economics, 30(1), 1–23. Macaluso, N., Tuladhar, S., Woollacott, J., McFarland, J. R., Creason, J., & Cole, J.(2018). The impact of carbon taxation and revenue recycling on U.S. industries.Climate Change Economic, 9(1), 1-41. Masters, M. W. (2008). Testimony of Michael W. Masters, Managing Member / Portfolio Manager, Masters Capital Management, LLC. Testimony before the U.S. Senate Committee on Homeland Security and Governmental Affairs. Rivers, N., & Schaufele, B. (2015). Salience of carbon taxes in the gasoline market. Journal of Environmental Economics and Management, 74, 23–36. Schubert, S. F. (2014). Dynamic effects of oil price shocks and their impact on the current account. Macroeconomic Dynamics, 18(2), 316–337. Schubert, S. F. , &Turnovsky, S. J. (2011). The impact of oil prices on an oil-importing developing economy. Journal of Development Economics, 94(1), 18–29. Yoshino, N., Taghizadeh-Hesary, F., Otsuka, M., & Nakahigashi, M. (2021). Economic impacts of carbon tax in a general equilibrium framework: Empirical study of Japan. Journal of Environmental Assessment Policy and Management, 23(1/2), 1–25.zh_TW