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題名 馬可夫轉換模型在黃金現貨、石油價格 之實證研究
Markov switching model-An empirical in gold price and oil price作者 徐正憲 貢獻者 翁久幸
徐正憲關鍵詞 馬可夫轉換模型
原油價格
景氣循環日期 2013 上傳時間 12-Aug-2014 14:01:51 (UTC+8) 摘要 景氣循環一直是許多經濟學者企圖釐清的現象，長久以來各國採用各種貨幣與財政政策，試圖迴避景氣衰退，對於景氣循環轉折點的認定或預測並沒有單一解答，適逢近年來油價與金價一路飆漲，可能影響到景氣波動。因此本文探討杜拜原油價格是否與景氣波動有關，而國際黃金現貨成長率如何受到景氣波動影響，以Hamilton(1989)提出的馬可夫轉換模型，將兩資料區分為高與低成長狀態，對照國發會所公布的景氣收縮與擴張期間，發現原油價格在景氣收縮轉為擴張後會呈現高成長狀態，而黃金並無明顯現象，考慮到兩資料可能有結構改變情形，以Andrews(1993)提出的Quandt-Andrew結構改變檢定，找出結構改變轉折點，發現兩資料各有一個結構改變時點，相較於捕捉數個轉折點的馬可夫轉換模型，前者表現較為遜色，最後將資料以此結構改變時點分割並配飾分期馬可夫轉換模型，發現分期後的結果與一般的馬可夫轉換模型差異不大，而原油與黃金價格容易受到突發事件影響，故不適合用在認定景氣循環的轉折點。 參考文獻 Andrews, Donald W.K.(1993), “Tests for parameter instability and structural changewith unknown change points”, Econometrica, 61, pp.821-856.Chen S. W. and Lin J. L.(1999）, “Econometric Modeling Business Cycle in Taiwanwith Makov Switching Vector Autoregressions”, Working Paper, National ChengchiUniversityChen S. W. and Lin J. L.(2000a), “Modeling Business Cycles in Taiwan with TimeVaring Markov-Switching Models”, Academic Economic Papers, 28: 1, pp.17-24.Chen S. W. and Lin J. L.(2000b), “Identifying Turning Points And Business Cycles in Taiwan：Markov Switching Factor Model Approch” , Academic Economic Papers,28 : 3, pp.289-320.Clements, Michael P., and Hans-Martin Krolzig. "Can oil shocks explain asymmetries in the US Business Cycle?." Empirical Economics 27.2 (2002): 185-204.Fong, Wai Mun, and Kim Hock See. "A Markov switching model of the conditional volatility of crude oil futures prices." Energy Economics 24.1 (2002): 71-95.Goldfeld, S.M. and R.E. Quandt (1973), “A Markov model for switching regressions,”Journal of Econometrics, 1, pp.3-16.Goldfeld, Stephen M., and Richard E. Quandt. "A Markov model for switching regressions." Journal of econometrics 1.1 (1973): 3-15.Hamilton, J. D.(1988), “Rational Expectations Econometric Analysis of Changes inRegimes: An Investigation of The Term Structure of Interest Rates,” Journal ofEconomic Dynamics and Control, 12, pp.385-423.Hamilton, J.D.(1989), “A New Approach to The Economic Analysis of Nonstationary 50 Time Series and The Business Cycle,” Econometrica ,57, pp.357-84.Hamilton, J.D.(1990), “Analysis of the time series subject to change in regime,” Journal of Econometrics, 45, 39-70.Hamilton, J.D.(1994), Time series analysis (Princeton University Press, Princeton. NJ).Hamilton, J.D. and R. Susmel (1994), “Autoregressive conditional heteroscedasticity and changes in regime,” Journal of Econometrics, 64, 307-333.Hamilton, J.D.(1996),”This is what Happened to the oil price-macroeconomyrelationship”, Journal of Monetary Economics ,38, pp.215-220.Hamilton J. D.(1996),”Specification Testing in Markov Switching Time Series Models, Journal of Econometrics” , 70, pp.127-157.Hamilton J. D. and G.. Lin(1996), ”Stock Market Volatility and The Business Cycle”,Journal of Applied, 11, pp.573-593.Huang Chao-His(1999),”Phases and Characteristics of Taiwan Business Cycles: AMarkov Switching Analysis”, Taiwan Economic Review,27,185-214.Kim, Hyune-Ju, and David Siegmund. "The likelihood ratio test for a change-point in simple linear regression." Biometrika 76.3 (1989): 409-423.Kim, Chang-Jin, and Charles R. Nelson. "Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching." Review of Economics and Statistics 80.2 (1998): 188-201.Kim, Chang-Jin, and Charles R. Nelson. ”State-Space Models with Regime Switching”(1999)Quandt, Richard E. "The estimation of the parameters of a linear regression system obeying two separate regimes." Journal of the american statistical association 53.284 (1958): 873-880.Quandt, Richard E. "Tests of the hypothesis that a linear regression system obeys two separate regimes." Journal of the American statistical Association55.290 (1960): 324-330.Raymond, Jennie E., and Robert W. Rich. "Oil and the Macroeconomy: A Markov State-Switching Approach." Journal of Money, Credit & Banking (Ohio State University Press) 29.2 (1997).Yao, Yi-Ching. "Estimating the number of change-points via Schwarz` criterion."Statistics & Probability Letters 6.3 (1988): 181-189.Yoon, Jae Ho, and Jae Ho. "Oil and the G7 business cycle: Friedman’s Plucking Markov Switching Approach." Econometric Society 2004 Far Eastern Meetings. 2004.林向愷、黃裕烈、管中閔（1998），「景氣循環轉折點認定與經濟成長率預測」，經濟論文叢刊，26，431-457。林向愷、黃朝熙（1993），「台灣同時與領先指標的估計與認定：1968 ~ 1991」，經濟論文叢刊，21，123-159。徐士勛、管中閔（2000），「九零年代台灣的景氣循環：馬可夫狀態轉換模型與紀卜斯抽樣法的應用」，人文及社會科學集刊，13，515-540。陳仕偉、沈中華（2003），「台灣景氣循環持續依存特性之探討」，經濟研究所台灣經濟預測與政策期刊（TSSCI），34(1)，63-92。陳仕偉（2005），「台灣景氣波動不對稱性特色之檢定」，中央研究經濟研究所，台灣預測與政策，36(1)，81-102。陳仕偉（2005），「景氣波動變異對景氣轉折點認定上影響：跨國的實證研究」，人文及社會科學集刊， 18 (1)， 37-76。黃裕烈（1996），「Markov Switching Model：台灣實質 GNP 的應用」，台大經濟系碩士論文。蔡兆龍（2002），「如何準確地認定台灣景氣循環轉折點-馬可夫轉換模型的應用」，東海大學經濟學系碩士碩士論文。饒秀華、林修葳、黎明淵（2001），「藉由分期MS 模型分析臺灣經濟景氣狀態」，經濟論文，29(3)，297-319。 描述 碩士
國立政治大學
統計研究所
101354016
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G1013540162 資料類型 thesis dc.contributor.advisor 翁久幸 zh_TW dc.contributor.author (Authors) 徐正憲 zh_TW dc.creator (作者) 徐正憲 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 12-Aug-2014 14:01:51 (UTC+8) - dc.date.available 12-Aug-2014 14:01:51 (UTC+8) - dc.date.issued (上傳時間) 12-Aug-2014 14:01:51 (UTC+8) - dc.identifier (Other Identifiers) G1013540162 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/68528 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 統計研究所 zh_TW dc.description (描述) 101354016 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 景氣循環一直是許多經濟學者企圖釐清的現象，長久以來各國採用各種貨幣與財政政策，試圖迴避景氣衰退，對於景氣循環轉折點的認定或預測並沒有單一解答，適逢近年來油價與金價一路飆漲，可能影響到景氣波動。因此本文探討杜拜原油價格是否與景氣波動有關，而國際黃金現貨成長率如何受到景氣波動影響，以Hamilton(1989)提出的馬可夫轉換模型，將兩資料區分為高與低成長狀態，對照國發會所公布的景氣收縮與擴張期間，發現原油價格在景氣收縮轉為擴張後會呈現高成長狀態，而黃金並無明顯現象，考慮到兩資料可能有結構改變情形，以Andrews(1993)提出的Quandt-Andrew結構改變檢定，找出結構改變轉折點，發現兩資料各有一個結構改變時點，相較於捕捉數個轉折點的馬可夫轉換模型，前者表現較為遜色，最後將資料以此結構改變時點分割並配飾分期馬可夫轉換模型，發現分期後的結果與一般的馬可夫轉換模型差異不大，而原油與黃金價格容易受到突發事件影響，故不適合用在認定景氣循環的轉折點。 zh_TW dc.description.tableofcontents 摘要………………………………………………………………….……….…i目錄………………………………………………………………………….…ii圖目錄………………………………………………………………...……….iii表目錄………………………………………………………………...……….iv第一章 緒論…………………………………………………………..……….1第二章 文獻回顧……………………………………………………………...2第三章 研究方法……………………………………………………………...3第一節 狀態轉換模型……………………………………………………3第二節馬可夫鏈………………………………………………………..…3第三節 馬可夫轉換模型…………………………………………………4第四節 結構改變時點檢定……………………………………..………12第四章 實證分析…………………………………………………….………15第一節 資料來源與處理………………………………………………..15第二節 馬可夫轉換模型………………………………………………..18第三節 分期馬可夫轉換模型…………………………………………..23第五章 結論與建議…………………………………………………….........29第一節 結論………………..……………………………………………29第二節 未來研究方向與建議……………………………………….….30參考文獻……………………………………………………………………...31 zh_TW dc.format.extent 826327 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1013540162 en_US dc.subject (關鍵詞) 馬可夫轉換模型 zh_TW dc.subject (關鍵詞) 原油價格 zh_TW dc.subject (關鍵詞) 景氣循環 zh_TW dc.title (題名) 馬可夫轉換模型在黃金現貨、石油價格 之實證研究 zh_TW dc.title (題名) Markov switching model-An empirical in gold price and oil price en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Andrews, Donald W.K.(1993), “Tests for parameter instability and structural changewith unknown change points”, Econometrica, 61, pp.821-856.Chen S. W. and Lin J. L.(1999）, “Econometric Modeling Business Cycle in Taiwanwith Makov Switching Vector Autoregressions”, Working Paper, National ChengchiUniversityChen S. W. and Lin J. L.(2000a), “Modeling Business Cycles in Taiwan with TimeVaring Markov-Switching Models”, Academic Economic Papers, 28: 1, pp.17-24.Chen S. W. and Lin J. L.(2000b), “Identifying Turning Points And Business Cycles in Taiwan：Markov Switching Factor Model Approch” , Academic Economic Papers,28 : 3, pp.289-320.Clements, Michael P., and Hans-Martin Krolzig. "Can oil shocks explain asymmetries in the US Business Cycle?." Empirical Economics 27.2 (2002): 185-204.Fong, Wai Mun, and Kim Hock See. "A Markov switching model of the conditional volatility of crude oil futures prices." Energy Economics 24.1 (2002): 71-95.Goldfeld, S.M. and R.E. Quandt (1973), “A Markov model for switching regressions,”Journal of Econometrics, 1, pp.3-16.Goldfeld, Stephen M., and Richard E. Quandt. "A Markov model for switching regressions." Journal of econometrics 1.1 (1973): 3-15.Hamilton, J. D.(1988), “Rational Expectations Econometric Analysis of Changes inRegimes: An Investigation of The Term Structure of Interest Rates,” Journal ofEconomic Dynamics and Control, 12, pp.385-423.Hamilton, J.D.(1989), “A New Approach to The Economic Analysis of Nonstationary 50 Time Series and The Business Cycle,” Econometrica ,57, pp.357-84.Hamilton, J.D.(1990), “Analysis of the time series subject to change in regime,” Journal of Econometrics, 45, 39-70.Hamilton, J.D.(1994), Time series analysis (Princeton University Press, Princeton. NJ).Hamilton, J.D. and R. Susmel (1994), “Autoregressive conditional heteroscedasticity and changes in regime,” Journal of Econometrics, 64, 307-333.Hamilton, J.D.(1996),”This is what Happened to the oil price-macroeconomyrelationship”, Journal of Monetary Economics ,38, pp.215-220.Hamilton J. D.(1996),”Specification Testing in Markov Switching Time Series Models, Journal of Econometrics” , 70, pp.127-157.Hamilton J. D. and G.. Lin(1996), ”Stock Market Volatility and The Business Cycle”,Journal of Applied, 11, pp.573-593.Huang Chao-His(1999),”Phases and Characteristics of Taiwan Business Cycles: AMarkov Switching Analysis”, Taiwan Economic Review,27,185-214.Kim, Hyune-Ju, and David Siegmund. "The likelihood ratio test for a change-point in simple linear regression." Biometrika 76.3 (1989): 409-423.Kim, Chang-Jin, and Charles R. Nelson. "Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching." Review of Economics and Statistics 80.2 (1998): 188-201.Kim, Chang-Jin, and Charles R. Nelson. ”State-Space Models with Regime Switching”(1999)Quandt, Richard E. "The estimation of the parameters of a linear regression system obeying two separate regimes." Journal of the american statistical association 53.284 (1958): 873-880.Quandt, Richard E. "Tests of the hypothesis that a linear regression system obeys two separate regimes." Journal of the American statistical Association55.290 (1960): 324-330.Raymond, Jennie E., and Robert W. Rich. "Oil and the Macroeconomy: A Markov State-Switching Approach." Journal of Money, Credit & Banking (Ohio State University Press) 29.2 (1997).Yao, Yi-Ching. "Estimating the number of change-points via Schwarz` criterion."Statistics & Probability Letters 6.3 (1988): 181-189.Yoon, Jae Ho, and Jae Ho. "Oil and the G7 business cycle: Friedman’s Plucking Markov Switching Approach." Econometric Society 2004 Far Eastern Meetings. 2004.林向愷、黃裕烈、管中閔（1998），「景氣循環轉折點認定與經濟成長率預測」，經濟論文叢刊，26，431-457。林向愷、黃朝熙（1993），「台灣同時與領先指標的估計與認定：1968 ~ 1991」，經濟論文叢刊，21，123-159。徐士勛、管中閔（2000），「九零年代台灣的景氣循環：馬可夫狀態轉換模型與紀卜斯抽樣法的應用」，人文及社會科學集刊，13，515-540。陳仕偉、沈中華（2003），「台灣景氣循環持續依存特性之探討」，經濟研究所台灣經濟預測與政策期刊（TSSCI），34(1)，63-92。陳仕偉（2005），「台灣景氣波動不對稱性特色之檢定」，中央研究經濟研究所，台灣預測與政策，36(1)，81-102。陳仕偉（2005），「景氣波動變異對景氣轉折點認定上影響：跨國的實證研究」，人文及社會科學集刊， 18 (1)， 37-76。黃裕烈（1996），「Markov Switching Model：台灣實質 GNP 的應用」，台大經濟系碩士論文。蔡兆龍（2002），「如何準確地認定台灣景氣循環轉折點-馬可夫轉換模型的應用」，東海大學經濟學系碩士碩士論文。饒秀華、林修葳、黎明淵（2001），「藉由分期MS 模型分析臺灣經濟景氣狀態」，經濟論文，29(3)，297-319。 zh_TW
