English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94435/124943 (76%)
Visitors : 29694352      Online Users : 361
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/50855
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/50855


    Title: 原物料指數與總經物價指數關聯性分析
    The analysis of the relationship between commodity price index and macroeconomic price indexes
    Authors: 謝濱宇
    Contributors: 張興華
    謝濱宇
    Keywords: 原物料價格
    向量自我迴歸
    向量誤差修正模型
    Granger因果分析
    衝擊反應分析
    Commodity Price
    VAR
    VECM
    Granger Causality Test
    Impulse Response Analysis
    Date: 2010
    Issue Date: 2011-09-29 16:50:41 (UTC+8)
    Abstract: 本篇主要為原物料指數與總體經濟物價間動態關聯性的研究。由於近年來糧食價格高漲,本研究選取CRB現貨指數(Commodity Research Bureau)、CCI期貨指數(Continuous Commodity Index),與CRB農產品指數為原物料指數以觀察原物料價格對總體面物價影響的程度;研究期間為2001年10月至2011年3月;總經物價指標選擇生產者物價指數(PPI)、消費者物價指數(CPI)、再加上國內生產毛額(GDP);選取的國家為美國、臺灣與中國。本研究以Johansen共整合、向量自我迴歸模型、向量誤差修正模型、Granger因果關係檢定及衝擊反應分析等方法,探討三項原物料指數與總體經濟指標的互動關係。

    研究結果顯示,原物料指數與總體指標之間的長期均衡關係不明顯。因果檢定顯示,CCI指數在因果檢定上領先CRB指數與CRB農產品指數;除了美國的GDP之外,CCI指數也領先各項總體經濟指標,但不論是CRB現貨指數或CRB農產品指數,對總經物價指標的領先-落後關係都不明顯,表示在CCI指數為較佳的預測指標。由衝擊反應分析的結果顯示,除了有共整合關係的變數間相互影響為長期性之外,受影響的物價指標僅在短期內會受到原物料價格變動的影響:總體物價指標面對原物料價格波動的反應約3期之後反應便逐漸消失,顯示原物料價格與總體物價指數之間的短期失衡期間並不長。
    This paper investigates the relationship between the commodity indexes and macroeconomic price indexes. Due to the sharp increase of food price in recent years, we add CRB index (Commodity Research Bureau), CCI index (Continuous Commodity Index), and CRB foodstuffs index in the research to see the magnitude of commodity price indexes to macroeconomic price indexes. This paper selects United State, Taiwan and China as samples and manages to find out the relationship of commodity indexes and macroeconomic price indexes by applying monthly data from October 2001 to March 2011. Macroeconomic price indexes are PPI (Producer Price Index), CPI( Consumer Price Index) and plus GDP Index. This paper tries to get the answer by applying Johansen Cointegration Test, Vector Autoregression Model(VAR), Vector Error Correction Model (VECM), Granger causality test and Impulse Response Analysis.

    The result does not show obvious long-term relationship between commodity price indexes and macroeconomic price indexes; and Granger causality test exhibits that CCI index takes the lead in the change of time. But we do not get consistent result between CRB index, CRB foodstuffs index and macroeconomic price indexes in Granger causality test which means commodity spot indexes do not necessarily lead in the change of time. This result implies that CCI index a better indicator in forecasting. According to Impulse Response Analysis, macroeconomic price indexes are influenced by commodity index only in a short period of time and this result tells us that the disequilibrium between commodity indexes and macroeconomic price indexes will not last long.
    Reference: 國內文獻部分
    1.王天賜(2004),「原油價格, 台灣股價指數與總體經濟的關聯性」,國立東華大學國際經濟系碩士論文。
    2.王家美(2009),「國際原油價格與總體經濟之間的關聯性」,逢甲大學財務金融研究所碩士論文。
    3.林建智 (2006),「原油價格與股價關係之探討-以美國及台灣為例」, 世新大學管理學院財務金融學系碩士論文。
    4.陳旭昇(2007),「時間序列分析—總體經濟與財務金融之應用」,東華書局。
    5.陳虹均、郭炳伸、林信助 (2011),「能源價格衝擊與台灣總體經濟」,台灣經濟預測與政策。
    6.郭宗憲(2008),「世界主要原物料價格指數與台灣消費者物價指數的關聯性」,國立交通大學經營管理研究所碩士論文。
    7.張懿芬(2004),「股價波動的總體因素—以台灣、南韓、新加坡及香港為例」,南華大學經濟研究所碩士論文。
    8.彭明輝(2011),「糧食危機關鍵報告—台灣觀察」,商周出版
    9.楊奕農(2009),「時間序列分析─經濟與財務上之應用」第二版,雙葉書廊。
    10.廖俊男(2006),「Reuters/Jefferies CRB 期貨指數之探討」,國際金融參考資料,第52輯,頁12-26。
    11.趙翊伶(2010),「CRB商品指數與高息或幣匯率之關係」,國立中正大學財務金融研究所碩士論文。
    12.鄧傑明(2006),「澳洲的匯率和原物料價格變動之間的關係」,臺灣大學國際企業研究所碩士論文。
    13. 蔡睿宇(2008),「CRB商品指數與股價指數、匯率及油價關聯性之研究」,淡江大學管理科學研究所碩士論文。
    14. 謝鎮州(2006),「股票、黃金與原油價格互動關係之研究—以臺灣為例」,逢甲大學經濟研究所碩士論文。
    國外文獻部分
    1.Barnhart, S.,1989.“The Effects of Macroeconomic Announcements on Commodity Prices.”American Journal of Agricultural Economics, May,pp. 389–403
    2.Bruckner, M. and A.Ciccone (2010),“International Commodity Price Shocks, Growth and the Outbreak of Civil War in Sub-Saharan Africa”, The Economic Journal,Vol.120,pp519-534.
    3.Cooper, R.N. and R.Z. Lawrence, (1975),“The 1972-75 Commodity Boom,” Bookings Papers on Economic Activities, Vol.3, pp.671-723.
    4.Dicky,D. and W. Fuller(1979),“Distribution of the Estimation for Autoregressive Tine Series with a Unit Root.”Journal of the American Statistical Association, Vol.74,No.(366),pp.427-431
    5.Dieter,H., H.Huang, and A.Niessen(2007),“How Do Commodity Futures Respond to Macroeconomic News?”Financial Markets and Portfolio Management, Vol.22, No2, pp 127-146,
    6. Engle,R. and C.Granger(1987),“Cointegration and Error Correction:Representation,Estimation and Testing.”Econometrica,Vol55, No2.pp.251-276
    7.Frankel, J.A.,(1986),“ Expectations and Commodity Price Dynamics, the Overshooting Model.”American Journal of Agricultural Economics ,May, pp. 344–348
    8.Ghosh,J.(2010),“The Unnatural Coupling: Food and Global Finance” J.Agrarian Change, Vol 10 No.1 pp.72-86
    9. Gisser,M.,and T.H. Goodwin (1986),“Crude oil and the macroeconomy: "Tests of some popular notions” Journal of Money,Credit and Banking, Vol.18, No1, pp.95-103.
    10. Granger, C. (1969),“Investigation Causal Relations by Econometric Model and Cross Spectral Methods.”Econometrica,Vol.37, pp.424-438
    11. Granger, C. and P. Newbold (1974),“ Spurious regressions in Econometrics.”Journal of Econometrics, Vol2.No2, pp.111-120
    12. Hess, D. ,H.Huang and A Niessen (2008), How Do Commodity Futures Respond to Macroeconomic News?” Financial Markets and Portfolio Management, Vo.22, No.2,pp.127-146
    13.Huang, Chao-His (1989),“Post-war Taiwan Business Cycle:Evidence from International factor.”Taiwan Economic Review, Vol.17:1, 1-19
    14.Hamilton, J.D.(1983),"Oil and the Macroeconomy since World War II," Journal of Political Economy, Vol.91, No.2, pp.228-248.
    15. Hamilton, J.D.(1996),"This is What Happened to the Oil Price Macroeconomy Relationship, " Journal of Monetary Economics, vol.38, No2, pp.215-220.
    16. Hamilton, J.D. (2003),"What Is an Oil Shock?" Journal of Econometrics Vol.113,No7,pp 363-398.
    17. Hooker,and A. Mark (1996), “What happened to the oil
    price-macroeconomy relationship?” Journal of Monetary Economics Vol.38,pp.195-213,221-222
    18. Hua,P.(1998),“On Primary Commodity Prices: The Impact of Macroeconomic/Monetary Shocks”Journal of Policy Modeling, Vol.20,pp.767-790
    19. Johansen, S.(1988),“Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control,Vol.17 No.3,pp.359-373
    20.Johansen,S. and K.Juselius (1990),“Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics,Vol.52,pp.169-210.
    21. Kilian,L.,(2008),“Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? ”The Review of Economics and Statistics, MIT Press,Vol.90, No.2,p p.216-240
    22. Lown, C.J.,and R.W. Asplund“ The CRB Commodity Yearbook 2009”
    23. Mork, K.(1989),“Oil and the macroeconomy when prices go up and of Hamilton’s results”,Journal of Political Economy, Vol.97, pp.740-744.
    24. Mork,K.A.,O.Olsen,and H.T.Mysen (1994),“Macroeconomic
    Responses to Oil Price Increases and Decreases in Seven OECD
    Countries”, Energy Journal, Vol15, No.4, pp.19-36
    25. Newey, W. and D West (1987), “A Simple Positive Semi-define, Heteroskedastic and Autocorrelation Consistent Covariance Matrix.” Econometrica Vol.55,No.3 pp.703-708.
    26. Newey, W. and D West (1994), “Automatic Lag Selection in Covariance Matrix Estimation.” Review of Economic Studies,Vol.61, No.4 pp.631-653
    27. Perron, P. (1989),“The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Econometrica Vol.57, No.6 pp.1361-1401.
    28. Phillips,P. and P.Perron(1988),“Testing for A Unit Root in Time Series regression.” Biometrika,Vol.75, No2, 335-346
    29.Said,E. and D. Dickey(1984), “Macroeconomics and Reality.” Econometrica, Vol.48 pp.11-48
    30.Sardorsky,P.(1999), “Oil Price Shocks and Stock Market Activity.” Energy Economics, Vol.21, NO.5 pp.449-469
    31.Westhoff, P.(2011)“The Economics of Food: How Feeding and Fueling the Planet Affect” FT Press, March 2010, ISBN: 0-13-700610-1
    Description: 碩士
    國立政治大學
    金融研究所
    98352004
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0983520041
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML142View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback