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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/68528
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/68528


    Title: 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
    Authors: 徐正憲
    Contributors: 翁久幸
    徐正憲
    Keywords: 馬可夫轉換模型
    原油價格
    景氣循環
    Date: 2013
    Issue Date: 2014-08-12 14:01:51 (UTC+8)
    Abstract: 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。
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    Description: 碩士
    國立政治大學
    統計研究所
    101354016
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1013540162
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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