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博碩士論文 etd-0511114-003420 詳細資訊
Title page for etd-0511114-003420
論文名稱
Title
頁岩氣衝擊:天然氣與原油市場
The Impact of Shale Gas:Gas versus Oil Market
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
38
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2014-05-29
繳交日期
Date of Submission
2014-06-11
關鍵字
Keywords
天然氣、因果關係檢定、結構性檢定、共整合檢定、石油、頁岩氣
shale gas, gas, oil, Granger Test, Co-integration Test, Chow Test
統計
Statistics
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中文摘要
本文利用Johanson共整合檢定及Granger因果關係分析,美國原油、汽油和英美天然氣市場間的因果關係和長期效果。藉由共整合模型求出英美兩國的原油與天然氣均被某一共同因子所牽引且具有長期的共整合關係。在符合長期共整合之下,由誤差修正項模型,判斷四個變數之長期效果,及彼此之間的因果關係,可發現美國油氣市場依舊保持雙向之因果關係,美國天然氣單向影響英國原油市場,因此再加上Chow Test進一步探討,美國天然氣及英國原油之關係,是否發生結構性改變,研究顯示發生結構性改變,由於取用的資料取至2014年,而頁岩氣的技術創新所引發的產量大增,約從2008年開始大幅上揚,因此可以說明美國天然氣已逐漸保有其本身獨特性。這將對未來的能源輸出國─美國,在天然氣能源輸出的計價方式有極大改變。
Abstract
In this study, Johanson co-integration test and Granger causality analysis causality and long-term effects of U.S. crude oil, gasoline and natural gas between markets. With the integration models of the British and American obtained are crude oil and natural gas as a common factor in traction and has a long-term co-integration relationships. Under the integration of long-term, by the error correction term model to determine long-term effects of the four variables, and the impact of the effect of each other, can be found in the U.S. oil market remains a two-way causal relationship between the United States affect the way the British oil and gas market.Therefore plus Chow Test to further explore the relationship between the U.S. natural gas and crude oil in the United Kingdom, whether structural changes occur, studies have shown that structural changes occur, due to the access to data taken in 2014, while the shale gas production technique caused greatly increased sharply from about 2008 onwards, so that the United States can maintain its own natural gas has gradually uniqueness. This will be future energy exporter ─ the United States, the price of natural gas in the energy output of great change.
目次 Table of Contents
國立中山大學研究生學位論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
圖目錄 vi
表目錄 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與架構 5
第三節研究步驟 6
第二章 文獻回顧 7
第一節 天然氣與原油價格關聯性相關文獻探討 7
第二節 天然氣市場相關文獻回顧 8
第三章 研究方法與模型 10
第一節 單根檢定(Unit root test) 11
第二節自我回歸模型與向量誤差修正模型 12
第三節、共整合檢定(Co-integration Test) 13
第四節Granger因果關係檢定 15
第五節Chow Test 結構性改變檢定 16
第四章 實證結果分析 18
第一節資料來源與說明 18
第二節單根檢定結果 18
第三節共整合檢定分析 21
第三節 向量誤差修正模型 22
第五節因果關係檢定分析 23
第六節 Chow Test 結構性改變檢定結果 25
第五章結論與建議 26
第一節結論 26
第二節建議 27
參考文獻 28
參考文獻 References
中文部分
1. 伊原賢(2013),頁岩氣,臉譜出版
2. 楊亦農(2005),時間序列分析-經濟與財務上之應用,初版,台北市,雙葉書廊。
3. 鍾惠民、周賓鳳、孫而音(2009),財務計量E-views的應用,出版,台北市,新陸書局。
4. 張紂微 (2012)。全球頁岩氣發展現況與趨勢。油氣探勘開發及技術研發計畫管理辦公室。
5. 沈俊卿等 (2011)。頁岩氣開採潛能評估-北美地區。台灣中油股份有限公司探採研究所,100年度研究報告(F100-2005-2)。
6. 吳美慧,(2013),“成本降二成!中鋼緊盯頁岩氣”,商業週刊,1329期,頁108,2013,5月。

英文部分
1. u.s. Energey Information Administration (EIA) . “World Shale Gas Resource:An Initial Assessment of 14 Regions Outside the United States”,April 2011

2. Asche, F., Nilsen, O.B., Tveteras, R., (2008).“Natural gas demand in the European
household sector”. The Energy Journal, International Association for Energy
Economics 29 (3), 27–46.

3. Asche, F., Osmundsen, P., Tveter ˚as, R., (2001).” Market integration for natural gas inEurope”. International Journal of Global Energy Issues 16, 300–312.

4. Asche, F., Oglend A. , Osmundsen, P.(2012)”Gas versus oil prices the impact of shale gas.”Energy policy 47,117–124

5. Kao, C.-W., Wan, J.-Y., (2009). Information transmission and market interactions across The Atlantic - an empirical study on the natural gas market. Energy Economics 31, 152-161.

6. Kanamura,T,(2009). “A supply and demand based volatility model for energy prices.” Energy Economics, forthcoming.

7. Mazighi, AEH.,(2005)“Henry Hub and national balancing point prices: what will be the international gas price reference?” OPEC Review , 219-230.

8. Panagiotidis,T., Rutledge, E., (2007).“Oil and gas markets in the UK:evidence form a cointegrating approach.” Energy Economics 29, 329-347.

9. De Vany, A., Walls, W.D., (1993).“ Pipeline access and market integration in the naturalgas industry: evidence from cointegration tests.” Energy Journal. 14, 1–19.

10.De Vany, A., Walls, W.D., (1999).“ Cointegration analysis of spot electricity prices: insightson transmission efficiency in the western US.” Energy Economics. 21, 435–448.

12. Mazighi, AEH.,(2005)“ Henry Hub and national balancing point prices: what will be the international gas price reference?” OPEC Review , 219-230.

13. Johansen, S. (1988).“ Statistical analysis of cointegration vectors.” Journal of Economic Dynamics and Control, 12(2), 231-254.

14.Johansen, S., Juselius, K., (1990). “Maximum likelihood estimation and inference oncointegration — with applications to the demand for money.” Oxford Bulletin
of Economics and Statistics 52, 169–210.

15.Serletis,A.,Ricardo,R.R., (2004).“Testingfor common features in North American energy markets.” Energy Economics 26, 401-414.

16.Jonathan, S(2014)“International gas pricing in Europe and Asia: A crisis of fundamentals.”Energy Policy,64,43-48.

17.Geman,H.,(2005). “Commodities and commodity derivatives: modeling and pricing for agriculturals, metals and energy.” Wiley.

18.Bachmeier, L.J., Griffin, J.M.,( 2006). “Testing for market integration: crude oil, coaland natural gas.” Energy Journal 27 (2), 55–72.
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