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博碩士論文 etd-0823109-095212 詳細資訊
Title page for etd-0823109-095212
論文名稱
Title
石油價格與產出之分析-以台灣為例
The Analysis of Oil Price and Output – The Case of Taiwan
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
64
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
2009-08-21
繳交日期
Date of Submission
2009-08-23
關鍵字
Keywords
貨幣政策、結構向量自我迴歸模型、油價衝擊
structure VAR, oil price shock, monetary policy
統計
Statistics
本論文已被瀏覽 5639 次,被下載 41
The thesis/dissertation has been browsed 5639 times, has been downloaded 41 times.
中文摘要
本研究主要目的是探討油價的外生變動是否會對小型開放經濟體系及金融變數產生顯著影響,並根據實證結果討論貨幣政策扮演的角色及其政策意義。嘗試以結構向量自我迴歸模型將央行貨幣政策操作因素納入考量,並探討同為小型開放經濟體系的韓國在面對石油價格衝擊是否與本國有不同或類似之處,藉此比較兩國政策執行的差異性及效果。
本文的實証分析發現,石油價格衝擊是直接造成產出下降的主要因素,而貨幣政策衝擊對產出影響效果則不明顯,此與Kim and Roubini (2000)的研究結果相呼應。此外,Bernanke et al. (1997)分析央行面對油價上升會提高利率因應,本文的實證結果發現:(1)兩國政策執行皆會受油價顯著影響,油價上升導致央行施行緊縮性貨幣政策,(2) 代表央行政策變動的重貼現率衝擊,其對實質產出的影響相當有限,(3)發現中央銀行貨幣政策對抑制物價上漲效果較小。
Abstract
The primary purpose of this study is to explore whether changes in oil price are exogenous for small open economy and the significance of the financial variables in accordance with empirical results to discuss the role of monetary policies and implications. Considering the factors of monetary policy of the central banks with respect to the SVAR model, that tries to determine whether oil price shocks have disparaged effects on two small market economies, Taiwan and Korea, and trying to compare the difference and effects of their respective policies.
In this paper, the empirical analysis, we found that the oil price shocks is a direct result of a major factor in decline in output, and while the impact of monetary policy effects on output is vague that coincide with Kim and Roubini (2000). In addition, Bernanke et al. (1997) analysis of the central bank encounter with the rise in oil prices in response to raise interest rates, the empirical results in this article: (1) policy implementation between the two countries have a significant impact on oil prices will be affected by the increase in oil prices which led to the implementation of central bank tightening of monetary policy , (2) central bank policy changes on behalf of the discount rate shocks, their impact on the real impact of the output is limited, (3) found that the central bank monetary policy to curb the effect of smaller price increases.
目次 Table of Contents
第一章 緒論 - 1 -
第一節 研究動機與目的 - 1 -
第二節 研究架構 - 2 -
第二章 文獻回顧 - 3 -
第一節 油價變化與總體經濟相關文獻 - 3 -
第二節 油價與貨幣政策文獻 - 7 -
第三章 研究方法 - 11 -
第一節 單根與隨機趨勢 - 11 -
第二節 理論模型 - 14 -
第四章 實證研究 - 24 -
第一節 結構向量自我迴歸模型 - 24 -
第二節 單根檢定 - 27 -
第三節 實證分析 - 28 -
第四節 變異數分解 - 46 -
第五章 結論 - 51 -
第一節 結論 - 51 -
參考文獻 - 53 -
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