[[alternative]]原油價格與國內貨幣關係之非線性關係研究 : 以俄羅斯和美國為例

碩士[[abstract]]本研究欲探討在美國市場中WTI油價與美元指數間之非線性關係及在俄羅斯市場中URALS 油價與盧布對美元匯率間之非線性關係。本研究包含單根檢定(穩定性檢定)、非線性門檻檢定、共整合檢定、和因果關係檢定。實證結果與分析發現，油價與貨幣皆為定態。同時，油價與貨幣於兩個市場中，在長期下，皆有共整合關係。此外，此關係於美國市場中為對稱；而於俄羅斯市場，則有門檻不對稱之情形。最後，本研究發現油價於短期和長期，皆有領先美元之情形。[[abstract]]The research investigates non-linear relations of WTI oil price and US Dollar Index on the US market and URALS oil price and RUB/USD exchange rate on Russian market. The study includes unit root test (stationarity test), non-linear threshold cointegration test and Granger causality test. The empirical results and analysis suggest that oil prices and national currencies are all stationary. Also, oil price and currency are co-integrated in the long run on both markets. Apart from that, the relationship is symmetric on the US market and threshold asymmetric on Russian market. Finally, oil price leads US dollar in the short run and in the long run.[[tableofcontents]]Table of Contents ACKNOWLEDGEMENTS……………………………………………………….….I CHINESE ABSTRACT………………………………………………………….…..II ENGLISH ABSTRACT………………………………………………………….....III TABLE OF CONTENTS………………………………………………………...…IV LIST OF TABLES……………………………………………………………...…..VI LIST OF FIGURES………………………………………………………………..VII CHAPTER 1: INTRODUCTION………………………………………………................................1 1.1 General idea……………………………………………………………………..1 1.2 Background………………………………...…………………………………...3 1.3 Motivation………………………………………………………………………4 1.4 Purpose……………………………………………………………………….....6 CHAPTER 2: LITERATURE REVIEW………………………………………..….7 2.1.1 Oil: history and importance…………………………………………………...7 2.1.2 Gulf Cooperation Council…………………………………………………….9 2.1.3 The effect of oil price change on economy: transmission mechanisms……..10 2.1.4 OPEC………………………………………………………………………...10 2.1.5 OPEC''s Passive Aggressive Oil-Price Problem……………………………..11 2.1.6 “Why OPEC is talking oil down after price plunge; Analysis”……………..12 2.1.7 “The Links between the Price of Oil and the Value of US Dollar.” Yi Zhang, Suffolk University, Boston, USA……………………………………………….........14 2.2.1 Currency: history and importance……………………………………………16 2.2.2 “Common currency: adoption of euro” by Pomfret (2009)………………….16 2.2.3 “Why currency wars matter” by Baltora (2014)……………………………..18 2.2.4 “US set for safe-haven flows in 2012” by Albanese (2011)…………………19 2.2.5 Weak but more stable ruble preferable for Russian economy……………….20 2.2.6 Russian oil exporters ride out falling oil prices on tax reforms and ruble depreciation…………………………………………………………………………..21 2.2.7 “Ruble Exchange Rate and Oil Price. Does Russian Economy Shows Symptoms of Dutch Disease?” by Stanisław Gędek Rzeszow, University of Technology, Department of Economics………………………………………………………………….……...23 CHAPTER 3: METHODOLOGY……………………..…………………………..27 CHAPTER 4: EMPIRICAL RESULTS AND ANALYSIS…………….………..31 4.1 Data…………………………………………………………………………….31 4.2 Unit root tests…………………………………………………………………..34 4.2.1 ADF test………………………………………………………………….35 4.2.2 KPSS test…………………………………………………………………36 4.2.3 PP test…………………………………………………………………….37 4.2.4 KSS test…………………………………………………………………..38 4.3 Non-linear threshold co-integration test………………………………………..39 4.3.1 WTI oil price and US Dollar Index………………………………………40 4.3.2 URALS oil price and RUB/USD exchange rate…………………………42 4.4 Granger causality (TECM & M-TECM)……………………………………….44 CHAPTER 5: CONCLUSION……..………………………………………………49 REFERENCES……………………………………………………………………...52 LIST OF TABLES Table 4.1.1: Summary Statistics……………………………………………………...32 Table 4.2.1: ADF test (t-statistic)…………………………………………………….35 Table 4.2.2: KPSS test (LM statistic)………………………………………………..36 Table 4.2.3: PP test (t-statistic)………………………………………………………37 Table 4.2.4: KSS test (t-statistic)…………………………………………………….38 Table 4.3.1: Non-linear cointegration test: WTI oil price and US Dollar Index…….40 Table 4.3.2: Non-linear cointegration test: URALS oil and RUB/USD rate………...42 Table 4.4.1: Threshold Error Correction Model: WTI-USD………………………...45 Table 4.4.2: Threshold Error Correction Model: URALS-RUB…………………….47 LIST OF FIGURES Figure 2.1.1: Real WTI oil price (right axis) and real effective US dollar exchange rate (left) axis in logarithm…………………………………………………………...…..14 Figure 2.2.1: Brent oil price (USD/Barrel)…………………………………………..23 Figure 2.2.2: RUB/USD exchange rate……………………………………………...24 Figure 2.2.3: Brent oil price and RUB/USD exchange rate indexes in sub-periods...25 Figure 4.1.1: Time series of WTI oil price against USD index……………………...33 Figure 4.1.2: Time series of URALS oil price against RUB/USD exchange rate…...34[[note]]學號: 602531617, 學年度: 10