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題名：石油價格與匯率間動態關係之研究-非對稱調整共整合方法之應用
作者：張育芳
作者(外文)：Yu-Fang Chang
校院名稱：國立中興大學
系所名稱：應用經濟學系所
指導教授：陳吉仲
廖述誼
學位類別：博士
出版日期：2018
主題關鍵詞：實質匯率；實質油價；非對稱向量誤差修正模型；向量誤差修正模型；向量自我迴歸模型；Granger因果檢定；real exchange rates；real oil price；asymmetric vector error correction model；vector error correction model；vector autoregression model；Granger causality test
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This dissertation uses 92 countries worldwide, including 32 oil exporting countries and 60 oil importing countries, from January 1990 to July 2016(the full interval data), and uses time series methods to examine the dynamic relationship between the real exchange rates and the real oil price in these countries. Since many previous studies have found that the adjustment process of the real exchange rates is a non-linear asymmetric process (Mohammadi & Jahan-Parvar, 2012; Ahmad & Hernandez, 2013). Therefore; this study uses the asymmetric adjustment cointegration methods of Enders & Siklos (2001, ES) to verify whether there is a dynamic relationship between the real exchange rates and the real oil price.
In order to consider whether the research results of the full interval data which is due to structural changes have a gap with the theoretical expected results, this study identifies the structural changes in oil export capacity (OEC) of the oil exporting countries and oil import risk (OIR) of the oil importing countries. All the data is divided into two periods including before and after the structural changes, and then the long-term and short-term causality between the oil price and the exchange rates are re-examined within these two periods. Then, the results of the two periods are compared with the previous full interval data’s results which structural changes were not considered. In addition, this study also takes the exchange rate system of each country, whether the country is an oil importing country or an oil exporting country, whether the oil exporting country is an OPEC member country, and the oil import risk of oil importing countries and the oil exporting capacity of oil exporting countries during the two periods and the full range into consideration.
Based on the empirical results of this study, the contributions of this dissertation are summarized as follows: (1) The relationship between oil price and exchange rates is discussed by both linear and nonlinear methods in the literatures. The results of this study show that linear methods can be used. (2) As for the causal relationship between oil price and exchange rates, it is short-term rather than long-term, and the direction of influence is negative. (3) As to whether the oil exporting country is an OPEC member country, whether a certain country is an oil exporting country or an oil importing country, and the exchange rate system (floating exchange rate system or regulated exchange rate system) is adopted by the country, it is found that the correlation between the oil price and the exchange rates is less significant. (4) This study found that there is a significant causality between oil price and exchange rates for the oil importing countries with higher OIR ratios and for the oil exporting countries with higher OEC ratios during the full range and before or after the structural changes. This result clearly indicates that countries with higher OIR or OEC have a higher probability of existing a causal relationship between oil price and exchange rates. Therefore, central banks or investors in these countries with higher OIR or OEC ratios should have a firm grasp in the causal relationship between the oil price and the exchange rates. Because of a clear understanding of the leading/lagging relationship between the oil price and the exchange rates, it will help the central bank to formulate a reasonable exchange rate or the policy to control prices, while for investors, profit can be made through the right investment decisions in the foreign exchange market or the oil commodity market.
一、中文部份
1.林俊彥（2005），「匯率、股價、油價之關聯性－以遠東地區為例」，朝陽科技大學財務金融系碩士論文。
2.王燕春（2007），「油價與匯率互動關係的研究」，國立高雄應用科技大學金融資訊研究所碩士論文。
3.闕彥菱（2008），「利率、美元、黃金價格及原油價格之動態傳遞效果」，國立高雄第一科技大學金融營運系碩士論文。
4.王裕仁（2009），「匯率、油價、金價、利率之關聯性探討與預測」，國立成功大學財務金融研究所碩士論文。
5.黃姿穎（2009），「油價、金價、匯率與國際股市之關聯性研究」，義守大學財務金融學系碩士論文。
6.林聖原（2013），「石油價格與匯率波動對股市報酬影響之研究：以台灣類股為例」，國立高雄大學應用經濟學系碩士論文。
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