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題名：油價可以解釋實質匯率走勢嗎？--亞洲新興國家之驗證
書刊名：東吳經濟商學學報
作者：柏婉貞
作者(外文)：Po, Wan-chen
出版日期：2010
卷期：69
頁次：頁29-46
主題關鍵詞：實質油價；實質匯率；追蹤共整合；Real oil price；Real exchange rate；Panel cointegration
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:37
本文擴展Meese及Rogoff(1988)所建構的匯率模型來驗證實質油價是長期實質匯率均衡決定因素。本研究利用DOLS(dynamic OLS)技術來估計異質性的追蹤共整合向量並檢視亞洲新興國家實質匯率、實質利率與實質油價之長期關係。研究發現匯率模型考慮實質油價後其利率平價假說將成立，油價上升（下跌）衝擊會加深亞洲石油淨進口（淨出口）國家貨幣貶值，意指實質油價可用來解釋亞洲新興國家實質匯率的走勢，實質油價是未來實質匯率變動的關鍵性因素。研究結果不僅有助於解釋亞洲新興國家實質利率平價說失敗的原因，亦說明實質油價對於實質匯率的走勢存在重要的意涵。
This paper extends the monetary model of Meese and Rogoff (1988) to demonstrate the role of the real oil price as a determinant of the long-run equilibrium real exchange rate. The study is based on the dynamic OLS and new heterogeneous panel cointegration techniques in that it investigates the relationship between the real interest rate differential, the real oil price and the real exchange rate for emerging Asian countries. The results indicate that real oil prices have a significant effect on the real exchange rate in the long run. An increase (decrease) in oil prices will lead to a depreciation in the currencies of the emerging Asian net oil-importing (net oil-exporting) countries. The results not only explain the failure of real interest parity in emerging Asian countries but also show that real oil prices may have been the dominant source of real exchange rate movements.
期刊論文
1.Hooker, Mark A.(2002)。Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime。Journal of Money, Credit, and Banking，34(2)，540-561。  new window
2.Chen, S. S.、Chen, H. C.(2007)。Oil prices and real exchange rates。Energy Economics，29(3)，390-404。  new window
3.Hammoudeh, S.、Eleisa, L.(2004)。Dynamic relationship among GCC stock markets and NYMEX oil futures。Contemporary Economic Policy，22，250-269。  new window
4.MacDonald, Ronald、Taylor, Mark P.(1992)。Exchange Rate Economics: A Survey。International Monetary Fund Staff Papers，39(1)，1-57。  new window
5.Pedroni, Peter(1999)。Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors。Oxford Bulletin of Economics and Statistics，61(4)，653-670。  new window
6.Im, K. S.、Pesaran, M.H.、Shin, Y.(2003)。Testing for unit roots in geterogeneous panels。Journal of Econometrics，115(1)，53-74。  new window
7.Meese, Richard、Rogoff, Kenneth(1988)。Was it Real? The Exchange-rate Interest Differential Relation over the Modern Floating-rate Period。Journal of Finance，43(4)，933-948。  new window
8.Edison, H. J.、Pauls B. D.(1993)。A Re-Assessment of the Relationship between Real Exchange Rates and Real Interest Rates: 1974-1990。Journal of Monetary Economics，31，165-187。  new window
9.Hutchison, M. M.(1993)。Structural change and the macroeconomic effects of oil shocks: Empirical evidence from the United States and Japan。Journal of International Money and Finance，12，587-606。  new window
10.Baxter, M.(1994)。Real exchange rates and real interest differentials: Have we missed the business-cycle relationship。Journal of Monetary Economy，34，1-38。  new window
11.Papapetrou, Evangelia(2001)。Oil price shocks, stock market, economic activity and employment in Greece。Energy Economics，23(5)，511-532。  new window
12.Hooker, Mark A.(1996)。What Happened to the Oil Price-Macroeconomy Relationship?。Journal of Monetary Economics，38(2)，195-213。  new window
13.MacKinnon, J. G.、Haug, A. A.、Michelis, L.(1999)。Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration。Journal of Applied Econometrics，14，563-577。  new window
14.Sadorsky, P.(2003)。The Macroecononomics Determinants of Technology Stock Price Volatility。Review of Financial Economics，12，191-205。  new window
15.Camarero, M.、Tamarit, C.(2002)。Oil Prices and Spanish Competitiveness: A Cointegrated Panel Analysis。Journal of Policy Modeling，24(6)，591-605。  new window
16.Hooper, Peter、Morton, John E.(1982)。Fluctuations in the dollar: A model of nominal and real exchange rate determination。Journal of International Money and Finance，1，39-56。  new window
17.Rogoff, K.(1992)。Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate。Bank of Japan Monetary and Economic Studies，10(2)，1-29。  new window
18.Sadorsky, Perry(1999)。Oil Price Shocks and Stock Market Activity。Energy Economics，21(5)。  new window
19.Pedroni, P.(2004)。Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with An Application to The PPP Hypothesis。Econometric Theory，20(3)，597-625。  new window
20.Kao, C.、Chiang, M.-H.(2000)。On the Estimation and Inference of a Cointegrated Regression in Panel Data。Advances in Econometrics，15，179-222。  new window
21.Levine, Ross、Loayza, Norman、Beck, Thorsten(2000)。Financial Intermediation and Growth: Causality and Causes。Journal of Monetary Economics，46(1)，31-77。  new window
22.Lardic, S.、Mignon, V.(2008)。Oil Prices and Economic Activity: An Asymmetric Cointegration Approach。Energy Economics，30(3)，847-855。  new window
23.Zivot, Eric、Andrews, Donald W. K.(1992)。Further Evidence on the Great Crash, the Oil-price Shock, and the Unit-root Hypothesis。Journal of Business and Economic Statistics，10(3)，251-270。  new window
24.Hadri, K.(2000)。Testing for unit roots in heterogeneous panel data。Econometrics Journal，3，148-161。  new window
25.Abeysinghe, T.(2001)。“Estimation of direct and indirect impact of oil price on growth.”。Economy Letters，73，147-153。  new window
26.Asea, P. and E. Mendoza(1994)。“Do long-run productivity differentials explain long-run real exchange rates？.”。Review of International Economics，33，5-37。  new window
27.Edison, H. J. and B. D. Pauls(1993)。“A re-assessment of the relationship between real exchange rates and real interest rates: 1974 – 1990.”。Journal of Monetary Economics，31，165-187。  new window
28.Lee, B. R., K. Lee and R. A. Ratti(2001)。“Monetary policy, oil price shocks and the Japanese economy.”。Japan and the World Economy，13，321-349。  new window
29.MacDonald, R. and J. Nagayasu(2000)。“The long-run relationship between real exchange rates and real interest differentials: A panel study.”。IMF Staff Papers，47，116-128。  new window
30.Abeysinghe, T.(2001)。Estimation of direct and indirect impact of oil price on growth。Economy Letters，73，147-153。  new window
31.Asea, P.、Mendoza E.(1994)。Do long-run productivity differentials explain long-run real exchange rates?。Review of International Economics，33，5-37。  new window
32.Meese, R.、Rogoff K.(1988)。Was it real? The exchange rate interest differential relation over the modern floating-rate period。Journal of Finance，43，933-948。  new window
33.Pedroni, P.(2004)。Panel contegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis: new results。Econometric Theory，20，597-627。  new window
34.Lee, B. R.、Ratti R. A.(2001)。Monetary policy, oil price shocks and the Japanese economy。Japan and the World Economy，13，321-349。  new window
35.MacDonald, R.、Nagayasu J.(2000)。The long-run relationship between real exchange rates and real interest differentials: A panel study。IMF Staff Paper，47，116-128。  new window
研究報告
1.Clarida R. H. and J. Galí(1994)。“Sources of real exchange rate fluctuations: How important are nominal shocks？”。MA。  new window
2.Edison, H. J. and W. R. Melick(1995)。“Alternative approaches to real exchange rates and real interestrates: Three up and three down.”。  new window
3.Obstfeld, M.(1993)。“Model trending real exchange rates.”。  new window
4.Clarida, R. H.、Gali J.(1994)。Sources of real exchange rate fluctuations: How important are nominal shocks。Cambridge, MA。  new window
5.Edison, H. J.、Melick W. R.(1995)。Alternative approaches to real exchange rates and real interestrates: Three up and three down。  new window
6.Obstfeld, M.(1993)。Model trending real exchange rates。  new window
圖書論文
1.MacKinnon, J. G.(1991)。Critical Values for Cointegration Test。Long Run Economic Relationships。Oxford：Oxford University Press。  new window
 
 
 
 
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