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| Title: | 探討跨原油市場與國際金融市場間之外溢效果-運用GARCH-MIDAS模型
Exploring the spillover effect across crude oil market and international financial markets — Empirical evidence from GARCH-MIDAS analysis |
| Authors: | 黃毅鵬
Huang, Yi-Peng |
| Contributors: | 林靖
蕭明福
Lin, Jing
Shaw, Ming-Fu
黃毅鵬
Huang, Yi-Peng |
| Keywords: | GARCH-MIDAS
美中貿易戰
COVID-19
外溢效果
長期波動性
西德州原油
GARCH-MIDAS
U.S-China trade war
COVID-19
spillover effect
long-term volatility
WTI |
| Date: | 2021 |
| Issue Date: | 2021-09-02 17:44:52 (UTC+8) |
| Abstract: | 原油為石化產業基礎原料，原油價格波動反映全球經濟活動，受到各國政府與投資人關心。不論是各國政府制定能源政策亦或是民生經濟政策方面皆為重要的參考準則，投資人則注重在對原油價格波動的避險投資策略。目前，全球接連面臨美中貿易戰與COVID-19疫情，COVID-19疫情期間油價波動劇烈，更加深本研究對原油價格波動之探討。本研究運用GARCH-MIDAS模型實證分析2016年1月4日至2021年2月26日跨原油市場與國際金融市場間之外溢效果，全樣本期間涵蓋美中貿易戰與COVID-19疫情兩個經濟事件。原油市場以西德州原油期貨為研究變數，國際金融市場分為航運金融市場、農產品市場、外匯市場、成品油市場、生質燃料市場與塑膠原料市場，作為對原油市場長期波動外溢效果之傳遞市場。實證顯示航運金融市場、外匯市場、成品油市場、生質燃料市場、塑膠原料市場在美中貿易戰延伸COVID-19期間顯著，說明經濟事件發生時，這些市場變數的已實現波動率能夠預測長期西德州原油期貨波動率。農產品市場在過去12個月COVID-19疫情期間顯著，說明全球疫情產生糧食衝擊外溢至原油市場。塑膠原料市場變數在所有樣本內皆顯著對原油市場產生外溢效果，說明石化中下游產業的動盪會對於原油市場價格波動影響。近年來，在中國石化產業的強大基礎下，發展出許多衍生性金融商品。在過去研究文獻中較少探討到塑膠商品期貨與原油價格波動之間的關係。藉由本研究發現，提供未來原油相關研究更深入探討石化產業鏈中下游的研究缺口。
Crude oil is the raw material for petrochemical industry. The fluctuation of oil price is concerned by governments and investors. It reflects on global economic activities. So far, the world has encountered the US-China trade war and the COVID-19 pandemic one after another. Due to oil price volatile greatly during the COVID-19 pandemic, it deepens the purpose of exploring oil price volatility in this study. This paper applied the GARCH-MIDAS model to explore the spillover effect across crude oil market and international financial markets from January 4, 2016 to February 26, 2021. The full sample covered two economic events of the U.S-China trade war and the COVID-19 pandemic. The international financial markets consist of freight market, agricultural product market, foreign exchange market, refined oil market, biofuel market and plastic market in this research. The results reveal that freight market, foreign exchange market, refined oil market, biofuel market and plastic market are significant during the U.S-China trade war and COVID-19 pandemic. It indicates that the realized volatility of these market’s variables can predict WTI futures volatility in the long term when economic events occurred. Agricultural product market had significant influence on oil market during the COVID-19 pandemic in the last 12 months. It shows that global pandemic caused food shocks and transmitted volatility to crude oil market. Plastic market significantly transmitted volatility to crude oil market in all samples, indicating that the shock of the midstream and downstream of the petrochemical industry had an impact on crude oil market. Recently, many financial derivatives about petrochemical industry have been launched in China. The relationship between plastic commodity futures and crude oil market is less discussed in previous literatures. Finally, this study further provides the research gap to explore the middle and lower reaches of the petrochemical industry chain about oil-related research. |
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| Description: | 碩士
國立政治大學
經濟學系
108258039 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108258039 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202101412 |
| Appears in Collections: | [經濟學系] 學位論文
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