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| Title: | FAVAR模型與分量因子模型的應用: 油價衝擊對於股市表現的影響
The Application of FAVAR and Quantile Factor Model: the Impact of Oil Price Shock on Stock Market Performance |
| Authors: | 林煜軒
Lin, Yu-Hsuan |
| Contributors: | 徐士勛
Hsu, Shih-Hsun
林煜軒
Lin, Yu-Hsuan |
| Keywords: | 油價衝擊
股市表現
因子擴充向量自我迴歸模型
分量因子模型
Oil price shock
Stock market performance
FAVAR
QFM |
| Date: | 2023 |
| Issue Date: | 2023-07-10 11:52:02 (UTC+8) |
| Abstract: | 本研究試圖檢視美國、台灣、日本、韓國等四個已開發國家的股市受
到油價衝擊後的影響，樣本期間為 2000 年 1 月至 2022 年 2 月，共 266期月資料。我們將資料分成世界層級 (world-level) 與國家特定 (countryspecific) 兩類，總計整理 45 個變數。
Chen, Dolado, and Gonzalo (2021) 的分量因子模型 (Quantile Factor model, QFM)，使研究者透過不同分量的分析，獲得資料分配較完整特性。過去文獻發現，Bernanke, Boivin, and Eliasz (2005) 的因子擴充向量自我迴歸模型 (Factor Augmented Vector Autoregression model, FAVAR)，雖使研究能納入高維度資料，並改善傳統向量自我迴歸模型 (VectorAutoregression model, VAR) 缺失，但實證卻顯示影響不對稱，資料存在異質性疑慮。我們擴張 FAVAR 模型，加入分量因子估計，並分析其衝擊反應。最後討論並比較原始及擴充模型。
本文實證發現，原始模型結論與過去類似，油價上漲衝擊對於各國股
市初期影響負面，之後反應漸不同。影響約於一年內較明顯，三年後幾近
消失，經濟恢復均衡。另外，所考慮擴充模型的重要結論則大致與原始模
型相同，但仍具備些許差異，顯示 QFM 確實捕捉更多資訊。
This research intends to examine the impact of oil price shock on stock markets of US, Taiwan, Japan, and Korea from January 2000 to February 2022 (266 months). We separate our data into two categories: world-level and country specific. There are 45 variables.
The Quantile Factor model (QFM) by Chen, Dolado, and Gonzalo
(2021) lets researchers analyze data under different quantile and obtain more complete characteristics of the distribution of the data. From previous studies, the Factor Augmented Vector Autoregression model (FAVAR) by Bernanke, Boivin, and Eliasz (2005) is known that, although it can include high dimensional data in research and improve Vector Autoregression model (VAR), results show that the responses are asymmetric. Thus, data may exist heterogeneity. We expand FAVAR, add quantile factors to estimate together, and
analyze the impulse response. Finally, we compare two FAVARs.
Our empirical findings show that results of the original model are similar to past studies. The impact of oil price shock to four countries is negative at first, and responses are different after that. The impact is larger during first
year and disappears after three years. The economy achieves stability. Besides, conclusions in both models are alike but have differences, pointing out QFM utilizes more information. |
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| Description: | 碩士
國立政治大學
經濟學系
110258013 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110258013 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
|
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