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| Title: | 能源價格與台灣總體經濟之研究—運用MIDAS模型
Energy Prices and Taiwan’s Macro Economy – the application of MIDAS model |
| Authors: | 陳泳如 |
| Contributors: | 林信助
陳泳如 |
| Keywords: | 能源價格
混頻因果關係檢定
MIDAS模型
即時預報
Energy price
Mixed-frequency causality test
MIDAS model
Nowcast |
| Date: | 2021 |
| Issue Date: | 2021-08-04 14:25:29 (UTC+8) |
| Abstract: | 能源價格變動與總體經濟的相關性雖已存在不少討論，但能源價格變動究竟以何種形式及管道衝擊總體經濟仍存在許多爭論。特別是過去大多數相關文獻遷就於總體經濟資料的限制，大多以低頻率季資料來研究其與能源價格變動之間的相關性。不過，隨著高頻資料的取得愈發容易，加上混頻模型的蓬勃發展，利用高頻資料即時預報低頻總體經濟指標之可行性大幅提高。故本文欲藉由混頻因果關係檢定及各式混頻模型，在保有完整能源價格之高頻訊息下，重新檢視能源價格與總體經濟之關係。本文將2000年第一季至2019年第四季作為樣本期間，以西德州中級原油每日現貨價格作為能源價格來源，並將其建構為價格變動之波動率形式對經濟成長率進行即時預報。本文的實證結果顯示，能源價格變動之波動率與經濟成長率間存在負向關係。與既有國內研究的不同之處在於，本文發現能源價格變動之波動率富含的高頻訊息能提供更多關於當季經濟成長率之資訊，並進一步改善模型預測績效。
Despite the existence of numerous studies on the correlation between energy price variation and the performance of the macro economy, plenty disputes remain in the form and the channel through which energy price shocks affect the macro economy. In particular, most of the relevant literature in the past was subject to the lower frequency of macroeconomic data, mostly using low-frequency quarterly data to study the correlation between them and energy price variation. However, due to the availability of high-frequency data and the development of mixed-frequency models, it is more feasible to forecast macroeconomic indicators with high-frequency data. Motivated by such a development, this paper attempts to re-examine the correlation between energy prices and the macro economy with mixed-frequency causality test and related models, while maintaining the integrity of information existing in the high frequency energy price data. In this paper, the sampling period is from Q1 2000 to Q4 2019. We use daily spot prices for West Texas Intermediate crude oil as the source of energy prices and then construct them as the form of the volatility of energy price growth rate to nowcast economic growth rate. Our empirical results reveal a negative relationship between the volatility of energy price growth rate and economic growth rate. However, different from the existing domestic research, this paper finds that the high-frequency information contained in the volatility of energy price growth rate can provide more information about the current quarter economic growth rate and further improve the forecast accuracy of the model. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
108351007 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108351007 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100828 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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