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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳旭昇(Shiu-Sheng Chen) | |
| dc.contributor.author | ZHEN-KANG LAU | en |
| dc.contributor.author | 劉鎮慷 | zh_TW |
| dc.date.accessioned | 2021-06-16T10:23:31Z | - |
| dc.date.available | 2020-07-20 | |
| dc.date.copyright | 2020-07-20 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-07-03 | |
| dc.identifier.citation | Amano, Robert A. and Van Norden, Simon (1998a), “Exchange rates and oil prices”, Review of International Economics, 6(4), 683–694.
Amano, Robert A. and Van Norden, Simon (1998b), “Oil prices and the rise and fall of the US real exchange rate”, Journal of international Money and finance, 17(2), 299–316. Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., and Vega, Clara (2003), “Micro effects of macro announcements: Real-time price discovery in foreign exchange”, American Economic Review, 93(1), 38–62. Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., and Vega, Clara (2007), “Real-time price discovery in global stock, bond and foreign exchange markets”, Journal of international Economics, 73(2), 251–277. Beckmann, Joscha, Czudaj, Robert, and Arora, Vipin (2017), “The relationship between oil prices and exchange rates: theory and evidence”, US Energy Information Administration working paper series. Bodenstein, Martin, Erceg, Christopher J., and Guerrieri, Luca (2011), “Oil shocks and external adjustment”, Journal of International Economics, 83(2), 168–184. Chaudhuri, Kausik and Daniel, Betty C. (1998), “Long-run equilibrium real exchange rates and oil prices”, Economics letters, 58(2), 231–238. Chen, Yu-Chin (2002), “Exchange rates and fundamentals: evidence from commodity economies”, Mimeograph, Harvard University. Chen, Yu-Chin and Rogoff, Kenneth (2003), “Commodity currencies”, Journal of international Economics, 60(1), 133–160. Chen, Yu-Chin, Rogoff, Kenneth S., and Rossi, Barbara (2010), “Can exchange rates forecast commodity prices?”, The Quarterly Journal of Economics, 125(3), 1145–1194. Chen, Shiu-Sheng (2014), “Forecasting crude oil price movements with oil-sensitive stocks”, Economic Inquiry, 52(2), 830–844. Chen, Shiu-Sheng and Chen, Hung-Chyn (2007), “Oil prices and real exchange rates”, Energy Economics, 29(3), 390–404. Chen, Shiu-Sheng and Hsu, Cheng-Che (2019), “Do stock markets have predictive content for exchange rate movements?”, Journal of Forecasting. Cheung, Yin-Wong, Chinn, Menzie D., and Pascual, Antonio G. (2005), “Empirical exchange rate models of the nineties: Are any fit to survive?”, Journal of international money and finance, 24(7), 1150–1175. Clark, Todd E. and West, Kenneth D. (2007), “Approximately normal tests for equal predictive accuracy in nested models”, Journal of econometrics, 138(1), 291–311. Diebold, Francis X. and Mariano, Roberto S. (1995), “Comparing Predictive Accuracy”, Journal of Business and Economic Statistics, 13(3), 253–263. Ferraro, Domenico, Rogoff, Kenneth, and Rossi, Barbara (2015), “Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates”, Journal of International Money and Finance, 54, 116–141. Fratzscher, Marcel, Schneider, Daniel, and Van Robays, Ine (2014), “Oil prices, exchange rates and asset prices”. Golub, Stephen S. (1983), “Oil prices and exchange rates”, The Economic Journal, 93(371), 576–593. Gourinchas, Pierre-Olivier and Rey, Helene (2007), “International financial adjustment”, Journal of political economy, 115(4), 665–703. Kilian, Lutz and Vega, Clara (2011), “Do energy prices respond to US macroeconomic news? A test of the hypothesis of predetermined energy prices”, Review of Economics and Statistics, 93(2), 660–671. Krugman, Paul R. (1980), Oil and the Dollar. Meese, Richard A. and Rogoff, Kenneth (1983), “Empirical exchange rate models of the seventies: Do they fit out of sample?”, Journal of international economics, 14(1-2), 3–24. Molodtsova, Tanya and Papell, David H. (2009), “Out-of-sample exchange rate predictability with Taylor rule fundamentals”, Journal of international economics, 77(2), 167–180. Rogoff, Kenneth S. and Stavrakeva, Vania (2008), “The continuing puzzle of short horizon exchange rate forecasting”, National Bureau of Economic Research Working Paper 14071. Rossi, Barbara (2013), “Exchange rate predictability”, Journal of economic literature, 51(4), 1063 1119. Rossi, Barbara and Inoue, Atsushi (2012), “Out-of-sample forecast tests robust to the choice of window size”, Journal of Business and Economic Statistics, 30(3), 432–453. Taylor, John B. (1993), “Discretion versus policy rules in practice”, Carnegie-Rochester conference series on public policy, vol. 39, Elsevier, 195–214. White, Halbert (2000), “A reality check for data snooping”, Econometrica, 68(5), 1097–1126. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/60616 | - |
| dc.description.abstract | 本文檢視原油相關的股票價格指數在短期內對於原油出口國之匯率是否具有預測能力。在日資料頻率下，透過樣本內以及樣本外預測的方法檢視發現，原油股票指數模型可以用來預測未來 1 期的匯率，且其預測能力優於隨機漫步模型，但而對於更長期數的預測，或是在月資料頻率下的預測中，原油股票指數模型並不具有預測未來走勢的能力。這樣的結果顯示原油股票指數能快速反應原油市場上的資訊，而這些資訊能反映出短期匯率的走勢，使得原油股票指數可用以預測短期匯率，但在長期下這些資訊已經過時，而造成長期的匯率預測結果並不顯著。 | zh_TW |
| dc.description.abstract | In this paper we investigate the ability of oil sensitive stock in predicting daily exchange rate of oil-exporting countries. Using in-sample and out-of-sample tests, our model beat the random walk model in one-day-ahead pre- diction but not in longer horizons prediction. The result indicates that the oil sensitive stock has a quick response to the change in oil market, providing useful information to predict short-run exchange rate movement. However, information contained in oil sensitive stock is out of date in the long-run and hence the exchange rate prediction over long horizons are not statistically significant. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T10:23:31Z (GMT). No. of bitstreams: 1 U0001-0307202018092600.pdf: 1265037 bytes, checksum: c5535e5e808184264ec58969de908e95 (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 目錄 中文摘要 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I 英文摘要 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . II 1 言 前言 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 2 實證模型 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 3 資料敘述 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 4 實證結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 5 論 結論 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 參考文獻 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 表目錄 1 資料來源 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 2 變數相關係數 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 3 敘述性統計 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 4 澳幣匯率樣本內預測-日資料 . . . . . . . . . . . . . . . . . . . . . . . 20 5 加幣匯率樣本內預測-日資料 . . . . . . . . . . . . . . . . . . . . . . . 20 6 挪威匯率樣本內預測-日資料 . . . . . . . . . . . . . . . . . . . . . . . 21 7 樣本內預測-月資料 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 8 日資料樣本外預測 (R=0.4) . . . . . . . . . . . . . . . . . . . . . . . 22 9 月資料樣本外預測 (R=0.4) . . . . . . . . . . . . . . . . . . . . . . . 23 10 Sup Diebold-Mariano 檢定與 Sup Clark-West 檢定 . . . . . . . . . . 24 圖目錄 1 澳洲，加拿大，挪威名目匯率 . . . . . . . . . . . . . . . . . . . . . . 25 2 原油價格及原油指數 . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 3 DM-sup 統計量 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 4 CW-sup 統計量 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 | |
| dc.language.iso | zh-TW | |
| dc.subject | 資訊 | zh_TW |
| dc.subject | 油價 | zh_TW |
| dc.subject | 股票 | zh_TW |
| dc.subject | 預測 | zh_TW |
| dc.subject | 匯率 | zh_TW |
| dc.subject | Exchange Rate | en |
| dc.subject | Prediction | en |
| dc.subject | Oil Price | en |
| dc.subject | Stock Price | en |
| dc.subject | Information | en |
| dc.title | 原油股票指數對匯率之預測 | zh_TW |
| dc.title | Forecasting Exchange Rate Moments with Oil-Sensitive Stocks | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張勝凱(Sheng-Kai Chang),周有熙(Yu-Hsi Chou) | |
| dc.subject.keyword | 匯率,預測,油價,股票,資訊, | zh_TW |
| dc.subject.keyword | Exchange Rate,Prediction,Oil Price,Stock Price,Information, | en |
| dc.relation.page | 28 | |
| dc.identifier.doi | 10.6342/NTU202001302 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-07-06 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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