請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/81319完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳旭昇(Shiu-Sheng Chen) | |
| dc.contributor.author | Min-Chi Chung | en |
| dc.contributor.author | 鍾旻錡 | zh_TW |
| dc.date.accessioned | 2022-11-24T03:42:55Z | - |
| dc.date.available | 2021-08-06 | |
| dc.date.available | 2022-11-24T03:42:55Z | - |
| dc.date.copyright | 2021-08-06 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2021-07-21 | |
| dc.identifier.citation | Javan Afshin and Vallejo Carola. Fundamentals, non-fundamentals and the oil price changes in 2007-2009 and 2014-2015. OPEC Energy Review, 40:125–54, 2016. Nael Al-Anaswah and Bernd Wilfling. Identification of speculative bubbles using state-space models with markov-switching. Journal of Banking and Finance, 35:1073–86, 2011. Fatema Alaali. The effect of oil and stock price volatility on firm level investment: The case of uk firms. Energy Economics, 87, 2020. Nathan S. Balke and Mark E. Wohar. Market fundamentals versus rational bubbles in stock prices: A bayesian perspective. Journal of Applied Econometrics, 24:35–75, 2009. Christiane Baumeister and Lutz Kilian. Lower oil prices and the u.s. economy: Is this time different? Brooking Papers on Economic Activity, 2016. Martin T. Bohl and Pierre L. Siklos. The present value model of u.s. stock prices redux: A new testing strategy and some evidence. Quarterly Review of Economics and Finance, 44:208–23, 2004. John Y. Campbell and Robert J. Shiller. The dividend-price ratio and expectations of future dividends and discount factors. The Review of Financial Studies, 1:195–228, 1988. Shiu-Sheng Chen. Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking and Finance, 33:2:211–23, 2009. Shiu-Sheng Chen. Forecasting crude oil price movements with oil-sensitive stocks. Economic Inquiry, 52:830–44, 2014. Dohyun Chun, Hoon Cho, and Jihun Kim. Crude oil price shocks and hedging performance: A comparison of volatility models. Energy Economics, 81:1132–47, 2019. Roger Craine. Rational bubbles: A test. Journal of Economic Dynamics and Control, 17:829–46, 1993. Behzad Diba and Herschel Grossman. Explosive rational bubbles in stock prices? American Economic Review, 78:520–30, 1988. Arturo Estrella and Anthony P. Rodrigues. Consistent covariance matrix estimation in probit models with autocorrelated errors. Federal Reserve Bank of New York, Staff Reports: 39, 1998. Mohamed Fakhfekh, Ahmed Ghorbel, Nadhem Selmi, and Nejib Hachicha. Dependence between oil price volatility, islamic and conventional dow jones indexes: Implication for portfolio management and hedging effectiveness. Journal of Asset Management, 17:1–20, 2016. Latife Ghalayini. The interaction between oil price and economic growth. Review of Middle East Economics and Finance, 13:127–41, 2011. Stephen G. Hall, Zacharias Psaradakis, and Martin Sola. Detecting periodically collapsing bubbles: A markov-switching unit root test. Journal of Applied Econometrics, 14:143–54, 1999. Ana María Herrera, Latika Gupta Lagalo, and Tatsuma Wada. Oil price shocks and industrial production: Is the relationship linear? Published online by Cambridge University Press, 30, 2011. Yong Jiang, Zhongbao Zhou, Qing Liu, Ling Lin, and Helu Xiao. How do oil price shocks affect the output volatility of the u.s. energy mining industry? the roles of structural oil price shocks. Energy Economics, 87, 2020. Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette, Ryan Woodard, and Peter Bastiaensen, Ken; Cauwels. Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 chinese stock market bubbles. Journal of Economic Behavior and Organization, 74:149–62, 2010. Lutz Kilian and Robert J. Vigfusson. Are the responses of the u.s. economy asymmetric in energy price increases and decreases? Quantitative Economics, 2:419–53, 2011a. Lutz Kilian and Robert J. Vigfusson. Nonlinearities in the oil price-output relationship. International Finance Discussion Papers, 2011b. Marco J. Lombardi and Ine Van Robays. Do financial investors destabilize the oil price? European Central Bank, Working Paper Series, 1346, 2011. Mohsen Mehrara and Mehdi Sarem. Effects of oil price shocks on industrial production: Evidence from some oil-exporting countries. OPEC Energy Review, 33:170–83, 2009. Antonio Merino and Alvaro Ortiz. Explaining the so-called ’price premium’ in oil markets. OPEC Review, 29:133–52, 2005. Zeshan Muhammad, Malik Wasim Shahid, and Nasir Muhammad. Oil price shocks, systematic monetary policy and economic activity. Pakistan Development Review, 58:65–81, 2019. Mohan Nandha and Robert Faff. Short-run and long-run oil price sensitivity of equity returns: The south asian markets. Review of Applied Economics, 2:229–44, 2006. Whitney K. Newey and Kenneth D. West. A simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55:703–08, 1987. José Noguera-Santaella. Geopolitics and the oil price. Economic Modelling, 52:301–09, 2016. Peter C. B. Phillips, Yangru Wu, and Jun Yu. Explosive behavior in the 1990s nasdaq: When did exuberance escalate asset values? International Economic Review, 52:201–26, 2011. Peter C. B. Phillips, Shuping Shi, and Jun Yu. Testing for multiple bubbles: Historical episodes of exuberance and collapse in the sp 500. International Economic Review, 52:301–26, 2015. Robert S. Pindyck. The present value model of rational commodity pricing. Economic Journal, 103:511–30, 1993. Juan C. Reboredo. Is gold a hedge or safe haven against oil price movements? 38:130–37, 2013. Jr. Robert E. Lucas. Asset prices in an exchange economy. Econometrica, 46:1429–45, 1978. Joseph E. Stiglitz. Symposium on bubbles. JOURNAL OF ECONOMIC PERSPECTIVES, 4:13–18, 1990. Damir Tokic. The 2008 oil bubble: Causes and consequences. Energy Policy, 38:2009–15, 2010. Fenghua Wen, Feng Min, Yue-Jun Zhang, and Can Yang. Crude oil price shocks, monetary policy, and china’s economy. International Journal of Finance and Economics, 24:812–27, 2019. Kenneth D. West. A specification test for speculative bubbles. Speculation and financial markets, 1:498–525, 2002. Yangru Wu. Rational bubbles in the stock market: Accounting for the u.s. stock-price volatility. Economic Inquiry, 35:309–19, 1997. Zhang Yue-Jun and Yao Ting. Interpreting the movement of oil prices: Driven by fundamentals or bubbles? Economic Modelling, 55:226–40, 2016. Yue-Jun Zhang and Yao-Bin Wu. The time-varying spillover effect between wti crude oil futures returns and hedge funds. International Review of Economics and Finance, 4:156–69, 2019. Yue-Jun Zhang and Lu Zhang. Interpreting the crude oil price movements:Evidence from the markov regime switching model. Applied Energy, 143:96–109, 2015. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/81319 | - |
| dc.description.abstract | "本文探討油價泡沫是否可以被預測。透過與原油價格相關的財務變數，包含: 原油期貨價格和石油及天然氣類股指數，和許多總體變數，包含: CPI, PPI, 期間利差, 匯率和失業率作為解釋變數。SADF 和 GSADF 檢定皆顯示在 1986 年 1 月到 2020 年 2 月間的油價存在泡沫。進一步根據 BSADF 檢定偵測油價泡沫發生的時間點。根據 Probit 模型的估計結果顯示原油期貨價格和石油及天然氣類股指數是油價泡沫發生的先行指標。 " | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-24T03:42:55Z (GMT). No. of bitstreams: 1 U0001-2007202113571200.pdf: 1703400 bytes, checksum: 73c9c92be6be071532314eebbf0082b1 (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | "Contents 1 Introduction 1 2 Econometric Framework 6 2.1 Modelling Bubble . . . . . . . . . . . . . . . . . . . . . . . . . 6 2.2 In-Sample Forecasting . . . . . . . . . . . . . . . . . . . . . . 10 3 Data and Empirical Results 12 3.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 3.2 Empirical Results of WTI Price Bubbles . . . . . . . . . . . . 13 3.3 In-sample Results . . . . . . . . . . . . . . . . . . . . . . . . . 16 4 Robustness Checks 17 4.1 Other Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 4.2 Multivariate models . . . . . . . . . . . . . . . . . . . . . . . 17 4.3 Data Frequency . . . . . . . . . . . . . . . . . . . . . . . . . . 18 4.4 Another Crude Oil Commodity . . . . . . . . . . . . . . . . . 18 5 Conclusion 19 List of Figures 1 Original Time Series Plots . . . . . . . . . . . . . . . . . . . . 37 1 Original Time Series Plots . . . . . . . . . . . . . . . . . . . . 38 1 Original Time Series Plots . . . . . . . . . . . . . . . . . . . . 39 1 Original Time Series Plots . . . . . . . . . . . . . . . . . . . . 40 1 Original Time Series Plots . . . . . . . . . . . . . . . . . . . . 41 2 The GSADF test of WTI Price . . . . . . . . . . . . . . . . . 42 3 PPI, First Difference of PPI (Shaded Areas Indicate the WTI Price Bubble Occurs.) . . . . . . . . . . . . . . . . . . . . . . 43 3 CPI, First Difference of CPI (Shaded Areas Indicate the WTI Price Bubble Occurs.) . . . . . . . . . . . . . . . . . . . . . . 44 3 PPI, First Difference of PPI and Tream Spread (Shaded Areas Indicate the WTI Price Bubble Occurs.) . . . . . . . . . . . . 45 3 Future Contract, First Difference of Future Contract (Shaded Areas Indicate the WTI Price Bubble Occurs.) . . . . . . . . . 46 3 Oil Gas Index, First Difference of Oil Gas Index (Shaded Areas Indicate the WTI Price Bubble Occurs.) . . . . . . . . . 47 4 Fitted Value of the Model . . . . . . . . . . . . . . . . . . . . 48 List of Tables 1 Data Source . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 2 Unit Root Tests . . . . . . . . . . . . . . . . . . . . . . . . . . 28 3 The SADF test and the GSADF test of WTI price . . . . . . 29 4 In-Sample Predictability test Results for WTI Price Bubbles Using Probit Models . . . . . . . . . . . . . . . . . . . . . . . 30 4 In-Sample Predictability test Results for WTI Price Bubbles Using Probit Models . . . . . . . . . . . . . . . . . . . . . . . 31 4 In-Sample Predictability test Results for WTI Price Bubbles Using Probit Models . . . . . . . . . . . . . . . . . . . . . . . 32 4 In-Sample Predictability test Results for WTI Price Bubbles Using Probit Models . . . . . . . . . . . . . . . . . . . . . . . 33 5 (Robustness) In-Sample predictability test results for WTI price bubbles using multivariate models . . . . . . . . . . . . 34 6 (Robustness) In-Sample Predictability test Results for WTI Price Bubbles Using Multivariate Models . . . . . . . . . . . 35 7 (Robustness) In-Sample Predictability test Results for Brent Price Bubbles Using Multivariate Models . . . . . . . . . . . 36" | |
| dc.language.iso | en | |
| dc.subject | BSADF | zh_TW |
| dc.subject | 油價泡沫 | zh_TW |
| dc.subject | 財務變數 | zh_TW |
| dc.subject | GSADF | zh_TW |
| dc.subject | Probit 模型 | zh_TW |
| dc.subject | Oil Price Bubble | en |
| dc.subject | Probit model | en |
| dc.subject | BSADF | en |
| dc.subject | GSADF | en |
| dc.subject | Financial Variables | en |
| dc.title | 油價泡沫預測 | zh_TW |
| dc.title | Oil Price Bubble Forecast | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 駱明慶(Hsin-Tsai Liu),林馨怡(Chih-Yang Tseng) | |
| dc.subject.keyword | 油價泡沫,財務變數,GSADF,BSADF,Probit 模型, | zh_TW |
| dc.subject.keyword | Oil Price Bubble,Financial Variables,GSADF,BSADF,Probit model, | en |
| dc.relation.page | 48 | |
| dc.identifier.doi | 10.6342/NTU202101593 | |
| dc.rights.note | 同意授權(限校園內公開) | |
| dc.date.accepted | 2021-07-22 | |
| 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 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| U0001-2007202113571200.pdf 授權僅限NTU校內IP使用（校園外請利用VPN校外連線服務） | 1.66 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。