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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 謝德宗 | zh_TW |
dc.contributor.advisor | Der-Tzon Hsieh | en |
dc.contributor.author | 黃耕偉 | zh_TW |
dc.contributor.author | King-Ui Ng | en |
dc.date.accessioned | 2023-07-31T16:18:04Z | - |
dc.date.available | 2023-11-10 | - |
dc.date.copyright | 2023-07-31 | - |
dc.date.issued | 2023 | - |
dc.date.submitted | 2023-06-23 | - |
dc.identifier.citation | 吳仲平 (2018), “比特幣價格與總體經濟變數之關聯性,” 碩士論文, 國立臺灣大學。
張育豪 (2022), “以太幣價格與總體經濟之關係研究 : 分量迴歸模型的應用,” 碩士論文, 國立臺灣大學。 謝佳容 (2017), “比特幣匯率之實證分析,” 碩士論文, 國立臺灣大學。 Ciaian, Pavel, Miroslava Rajcaniova, and d’Artis Kancs (2016), “The economics of BitCoin price formation,” Applied Economics, 48(19), 1799–1815. Dickey, David A. and Wayne A. Fuller (1979), “Distribution of the Estimators for Autore gressive Time Series With a Unit Root,” Journal of the American Statistical Association, 74(366), 427–431. Engle, Robert F. and C. W. J. Granger (1987), “Co-Integration and Error Correction: Rep resentation, Estimation, and Testing,” Econometrica, 55(2), 251–276. Granger, C.W. J. (1969),“InvestigatingCausalRelations by Econometric Models and Cross spectral Methods,” Econometrica, 37(3), 424–438. Johansen, Søren (1988), “Statistical analysis of cointegration vectors,” Journal of Economic Dynamics and Control, 12(2), 231–254. Maddala, G. S. and In-Moo Kim (1998), Unit Roots, Cointegration, and Structural Change, Cambridge University Press. Nelson, Charles R. and Charles R. Plosser (1982), “Trends and random walks in macroe conmic time series: Some evidence and implications,” Journal of Monetary Economics, 10(2), 139–162. Phillips, Peter C. B. and Pierre Perron (1988), “Testing for a unit root in time series regres sion,” Biometrika, 75(2), 335–346. Poyser, Obryan (Mar. 2019), “Exploring the dynamics of Bitcoin’s price: a Bayesian struc tural time series approach,” Eurasian Economic Review, 9(1), 29–60. Said, Said E. and David A. Dickey (1984),“Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order,” Biometrika, 71(3), 599–607. Sims, Christopher A. (1980), “Macroeconomics and Reality,” Econometrica, 48(1), 1–48. Sovbetov, Yhlas(2018),“Factorsinfluencing cryptocurrency prices: evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero,”Journal of Economics and Financial Anal ysis, 2(2), 1–27. Wijk, D. van (Sept. 2013), What can be expected from the Bitcoin? | - |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87917 | - |
dc.description.abstract | 高波動性的加密貨幣市場吸引許多人的注意,2021年 NFT 與元宇宙的熱潮更是大幅推升加密貨幣的價格。現今加密貨幣已是大眾關注的焦點。
自比特幣暴漲的2017年以來,學界也開始對加密貨幣產生興趣。惟過去相關研究大多以比特幣為主題,討論以太幣價格與總體經濟變數如何互動的文獻甚少,並多未考慮 Defi 總鎖倉量對以太幣價格的影響。以太幣是以太坊的原生代幣,而以太坊與比特幣最大的差異之一在於以太坊可以在區塊上執行應用程式,Defi 總鎖倉量則顯示這些應用程式的熱門程度,因此 Defi 總鎖倉量對以太幣價格的影響必須考慮。 本文使用向量誤差修正模型分析以太幣價格與總體經濟變數之關係。模型中變數包含以太幣價格、比特幣價格、Defi 總鎖倉量、布蘭特原油期貨價格、黃金期貨價格、美元指數、日圓兌美元匯率、人民幣兌美元匯率、標準普爾500指數與 VIX 恐慌指數。實證發現變數之間存在長期均衡關係。同時也透過 Granger causality 檢視總體經濟變數是否能夠預測以太幣價格,以及利用衝擊反應函數分析各個解釋變數衝擊對以太幣價格的影響。 | zh_TW |
dc.description.abstract | The cryptocurrency market, characterized by its high volatility, has attracted considerable attention. In 2021, the surge in Non-Fungible Tokens (NFTs) and the emergence of the metaverse significantly impacted cryptocurrency prices, elevating their prominence.
Cryptocurrencies have become a focal point of interest, not only among the general public but also within academic circles. Since the substantial price increase of Bitcoin in 2017, scholarly interest in cryptocurrencies has grown. However, previous research has predominantly focused on Bitcoin, neglecting the examination of how Ethereum prices interact with macroeconomic variables. Additionally, the impact of the Total Value Locked (TVL) in decentralized finance (DeFi) on Ethereum prices has been largely overlooked. Ethereum, as the native token of the Ethereum blockchain, differentiates itself from Bitcoin by enabling the execution of decentralized applications (DApps). Therefore, it is crucial to consider the influence of TVL in DeFi on Ethereum prices. This study employs a Vector Error Correction Model (VECM) to analyze the relationship between Ethereum prices and macroeconomic variables. The model includes Ethereum and Bitcoin prices, TVL in DeFi, Brent crude oil futures prices, gold futures prices, the US dollar index, the Japanese yen to US dollar exchange rate, the Chinese yuan to US dollar exchange rate, the S&P 500 index, and the VIX (Volatility Index). The empirical findings reveal the existence of long-term equilibrium relationships among these variables. Granger causality tests are applied to examine the predictive power of macroeconomic variables for Ethereum prices. Moreover, impulse response functions are utilized to assess the impact of shocks from each explanatory variable on Ethereum prices. | en |
dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2023-07-31T16:18:04Z No. of bitstreams: 0 | en |
dc.description.provenance | Made available in DSpace on 2023-07-31T16:18:04Z (GMT). No. of bitstreams: 0 | en |
dc.description.tableofcontents | 摘要 i
Abstract ii 1 導論 1 1.1 研究背景與動機 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 研究目的 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1.3 研究架構 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 2 文獻回顧 5 2.1 加密貨幣概述 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.1.1 比特幣介紹 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.1.2 以太幣介紹 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 2.1.3 Defi 總鎖倉量 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 2.2 加密貨幣價格波動因子之研究 . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 3 研究方法 9 3.1 單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 3.1.1 Augmented Dickey-Fuller Test . . . . . . . . . . . . . . . . . . . . . 10 3.1.2 Phillips-Perron Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 3.2 最適落後期數 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 3.2.1 Akaike Information Criterion . . . . . . . . . . . . . . . . . . . . . . 12 3.3 共整合分析 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 3.3.1 Engle-Granger 兩階段程序 . . . . . . . . . . . . . . . . . . . . . . . . 12 3.3.2 Johansen 程序 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 3.4 向量自我迴歸模型 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 3.5 向量誤差修正模型 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 3.6 Granger Causality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 3.7 衝擊反應函數 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 4 實證結果 17 4.1 變數處理 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 4.2 單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 4.3 最適落後期數 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 4.4 共整合檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 4.5 向量誤差修正模型 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 4.6 Granger Causality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 4.6.1 Granger Causality/Block Exogeneity Wald Tests . . . . . . . . . . . 29 4.6.2 Pairwise Granger Causality Tests . . . . . . . . . . . . . . . . . . . . 36 4.7 衝擊反應函數 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 5 結論與建議 45 5.1 結論 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 5.2 建議 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 參考文獻 47 附錄 49 A 衝擊反應函數 50 | - |
dc.language.iso | zh_TW | - |
dc.title | 以太幣價格與總體經濟變數之實證分析 | zh_TW |
dc.title | An Empirical Analysis of Relationship between Macroeconomics Variables and Ethereum Price | en |
dc.type | Thesis | - |
dc.date.schoolyear | 111-2 | - |
dc.description.degree | 碩士 | - |
dc.contributor.oralexamcommittee | 賴錦璋;林惠玲 | zh_TW |
dc.contributor.oralexamcommittee | Chin-Chang Lai;Hui-Lin Lin | en |
dc.subject.keyword | 以太幣,比特幣,總鎖倉量,向量誤差修正模型,衝擊反應函數, | zh_TW |
dc.subject.keyword | Ethereum,Bitcoin,total value locked,VECM,impulse response function, | en |
dc.relation.page | 53 | - |
dc.identifier.doi | 10.6342/NTU202301064 | - |
dc.rights.note | 同意授權(全球公開) | - |
dc.date.accepted | 2023-06-27 | - |
dc.contributor.author-college | 社會科學院 | - |
dc.contributor.author-dept | 經濟學系 | - |
顯示於系所單位: | 經濟學系 |
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