重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
請務必參見 課程網頁維護重要事項 Import Notes
Registered students MUST see the Import Notes

2016-10-24

Oil Price and Exchange Rate Volatility in Taiwan
台灣的石油價格和匯率波動

授課教授: 楊奕農 副教授
學生姓名: 呂俊毅
學號:10592011
中原大學
摘要
         台灣屬於海島型國家，資源並不豐富，作為石油進口國，石油價格的變化對於台灣的經濟有一定程度的影響，本篇研究主要是使用1970年至2015年台灣的年度數據，主要是要探討並檢視油價對匯率的影響程度，本篇研究所採用的模型為:ADF和PP之單根檢、Johansen共整合檢定以及VECM向量誤差修正模型，共整合檢定模型在5的信心水準下，所有變數在長期下呈現穩定的狀態；VECM向量誤差修正模型可測得短期下油價會對匯率產生影響。綜合以上研究結果可以發現，油價和匯率之間具有長期穩定的關係，而油價變動也會影響匯率變動，表示油價的變動，不管是上升還下降，都會進而影響匯率的升值或貶值，因此本研究的實證結果符合台灣為石油進口國的狀態。
Keywords: Oil Price, Exchange rate volatility, Johansen Co-integration, Vector Error Correction Model
中文關鍵字: 油價，匯率波動，Johansen共整合檢定，VECM向量誤差修正模型
JEL Classification: O24 C22 F41

 10592011 呂俊毅 105國際金融專題課程 期末報告影片 
10592011-呂俊毅-105國際金融專題課程-期末報告影片連結:

Oil Price and Exchange Rate Volatility in Nigeria


Oluwatomisin M. Ogundipe 


Covenant University

Paul Ojeaga 


University of Bergamo

Adeyemi Adefioye Ogundipe 


Covenant University
July 1, 2012

Journal of Economics and Finance (IOSR), Volume 5, Issue 4. (Sep.-Oct. 2014), PP 01-09 

Abstract:      
Oil as the mainstay of the Nigerian economy, accounts for over 95 percent of its foreign earnings and about 83 percent of its budgetary allocation, to this end, changes in oil prices has implications for the Nigerian economy and, in particular, exchange rate movements. The latter is mostly important due to the double dilemma of being an oil exporting and oil-importing country, a situation that emerged in the last decade. The study examined the effects of oil price, external reserves and interest rate on exchange rate volatility in Nigeria using annual data covering the period 1970 to 2011. The long run relationship among the variables was determined using the Johansen Co-integration technique while the vector correction mechanism was used to examine the speed of adjustment of the variables from the short run dynamics to the long run equilibrium. It was observed that a proportionate change in oil price leads to a more than proportionate change in exchange rate volatility in Nigeria; which implies that exchange rate is susceptible to changes in oil price. The study therefore recommend that the Nigeria government should diversify from the oil sector to other sectors of the economy hereby dwindling the impact of crude oil as the mainstay of the economy and overcome the effect of incessant changes in crude oil prices which often culminate into macroeconomic instability.
Number of Pages in PDF File: 9
Keywords: Oil Price, Exchange rate volatility, Johansen Co-integration, Vector Error Correction Model


JEL Classification: O24 C22 F41

10592011-呂俊毅-105國際金融專題課程-期中報告影片連結:
https://youtu.be/Gu0X5qcxrus
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== Posted on 2009.10.05 ==
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