碩士 / 國立臺灣大學 / 經濟學研究所 / 100 / The global boom freeze since the financial tsunmai has resulted in structural changes in the stock market and commodity investment, whereas the movement of crude oil prices for West Texas Intermediate in the petroleum market has shifted from the long-term Brent crude oil contango to the backwardation trend. The price deviation could result in more difficulties with the prediction of energy costs for government, multinational corporations and even individual investments. As result, there may be problems with the economic forecasts. The paper in intended to understand the relationship between the movements in the three crude oil markets by separating October 2008 into two intervals, adopting VAR(4)-MVGRACH(1,1)-BEKK model to analyze the movements between return of spots in West Texas Intermediate, Brent Crude Oil and Dubai Crude Oil return of spot.
Empirical studies show that the average returns between the three significantly expanded after the financial tsunmai, whereas only the standard deviation for the rate of return in West Texas Intermediate significantly increased after the financial tsunmai, indicating a rise in the return volatility and reflecting the VAR’s own lags negatively affecting the current rate of return has transformed to a positive influence after the financial crisis. The returns on West Texas Intermediate and Brent Crude Oil affect each other intensively in the return spillover effect, followed by the return on Dubai Crude Oil and Brent Crude Oil, whereas the return on West Texas Intermediate and Dubai Crude Oil appeared to be weakest. In which, Dubai Crude Oil return was increased subject to the influence from the remaining two market returns after the financial crisis. The West Texas Intermediate Crude Oil was also reduced subject to the influence of Brent Crude Oil after the financial tsunmai. The influence of Dubai Crude Oil return on West Texas Crude oil also increased after the financial tsunmai.
With regards to volatility spillover effect, the GARCH effect was most significant on the Brent Crude Oil return volatility before the financial tsunmai, the ARCH effect was most significant, on the Dubai Crude Oil, the GARCH effect was most significant, on the Dubai Crude Oil after the financial tsunmai, and the ARCH effect was most significant on West Texas Crude Oil return volatility. Finally with regards to the impulse response functions, the impulse response period of oil prices after the financial crisis was significantly extended, whereas the impulse response period extended from the average of 10 days before the financial tsunmai to the average of 20 days. When the West Texas Crude Oil return response faced with the impact from Brent Crude Oil Price, the response was significantly lowered after the financial tsunmai. The West Texas Crude oil return response was significantly increased after the financial tsunmai, when faced with the market impulse. The study showed that the difference of the movements between the relationship of crude oil return is extremely different and should be used as reference for market participants.
| Identifer | oai:union.ndltd.org:TW/100NTU05389054 |
| Date | January 2012 |
| Creators | YI-FAN YANG, 楊逸凡 |
| Contributors | Chien-Fu Lin, 林建甫 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 51 |
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