The Relationship between Baltic Dry Index and Consumer Price Index in Taiwan / 波羅的海運價指數與台灣消費者物價指數之關聯性

碩士 / 國立成功大學 / 財務金融研究所碩士在職專班 / 105 / This paper uses the time series data, and the historical data is ranged from January 2005 to December 2015. The object focuses on the changes in Baltic Dry Index(BDI) and the Consumer Price Index(CPI) of Taiwan to find the relation between them. The data are examined through ADF unit root test, multiple regression analysis, vector autoregression model(VAR), Granger causality test and forecast error variance decomposition methods to explore the changes in variables.
The empirical results show that the Baltic dry index and the Taiwan’s consumer price index have a significant relationship. However, the interaction with the Taiwan’s consumer price index is turned from negative to positive correlation while the Baltic dry index in 12 months lag after testing. It means Baltic dry index 12 months ago began to have an impact on the Taiwan’s consumer price index.
By VAR analysis we find there’s no significant lead-lag relationship between Baltic dry index and the Taiwan’s consumer price index. In Granger causality test, it can be observed that Taiwan’s consumer price index has a Granger causality relationship with Baltic dry index, however the Baltic dry index doesn’t Granger cause on Taiwan’s consumer price index as well, which indicates that the relationship between these two variables is unidirectional no bidirectional feedback.

Identiferoai:union.ndltd.org:TW/105NCKU5304008
Date January 2017
CreatorsYu-HsiuWang, 王予秀
ContributorsAlan T. Wang, 王澤世
Source SetsNational Digital Library of Theses and Dissertations in Taiwan
Languagezh-TW
Detected LanguageEnglish
Type學位論文 ; thesis
Format52

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