碩士 / 國立高雄科技大學 / 國際企業系 / 107 / This study took four variables which are the Baltic capsize index, the BRENT crude oil price, the iron ore spot price, and the global steel price index as our study object. The period is from week 1, 2014 to week 19, 2018 with 228 weekly data. Using ADF and PP unit root tests, Johansen co-integration test, Vector error correction model, Granger causality test, impulse response function, Variance decomposition to verify the relationship among all variables. Johansen co-integration test result found that there is a long-term equilibrium relationship among the variables. In short-term dynamic relationship verification, Vector error correction model results showed that the Baltic capsize index be affected by the BRENT crude oil price’s previous period. The iron ore spot price CME will be affected by its own previous period. Brent crude oil price be affected by the global steel price index’s previous period. Granger causality test results obtained the Brent crude oil price has one-way positive leading relationship to the Baltic capsize index. The steel price index has one-way positive leading relationship to the Brent crude oil price and the iron ore spot price. The error variability decomposition analysis found the Balti capsize index and the Brent crude oil price are exogenous explanatory variables, the iron ore spot price and the global steel price index are endogenous explanatory variables.
Keywords: Balti Capsize Index, Granger causality test, Johansen Co-integration test, Vector error correction model
| Identifer | oai:union.ndltd.org:TW/107NKUS0320019 |
| Date | January 2019 |
| Creators | 劉守芬 |
| Contributors | Lee, Chien-Hui, 李建慧 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 62 |
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