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題 名 | 應用馬可夫轉換模型分析景氣循環與原油價格之關係 |
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作 者 | 白裕成; 黃韻勳; 吳榮華; | 書刊名 | 能源季刊 |
卷 期 | 36:3 民95.07 |
頁 次 | 頁2-17 |
分類號 | 457.1 |
關鍵詞 | 油價-GDP價格彈性; 馬可夫轉換模型; 馬可夫鍊; Oil price-GDP elasticity; Markov-switching model; Markov chain; |
語 文 | 中文(Chinese) |
中文摘要 | 石油價格體經濾存在互動關係,價大富波動會對經濟產生影響(如GDP減少、物價上漲)。而建置石油安全存量以避免GDP之損失可視為石油安全存量之直接效益,此可藉由採行緊急時期釋油作業等方法達成。 石油安全存量之直接效益,可由油價-GDP之價格彈性值估計之。本文採用馬可夫轉換模型(Markov-switching model)估計油價-GDP之價格彈性值及其落後期數,並利用馬可夫鍊(Markov Chain)運作的狀態變數來掌控不同狀態間之轉換,以考量經濾體於觀察期間可能之結構變化,最後將此模型應用於原油安全存量直接效益估算。 |
英文摘要 | Oil supply disruptions can adversely affect the economies. It could be responded by a wide array of measures, including information sharing, demand restraint, fuel switching, surge production and emergency oil stocks. Among these measures, oil stocks could be the most effective means for restoring the calm in the oil market. The direct economic benefit of oil stocks is the avoided GDP losses due to the lower oil prices resulting from drawdown of oil stock release during oil emergencies. The foundation for estimating the economic benefits of oil stocks is the quantitative relationship between oil price and the macro-economy known as oil price-GDP elasticity. This paper applies Markov-switching model to estimate oil price-GDP elasticity. To control the transfer between different states in order to take structural changes into account, the Markov chain approach is incorporated. Finally, the direct economic benefit of oil stocks is estimated by the model. |
本系統中英文摘要資訊取自各篇刊載內容。