The Impacts of Disaggregated Energy Consumption and Price Shocks on Financial Markets
|關鍵字:||分類能源消費;油價衝擊;門檻共整;兩狀態誤差修正模型;衝擊反應分析;變異數分解;非對稱性;Disaggregated Energy Consumption;Oil Price Shocks;Threshold Co-integration;Two-regime Error Correction Model;Impulse Response Analysis;Variance Decomposition;Asymmetry|
The dissertation considers the time series model with an asymmetric framework to investigate two energy issues. Firstly, energy consumption growth is much higher than economic growth for Taiwan in recent years, worsening its energy efficiency. It reveals that consuming more energy cannot effectively enhance domestic output. Do there still exist a long-run co-integrating relationship as energy-output behaves a decoupling phenomenon? We provide a solid explanation by examining the equilibrium relationship between disaggregated energy consumption and GDP with the threshold co-integration test. The empirical results indicate that there is asymmetric co-integration relationship between disaggregated energy consumption and GDP, except for oil consumption nexus. The two-regime vector error-correction models show that the adjustment process of energy consumption toward equilibrium is highly persistent when an appropriately threshold is reached. There is mean-reverting behavior when the threshold is reached, making aggregated and disaggregated energy consumptions grow faster than GDP in Taiwan. Based on these results, there would progressively get into the insight to the possibility of asymmetric effects, and policy-makers as a result may be interested in identifying the asymmetric expected mechanisms of energy dependencies of economic growth as concerning future policy actions. Policy-makers should also establish an effective energy demand side management (EDSM) to improve energy efficiency. Secondly, since the global energy crises of the 1970s and their effects on the world economy, the impact of an oil price change and its shock on economic activities have been a focus of research over the past three decades. So far, few studies explore the relationship between oil price and stock market, particularly in the impacts of oil shocks on equity returns. In order to address this issue, we incorporate stock price, oil price, industrial production and interest rate into a multivariate system, highlighting the transmission channels of oil price shocks on six developed and developing stock markets. The asymmetric effects are detected when the oil price changes separated into decrease and increase regimes. The empirical results show that oil price shock plays a significant role in explaining adjustments in stock market returns. Moreover, oil price shocks lead to initial an adverse effect on stock returns for Canada, France, and Taiwan. However, the magnitude of these effects proves small. When the asymmetric effects exist, the impulse response analysis in Korea indicates that an oil price shock will decrease the stock price changes under oil price changes decrease regime, while stimulate the stock returns as oil price changes increase. Hence, institutional investors should promptly re-adjust their global portfolio flowing to those stock markets with low inflation and positive returns when oil prices strikingly increasing that can prevent harming their performance.
|Appears in Collections:||Thesis|
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