博士論文
Time Series analyses on the Chinese and International Fossil Fuel Market : An Investigation From the Time-Varying Aspect.
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DOI[10.24561/00019771]のデータに遷移します
Time Series analyses on the Chinese and International Fossil Fuel Market : An Investigation From the Time-Varying Aspect.
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- info:ndljp/pid/12693871
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- ⅹ, 94pPreface..................................................................................................................................... ii ...
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デジタル
- 資料種別
- 博士論文
- 著者・編者
- トウ, チョウホウ
- 著者標目
- 出版事項
- 出版年月日等
- 2022
- 出版年（W3CDTF）
- 2022
- 授与機関名
- 埼玉大学
- 授与年月日
- 2022-03-24
- 授与年月日（W3CDTF）
- 2022-03-24
- 報告番号
- 甲第36号
- 学位
- 博士(経済学)
- 本文の言語コード
- eng
- 対象利用者
- 一般
- 一般注記
- ⅹ, 94pPreface..................................................................................................................................... ii Acknowledgements................................................................................................................. viiTable of Contents .................................................................................................................. viiiList of Tables .......................................................................................................................... XList of Figures ........................................................................................................................ XPart 1. A Study on the Pass-Through Rate of the Exchange Rate on the Liquid Natural Gas (LNG) Import Price in China: Evidence from TVP-VAR model.......... 11.1 Introduction................................................................................................................... 21.2 Previous Studies............................................................................................................. 41.3 Materials and Methods................................................................................................... 61.3.1 Unit Root and Cointegration Test Method.............................................................. 61.3.2 TVP-VAR Model...................................................................................................... 61.3.3 Impulse Response Function.................................................................................... 101.3.4 Data......................................................................................................................... 111.4 Results.......................................................................................................................... 121.4.1 Unit Root and Cointegration Tests........................................................................ 121.4.2 MCMC Estimation Results..................................................................................... 131.4.3 Results of the Impulse Response Analysis..............................................................161.4.4 Pass-Through Rate Results..................................................................................... 201.5 Discussions................................................................................................................... 211.6 Conclusions.................................................................................................................. 22References................................................................................................................................ 23Part 2. The linkages among Chinese coal and international fossil fuel markets: Evidence from Recursive Johansen test ................................. 262.1 Introduction................................................................................................................. 272.2 Methods....................................................................................................................... 292.3 data............................................................................................................................... 302.4 Results.......................................................................................................................... 312.4.1 Unit Root Test......................................................................................................... 312.4.2 Cointegration tests............................................................................................ 312.4.3 Recursive Johansen test.......................................................................................... 322.5 Discussions................................................................................................................... 332.6 Conclusions.................................................................................................................. 23Notes........................................................................................................................................ 34References................................................................................................................................ 34Part 3. Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets............ 373.1 Introduction................................................................................................................. 383.2 Previous Studies......................................................................................................... 403.3 Materials and Methods................................................................................................ 413.4 Results.......................................................................................................................... 443.4.1 Recursive Cointegration......................................................................................... 443.4.2 Johansen Cointegration.......................................................................................... 463.4.3 Results of the Impact of both Crises on the Chinese and International Fossil Fuel Market.......................................................... 473.5 Discussions................................................................................................................... 483.6 Conclusions.................................................................................................................. 49References................................................................................................................................ 51Part 4. The relationship between fossil fuel market and financial market during the COVID-19 pandemic: Evidence from Bayesian DCC-MGARCH models............. 544.1 Introduction................................................................................................................. 554.2 Previous Studies........................................................................................................... 584.3 Data ............................................................................................................................. 624.4 Methods....................................................................................................................... 634.4.1 DCC-MGARCH Models (step1) ...........................................................................644.4.2 Bayesian estimation of DCC-MGARCH models (step1)......................................664.4.2.1 Multivariate Skew Densities..........................................................................664.4.3 Estimating the posterior distribution (step3) ......................................................... 674.4.3.1 Prior and posterior Distributions................................................................... 674.4.3.2 The performance of fitted Bayesian DCC-MGARCH................................ 684.5 Results.......................................................................................................................... 694.5.1 Descriptive summary of all prices and return series data......................................694.5.2 Bayesian estimation of the DCC-MGARCH(1,1) model...................................... 704.5.3 The time-varying conditional correlations............................................................744.6 Discussions.................................................................................................................. 754.7 Conclusions.................................................................................................................. 77References................................................................................................................................ 79Dissertation Conclusions....................................................................................................... 83Bibliography............................................................................................................................ 85指導教員 : 有賀健高textapplication/pdf
- DOI
- 10.24561/00019771
- 国立国会図書館永続的識別子
- info:ndljp/pid/12693871
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