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X\nList of Figures ........................................................................................................................ X\nPart 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.......... 1\n1.1 Introduction................................................................................................................... 2\n1.2 Previous Studies............................................................................................................. 4\n1.3 Materials and Methods................................................................................................... 6\n1.3.1 Unit Root and Cointegration Test Method.............................................................. 6\n1.3.2 TVP-VAR Model...................................................................................................... 6\n1.3.3 Impulse Response Function.................................................................................... 10\n1.3.4 Data......................................................................................................................... 11\n1.4 Results.......................................................................................................................... 12\n1.4.1 Unit Root and Cointegration Tests........................................................................ 12\n1.4.2 MCMC Estimation Results..................................................................................... 13\n1.4.3 Results of the Impulse Response Analysis..............................................................16\n1.4.4 Pass-Through Rate Results..................................................................................... 20\n1.5 Discussions................................................................................................................... 21\n1.6 Conclusions.................................................................................................................. 22\nReferences................................................................................................................................ 23\nPart 2. The linkages among Chinese coal and international fossil fuel markets: Evidence from Recursive Johansen test ................................. 26\n2.1 Introduction................................................................................................................. 27\n2.2 Methods....................................................................................................................... 29\n2.3 data............................................................................................................................... 30\n2.4 Results.......................................................................................................................... 31\n2.4.1 Unit Root Test......................................................................................................... 31\n2.4.2 Cointegration tests............................................................................................ 31\n2.4.3 Recursive Johansen test.......................................................................................... 32\n2.5 Discussions................................................................................................................... 33\n2.6 Conclusions.................................................................................................................. 23\nNotes........................................................................................................................................ 34\nReferences................................................................................................................................ 34\nPart 3. Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets............ 37\n3.1 Introduction................................................................................................................. 38\n3.2 Previous Studies......................................................................................................... 40\n3.3 Materials and Methods................................................................................................ 41\n3.4 Results.......................................................................................................................... 44\n3.4.1 Recursive Cointegration......................................................................................... 44\n3.4.2 Johansen Cointegration.......................................................................................... 46\n3.4.3 Results of the Impact of both Crises on the Chinese and International Fossil Fuel Market.......................................................... 47\n3.5 Discussions................................................................................................................... 48\n3.6 Conclusions.................................................................................................................. 49\nReferences................................................................................................................................ 51\nPart 4. The relationship between fossil fuel market and financial market during the COVID-19 pandemic: Evidence from Bayesian DCC-MGARCH models............. 54\n4.1 Introduction................................................................................................................. 55\n4.2 Previous Studies........................................................................................................... 58\n4.3 Data ............................................................................................................................. 62\n4.4 Methods....................................................................................................................... 63\n4.4.1 DCC-MGARCH Models (step1) ...........................................................................64\n4.4.2 Bayesian estimation of DCC-MGARCH models (step1)......................................66\n4.4.2.1 Multivariate Skew Densities..........................................................................66\n4.4.3 Estimating the posterior distribution (step3) ......................................................... 67\n4.4.3.1 Prior and posterior Distributions................................................................... 67\n4.4.3.2 The performance of fitted Bayesian DCC-MGARCH................................ 68\n4.5 Results.......................................................................................................................... 69\n4.5.1 Descriptive summary of all prices and return series data......................................69\n4.5.2 Bayesian estimation of the DCC-MGARCH(1,1) model...................................... 70\n4.5.3 The time-varying conditional correlations............................................................74\n4.6 Discussions.................................................................................................................. 75\n4.7 Conclusions.................................................................................................................. 77\nReferences................................................................................................................................ 79\nDissertation Conclusions....................................................................................................... 83\nBibliography............................................................................................................................ 85", "subitem_description_type": "Other"}]}, "item_113_description_25": {"attribute_name": "注記", "attribute_value_mlt": [{"subitem_description": "指導教員 : 有賀健高", "subitem_description_type": "Other"}]}, "item_113_description_33": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"subitem_description": "text", "subitem_description_type": "Other"}]}, "item_113_description_34": {"attribute_name": "フォーマット", "attribute_value_mlt": [{"subitem_description": 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Time Series analyses on the Chinese and International Fossil Fuel Market : An Investigation From the Time-Varying Aspect.
https://doi.org/10.24561/00019771
https://doi.org/10.24561/00019771750e2551-c77c-40ce-9b84-0f88a67062ea
名前 / ファイル | ライセンス | アクション |
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GD0001422.pdf (3.4 MB)
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Item type | 学位論文 / Thesis or Dissertation(1) | |||||||||
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公開日 | 2023-01-13 | |||||||||
タイトル | ||||||||||
言語 | en | |||||||||
タイトル | Time Series analyses on the Chinese and International Fossil Fuel Market : An Investigation From the Time-Varying Aspect. | |||||||||
言語 | ||||||||||
言語 | eng | |||||||||
資源タイプ | ||||||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_db06 | |||||||||
資源タイプ | doctoral thesis | |||||||||
ID登録 | ||||||||||
ID登録 | 10.24561/00019771 | |||||||||
ID登録タイプ | JaLC | |||||||||
アクセス権 | ||||||||||
アクセス権 | open access | |||||||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
著者 |
トウ, チョウホウ
× トウ, チョウホウ
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著者 所属 | ||||||||||
埼玉大学大学院人文社会科学研究科(博士後期課程)経済経営専攻 | ||||||||||
著者 所属(別言語) | ||||||||||
Graduate School of Humanities and Social Sciences, Saitama University | ||||||||||
書誌 | ||||||||||
収録物名 | 博士論文(埼玉大学大学院人文社会科学研究科(博士後期課程)) | |||||||||
書誌情報 |
発行日 2022 |
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出版者名 | ||||||||||
出版者 | 埼玉大学大学院人文社会科学研究科 | |||||||||
出版者名(別言語) | ||||||||||
出版者 | Graduate School of Humanities and Social Sciences, Saitama University | |||||||||
形態 | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | ⅹ, 94p | |||||||||
学位授与番号 | ||||||||||
学位授与番号 | 甲第36号 | |||||||||
学位授与年月日 | ||||||||||
学位授与年月日 | 2022-03-24 | |||||||||
学位名 | ||||||||||
学位名 | 博士(経済学) | |||||||||
学位授与機関 | ||||||||||
学位授与機関識別子Scheme | kakenhi | |||||||||
学位授与機関識別子 | 12401 | |||||||||
学位授与機関名 | 埼玉大学 | |||||||||
目次 | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | Preface..................................................................................................................................... ii Acknowledgements................................................................................................................. vii Table of Contents .................................................................................................................. viii List of Tables .......................................................................................................................... X List of Figures ........................................................................................................................ X Part 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.......... 1 1.1 Introduction................................................................................................................... 2 1.2 Previous Studies............................................................................................................. 4 1.3 Materials and Methods................................................................................................... 6 1.3.1 Unit Root and Cointegration Test Method.............................................................. 6 1.3.2 TVP-VAR Model...................................................................................................... 6 1.3.3 Impulse Response Function.................................................................................... 10 1.3.4 Data......................................................................................................................... 11 1.4 Results.......................................................................................................................... 12 1.4.1 Unit Root and Cointegration Tests........................................................................ 12 1.4.2 MCMC Estimation Results..................................................................................... 13 1.4.3 Results of the Impulse Response Analysis..............................................................16 1.4.4 Pass-Through Rate Results..................................................................................... 20 1.5 Discussions................................................................................................................... 21 1.6 Conclusions.................................................................................................................. 22 References................................................................................................................................ 23 Part 2. The linkages among Chinese coal and international fossil fuel markets: Evidence from Recursive Johansen test ................................. 26 2.1 Introduction................................................................................................................. 27 2.2 Methods....................................................................................................................... 29 2.3 data............................................................................................................................... 30 2.4 Results.......................................................................................................................... 31 2.4.1 Unit Root Test......................................................................................................... 31 2.4.2 Cointegration tests............................................................................................ 31 2.4.3 Recursive Johansen test.......................................................................................... 32 2.5 Discussions................................................................................................................... 33 2.6 Conclusions.................................................................................................................. 23 Notes........................................................................................................................................ 34 References................................................................................................................................ 34 Part 3. Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets............ 37 3.1 Introduction................................................................................................................. 38 3.2 Previous Studies......................................................................................................... 40 3.3 Materials and Methods................................................................................................ 41 3.4 Results.......................................................................................................................... 44 3.4.1 Recursive Cointegration......................................................................................... 44 3.4.2 Johansen Cointegration.......................................................................................... 46 3.4.3 Results of the Impact of both Crises on the Chinese and International Fossil Fuel Market.......................................................... 47 3.5 Discussions................................................................................................................... 48 3.6 Conclusions.................................................................................................................. 49 References................................................................................................................................ 51 Part 4. The relationship between fossil fuel market and financial market during the COVID-19 pandemic: Evidence from Bayesian DCC-MGARCH models............. 54 4.1 Introduction................................................................................................................. 55 4.2 Previous Studies........................................................................................................... 58 4.3 Data ............................................................................................................................. 62 4.4 Methods....................................................................................................................... 63 4.4.1 DCC-MGARCH Models (step1) ...........................................................................64 4.4.2 Bayesian estimation of DCC-MGARCH models (step1)......................................66 4.4.2.1 Multivariate Skew Densities..........................................................................66 4.4.3 Estimating the posterior distribution (step3) ......................................................... 67 4.4.3.1 Prior and posterior Distributions................................................................... 67 4.4.3.2 The performance of fitted Bayesian DCC-MGARCH................................ 68 4.5 Results.......................................................................................................................... 69 4.5.1 Descriptive summary of all prices and return series data......................................69 4.5.2 Bayesian estimation of the DCC-MGARCH(1,1) model...................................... 70 4.5.3 The time-varying conditional correlations............................................................74 4.6 Discussions.................................................................................................................. 75 4.7 Conclusions.................................................................................................................. 77 References................................................................................................................................ 79 Dissertation Conclusions....................................................................................................... 83 Bibliography............................................................................................................................ 85 |
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注記 | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | 指導教員 : 有賀健高 | |||||||||
版 | ||||||||||
[出版社版] | ||||||||||
出版タイプ | ||||||||||
出版タイプ | VoR | |||||||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
資源タイプ | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | text | |||||||||
フォーマット | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | application/pdf | |||||||||
作成日 | ||||||||||
日付 | 2023-01-22 | |||||||||
日付タイプ | Created | |||||||||
アイテムID | ||||||||||
GD0001422 |