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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 |
|---|---|---|
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 | ||||||||||
| タイトル | Time Series analyses on the Chinese and International Fossil Fuel Market : An Investigation From the Time-Varying Aspect. | |||||||||
| 言語 | en | |||||||||
| 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 | ||||||||||
| 値 | 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） | ||||||||||
| 値 | 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 | ||||||||||
| 値 | [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 | ||||||||||
| 値 | GD0001422 | |||||||||
