{"created":"2023-05-15T15:29:54.798730+00:00","id":19802,"links":{},"metadata":{"_buckets":{"deposit":"5a49c79d-a352-417c-a4ff-3b164f1f1875"},"_deposit":{"created_by":15,"id":"19802","owners":[15],"pid":{"revision_id":0,"type":"depid","value":"19802"},"status":"published"},"_oai":{"id":"oai:sucra.repo.nii.ac.jp:00019802","sets":["92:671:672:682:1036"]},"author_link":[],"control_number":"19802","item_113_biblio_info_9":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2022","bibliographicIssueDateType":"Issued"}}]},"item_113_date_35":{"attribute_name":"作成日","attribute_value_mlt":[{"subitem_date_issued_datetime":"2023-01-22","subitem_date_issued_type":"Created"}]},"item_113_date_granted_20":{"attribute_name":"学位授与年月日","attribute_value_mlt":[{"subitem_dategranted":"2022-03-24"}]},"item_113_degree_grantor_22":{"attribute_name":"学位授与機関","attribute_value_mlt":[{"subitem_degreegrantor":[{"subitem_degreegrantor_name":"埼玉大学"}],"subitem_degreegrantor_identifier":[{"subitem_degreegrantor_identifier_name":"12401","subitem_degreegrantor_identifier_scheme":"kakenhi"}]}]},"item_113_degree_name_21":{"attribute_name":"学位名","attribute_value_mlt":[{"subitem_degreename":"博士(経済学)"}]},"item_113_description_13":{"attribute_name":"形態","attribute_value_mlt":[{"subitem_description":"ⅹ, 94p","subitem_description_type":"Other"}]},"item_113_description_24":{"attribute_name":"目次","attribute_value_mlt":[{"subitem_description":"Preface..................................................................................................................................... ii Acknowledgements................................................................................................................. vii\nTable of Contents .................................................................................................................. viii\nList of Tables .......................................................................................................................... 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":"application/pdf","subitem_description_type":"Other"}]},"item_113_dissertation_number_19":{"attribute_name":"学位授与番号","attribute_value_mlt":[{"subitem_dissertationnumber":"甲第36号"}]},"item_113_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24561/00019771","subitem_identifier_reg_type":"JaLC"}]},"item_113_publisher_11":{"attribute_name":"出版者名","attribute_value_mlt":[{"subitem_publisher":"埼玉大学大学院人文社会科学研究科"}]},"item_113_publisher_12":{"attribute_name":"出版者名（別言語）","attribute_value_mlt":[{"subitem_publisher":"Graduate School of Humanities and Social Sciences, Saitama University"}]},"item_113_record_name_8":{"attribute_name":"書誌","attribute_value_mlt":[{"subitem_source_title":"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））"}]},"item_113_text_31":{"attribute_name":"版","attribute_value_mlt":[{"subitem_text_value":"[出版社版]"}]},"item_113_text_36":{"attribute_name":"アイテムID","attribute_value_mlt":[{"subitem_text_value":"GD0001422"}]},"item_113_text_4":{"attribute_name":"著者 所属","attribute_value_mlt":[{"subitem_text_value":"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"}]},"item_113_text_5":{"attribute_name":"著者 所属（別言語）","attribute_value_mlt":[{"subitem_text_value":"Graduate School of Humanities and Social Sciences, Saitama University"}]},"item_113_version_type_32":{"attribute_name":"出版タイプ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"open 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Aspect.","subitem_title_language":"en"}]},"item_type_id":"113","owner":"15","path":["1036"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2023-01-13"},"publish_date":"2023-01-13","publish_status":"0","recid":"19802","relation_version_is_last":true,"title":["Time Series analyses on the Chinese and International Fossil Fuel Market : An Investigation From the Time-Varying Aspect."],"weko_creator_id":"15","weko_shared_id":-1},"updated":"2024-01-22T05:18:24.182423+00:00"}