| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 96 === The purpose of this paper is to investigate the relationship among crude oil price and macroeconomic variables. Based on Real Business Cycle Theory, the shock came from real supply side, like oil shocks, were a contributing factor of economic recessions. A nonlinear smooth transition error correction model is specified and estimated with an equilibrium error as a proxy for the transition variable.
The empirical results show that the GDP, government expenditure, money supply, interest rate and crude oil price are cointegrated with each other. The long-run equilibrium relationship among GDP, macroeconomic variables and crude oil price is stable with nonlinear adjustment. The evidences suggest that the ESTECM model is best for characterizing the behaviors.
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