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題名：多元結構變動下美元、金價與油價動態關係之研究
書刊名：朝陽商管評論
作者：謝文忠／饒凱斐／蔡維／陳芳質
作者(外文)：Hsieh, Wen-chung／Jao, Kai-fei／Tsai, Wei／Chen, Fang-chin
出版日期：2019
卷期：17:2
頁次：頁39-60
主題關鍵詞：時間序列分析；多元結構性變動；國際政經事件；短期投機價差；Time series methodologies；Multi-structural changes；Global political and economic events；Short-term speculation spreads
原始連結：連回原系統網址new window
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本文研究油價、金價與美元指數間的長短期動態關係，結果發現，金價、油價與美元指數三者皆為非定態序列，存在4個結構變動點。根據ARDL共整合檢定結果，在樣本全期間，三變數具共整合關係；在五個子期間，除第一子期間三變數間皆不具共整合關係外，在其他四個子期間三變數的共整合關係的變化，則視何者為依變數而定。根據Granger因果關係檢定結果，在樣本全期間只有美元指數領先金價；除第二子期間，金價與美元指數為雙向關係外，其他四個子期間各變數互有領先其他變數。本文建議為賺取短期投機價差，國際金融市場的投資人必須留意國際油價、金價與美元指數間之長短期互動關係外，尚須注意國際政經因素對這些國際金融商品可能的影響。
This paper investigates the long- and short-run dynamic relationship between oil price, gold price, and US dollar index. The results show that gold price, oil price, and Dollar index are all non-stationary series. There are four structural breaks during the whole sample period of these three commodities. By the ARDL co-integration test, the three variables have a co-integration relationship during the surveyed period; Except in the first sub-period where there is a co-integration relationship among the three variables, their co-integration relationships in the other four sub-periods depend on which one acts as the dependent variable. Furthermore, Granger causality results find that only Dollar index leads gold price during the entire period; except for the second sub-period where gold price and Dollar index have a bi-directional relationship, each variable Granger causes other variables in the other four sub-periods. This paper suggests that in order to earn short-term speculative spreads, investors in international financial markets pay attention to not only the long- and short-run interactions among the prices of these commodities but also the possible impacts caused by international political and economic events on them.
期刊論文
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研究報告
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學位論文
1.謝鎮州(2006)。股票、黃金與原油價格互動關系之研究--以台灣為例(碩士論文)。逢甲大學。  延伸查詢new window
2.吳雅華(2011)。原油期貨、黃金期貨、美元指數、利率與貝萊德世界黃金基金走勢之關聯性研究(碩士論文)。國立臺北大學。  延伸查詢new window
3.王允俊(2008)。匯率、金價與油價關係之研究(碩士論文)。國立高雄應用科技大學。  延伸查詢new window
4.余佳昇(2007)。油價、金價及英鎊兌美元匯率報酬之共移性與外溢效果(碩士論文)。中原大學。  延伸查詢new window
5.李文斌(2011)。黃金、原油與美元指數相關性之研究(碩士論文)。淡江大學。  延伸查詢new window
6.李冠賢(2012)。匯率、黃金與原油價格互動關係之研究--以台灣為例(碩士論文)。真理大學。  延伸查詢new window
7.張欣怡(2012)。波動率指數、美元指數與石油價格關聯性之研究(碩士論文)。中原大學。  延伸查詢new window
8.陳昱光(2010)。兩岸總體經濟對金價變動影響之研究(碩士論文)。中原大學。  延伸查詢new window
9.陳音怡(2012)。黃金、石油、美元指數、利率與S&P500股價指數期貨之互動關係(碩士論文)。國立中正大學。  延伸查詢new window
10.蔡忠勳(2016)。黃金、石油及美元長短期互動關係探討(碩士論文)。淡江大學。  延伸查詢new window
11.蕭建文(2009)。金融風暴前後之金價、油價、美元匯率與利率關聯性分析(碩士論文)。國立中正大學。  延伸查詢new window
圖書
1.Pesaran, M. H.、Pesaran, B.(1997)。Working with Microfit 4.0: interactive econometric analysis。Oxford University Press。  new window
 
 
 
 
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