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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-chungJao, Kai-feiTsai, WeiChen, 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 methodologiesMulti-structural changesGlobal political and economic eventsShort-term speculation spreads
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:5
  • 點閱點閱:6
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.
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圖書
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