臺灣博碩士論文加值系統

當前國際金融市場關於石油、黃金的熱門話題皆集中於美元，當FED 的資金利率高於其他國家時，將使得美元升值而打壓國際黃金價格，而經濟復甦又抬高國際原油價格，最終可能使的國際原油價格與國際黃金價格呈反向走勢。本研究採用門檻誤差修正模型探究利率、美元與黃金價格及原油價格之長短期互動關係，使用聯邦準備理事會資金利率、交易加權美元指數、紐約交易黃金價格及西德州中級原油價格進行分析，實證結果發現在短期，黃金價格與原油價格相互為正向影響、利率負向影響下期黃金價格且正向影響下期原油價格。推測當FED 調降利率時，市場上的投資者將把此訊息解讀為當前或未來景氣將衰退的訊號，在預期美元可能貶值且低利率使的資金很多的情況，投機者及避險者將會於市場中買入黃金商品。且認為未來對於原油的需求降低了，使得原油價格亦下跌的結果。而在長期，有利率到美元、美元到國際原油價格的關係，利率反應經濟基本規律，當FED 調低利率欲提升經濟，影響市場上對於未來原油需求的預期下，將使得原油價格發生變動。另外利率到黃金價格之價格傳遞關係，當利率調降影響投資人對未來美元貶值的預期，為了保值或投機目的，將資金移到黃金市場中。最後國際黃金價格與國際原油價格對於利率有回饋效果，臆測當原油價格上漲到一定程度時，將引發預期通貨膨脹，此時FED 為了使過熱的景氣降溫，可能採行緊縮的貨幣政策，即調高利率以抑制由於油價上漲而造成的通貨膨脹，而FED 也認為商品市場的走勢可以協助政策的擬定。

The present international financial market all concentrates on U.S. dollar about the gold and oil, when the FED funds rate are higher than the other countries, will make U.S. dollar appreciate and come as a hard blow at the international price of gold，and the economic recovery redounds the international crude oil price again，International crude oil price and international price of gold that may finally make are the reverse tendency. This research adopt Threshold Error-Correction Model(TECM) to investigate the dynamics transmission effects among the interest rate, U.S. Dollar, gold price and crude oil price, use the data of Federal Funds Rate, trade weighting U.S. Dollar Index, Price of Gold of New York trade and West Intermediate Crude Oil Price to analyze, The empirical result indicated in a short time, gold price and crude oil price are positive influence each other, Federal funds rate will influence gold price in the next period (negative), Federal funds rate will influence crude oil price in the next period (positive). As FED adjusts the FF rate of dropping，the investor of market for this signals will to interpret that declines prosperousness in the future, expecting U.S. dollar devalues and the low interest rate makes the fund numerous, the speculator and hedger will hold the gold in the market. And think the demand for the crude oil has been reduced in the future, result causing the crude oil price to drop too. In the long-term, the price transmission from Federal Funds rate to the dollar index, and dollar index to crude oil price, the interest rate reflects the economic basic law, as FED lowers the Federal funds rate to want to raise economy, influence it to under the expectancy of the crude oil demand in the future on the market, will make the crude oil price change. The price transmission from Federal Funds rate to gold price, when Federal funds rate declined, it influences investor''s expectancy that U.S. dollar will depreciate in the future, in order to preserve value or speculate purpose, will move the funds to the gold market. International price of gold and international crude oil price have result of feedback to the Federal Funds rate finally, when the crude oil price goes up to a certain degree, will initiate the anticipated inflation, FED may adopt the tighten monetary policy , enhance the Federal funds rate for dampening the inflation that is caused by rise of the oil price, and the FED thinks the tendency of the commodity market can assist the drafting of the policy。

目 錄
中文摘要…………………………………………………………………………i
英文摘要………………………………………………………………………ii
誌謝……………………………………………………………………………iii
目錄……………………………………………………………………………iv
表目錄…………………………………………………………………………v
圖目錄…………………………………………………………………………v
第一章 緒論…………………………………………………………………1
第一節 研究背景…………………………………………………………1
第二節 研究動機與目的…………………………………………………3
第三節 本文架構…………………………………………………………5
第二章 文獻探討……………………………………………………………6
第一節 美元之間關聯性之文獻回顧……………………………………6
第二節 原油價格與黃金價格之文獻回顧………………………………9
第三節 利率與美元文獻回顧……………………………………………10
第四節 利率與原油價格及黃金價格之文獻回顧………………………11
第三章 研究方法……………………………………………………………13
第一節 非線性單根檢定（Non-linear unit root test）……………………13
第二節 EG-ES 門檻共整合檢定…………………………………………14
第三節 Granger因果關係檢定基於門檻誤差修正模型(TECM) ………16
第四章 實證結果與分析……………………………………………………18
第一節 變數定義與資料來源……………………………………………18
第二節 資料期間及概述…………………………………………………19
第三節 單根檢定…………………………………………………………23
第四節 門檻共整合檢定…………………………………………………24
第五節 門檻誤差修正模型基礎之Granger因果關係檢定………………26
第五章 結論與建議……………………………………………………………41
第一節 結論………………………………………………………………41
第二節 研究貢獻…………………………………………………………46
第二節 研究建議…………………………………………………………46
參考文獻………………………………………………………………………46

表 目 錄
表4-1 變數名稱、代號及其定義說明………………………………………18
表4-2 利率、美元、黃金價格與原油價格之敘述統計量-原始資料……19
表4-3 利率、美元、黃金價格與原油價格之敘述統計量-取對數資料…20
表4-4 KSS(2003)單根檢定法………………………………………………23
表4-5 利率、美元、黃金價格與原油價格之TAR與M-TAR之選擇準則24
表4-6 以Chan(1993)估計的門檻值…………………………………………25
表4-7 利率、美元、黃金價格與原油價格變數間之門檻共整合檢定
(Enders and Granger, 1998) …………………………………………25
表4-8 黃金價格與美元及原油價格與美元之誤差修正模型之估計………29
表4-9 原油價格與黃金價格之誤差修正模型之估計………………………33
表4-10 美元與利率之誤差修正模型之估計…………………………………36
表4-11 利率與原油價格及黃金價格之誤差修正模型之估計………………40


圖 目 錄
圖4-1 各變數原始資料之趨勢……………………………………………………22

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