臺灣博碩士論文加值系統

本研究使用單根檢定、共整合分析、VECM模型與Granger因果關係檢定，探究期貨商品價格與匯率間的關聯性。在期貨商品部份，選擇咖啡價格、小麥價格為農產品類的代表商品，並選擇黃金價格、原油價格為礦物類產品的代表商品。在匯率部份，則以澳幣、巴西幣、歐元、紐西蘭幣、南非幣作為匯率價格變數。
本研究的研究期間為2003年至2014年，而2008年時發生的次貸風暴，影響到全世界的經濟局勢。由實證結果發現，在2003年至2008年的時間區間內，可檢測出一些共整合關係存在，例如：咖啡價格與巴西幣匯率以及黃金價格與南非幣匯率，兩者間具有「商品貨幣」的現象。而在2009年至2014年時間區間內，則發現更多組的共整合關係存在，原因為次貸風暴發生之後，美國聯準會進行貨幣量化寬鬆政策，除了「商品貨幣」現象之外，市場上過多的貨幣供給也影響到期貨商品價格的變動。

The study investigates the relationships between the commodity prices and the exchange rates. The exchange rates of Australia, Brazil, New Zealand, South Africa and European which are this study concerned. Besides, coffee and wheat are chosen as the representative agricultural products of the commodity prices, gold and crude oil are chosen as the representative mineral products of the commodity prices as well. As the products we mentioned above are traded in the commodity market, the money flow runs through the trade balance and turns the exchange rates up and down. Unit root test, co-integration test and Granger Casualty test are applied in the study to exam the relationships.
From the period 2003 to 2014, subprime mortgage crisis happened in 2008. The result shows that some co-integration relationships are detected in the period from 2003 to 2008, such as coffee and Brazil Real (BRL), Gold and South Africa Rand (ZAR). This is so called the “commodity currencies” phenomenon. However, more co-integration relationships are detected in the period from 2009 to 2014. After the year 2008 (after the subprime mortgage crisis), the US FED made the unconventional monetary policy—Quantitative Easing. Therefore, not only the “commodity currencies” phenomenon effected the market, but also the excessive money supply effected the relationships between commodity prices and the exchange rates.

第一章 緒論................................................................................ 1
第一節 研究動機...................................................................... 1
第二節 研究目的與論文架構............................................................. 5
第二章 文獻回顧............................................................................ 7
第三章 研究方法與檢定步驟................................................................... 12
第一節 單根檢定..................................................................... 12
第二節 共整合檢定.................................................................... 14
第三節 向量自我迴歸模型(VAR)與誤差修正模型(VECM)....................................... 17
第四節 Granger 因果關係檢定........................................................... 19
第四章 實證分析........................................................................... 22
第一節 變數選取與資料處理............................................................. 22
第二節 單根檢定...................................................................... 28
第三節 共整合檢定與誤差修正模型......................................................... 32
第四節 Granger 因果關係檢定.......................................................... 63
第五節 小結.......................................................................... 68
第五章 結論................................................................................. 74
參考文獻..................................................................................... 78
附錄........................................................................................ 80

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