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研究生:柯惠馨
研究生(外文):Hui-Hsin Ko
論文名稱:倉儲理論與貴重金屬價格波動性
論文名稱(外文):Theory of Storage and the Volatility of Precious Metals Prices
指導教授:林師模林師模引用關係
指導教授(外文):Shih-Mo Lin
學位類別:碩士
校院名稱:中原大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:66
中文關鍵詞:GARCH貴重金屬雙變量倉儲理論
外文關鍵詞:bivariate GARCH modelprecious metalsTheory of storage
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根據倉儲理論指出便利收益與存貨水平呈現負相關,此外當存貨水平高時,現貨價格與期貨價格之波動幅度相似,然而當存貨水平低時,現貨價格之波動幅度大於期貨價格之波動幅度。本研究沿用Fama and French (1988) 所採用之迴歸分析及Ng and Pirrong (1994) 所提出之雙變量的GARCH模型驗證倉儲理論假說。研究對象主要為2000年至2009年之黃金、白金與鈀金商品。由於商品存貨量之資料不易取得,因此沿用Fama and French及Ng and Pirrong所提出之利率調整後基差做為存貨的代理變數。最後,本研究利用向量誤差修正模型探討貴重金屬間之互動關係。
實證結果發現,不論在迴歸分析或是雙變量GARCH模型,貴重金屬大致不支持倉儲理論之假說。造成此結果的主要原因可分為: (1) 投資者將貴重金屬視為價值儲藏之商品,因此當需求/供給衝擊發生時,高的存貨水平可消除衝擊所產生之價格變動;(2) 倉儲成本在貴重金屬價值上的比例相對低。在探討貴重金屬間的互動關係上,黃金皆會顯著且正向影響白金與鈀金的價格,此外白金價格與鈀金價格亦會互相影響彼此間的價格。


The theory of storage states that the correlation between inventory and convenience is negative. The theory of storage also implies that spot prices have higher volatility than futures prices when inventory is low, but spot and futures prices have similar volatility when inventory is high. In this study, we use regression and bivariate GARCH model suggested by Fama and French (1988) and Ng and Pirrong (1994) to test the theory of storage. The sample of the study includes gold, platinum and palladium futures and spot prices between 2000 and 2009. Because inventory data of the above-mentioned commodities are difficult to obtain, we used interest-storage-adjusted spread as a proxy variable for inventory to test the aforementioned implication for precious metals. Finally, we used Vector Error Correction Model (VECM) to analyze the price relationship between gold, platinum and palladium.
The results show that the pricing behavior of precious metals is not consistent with the theory of storage in both regression and bivariate GARCH runs. The reason might be attributed to that investors hold large inventories of precious metal as a store of value and storage costs for the precious metals are low relative to their values. Moreover, gold prices have significant and positive influence on platinum and palladium prices, while platinum and palladium prices also interact with each other.


目錄
中文摘要 ………………………………………………I
英文摘要…………………………………………………I
誌謝 …………………………………………………III
圖表目錄 ……………………………………………V
第壹章 緒論 ……………………………………………1
第一節 研究背景與動機 …………………………1
第二節 研究目的與架構 …………………………3
第三節 研究流程 …………………………………5
第貳章 文獻回顧 …………………………………7
第一節 倉儲理論(The theory of storage)……7
第二節 貴重金屬價格間的關係 ………………11
第參章 實證方法 …………………………………12
第一節 單根檢定 ………………………………12
第二節 診斷性檢定 ………………………………15
第三節 共整合檢定 ………………………………16
第四節 向量誤差修正模型 ……………………18
第五節 持有成本模式與倉儲理論 ………………18
第六節 雙變量GARCH模型 ………………………20
第肆章 實證結果分析 ………………………………25
第一節 資料來源與處理 ………………………25
第二節 貴重金屬現貨與期貨契約介紹…………26
第三節 敘述統計與檢定 ………………………27
第四節 驗證倉儲理論假說之分析 ……………37
第五節 貴重金屬間之關係 ……………………47
第伍章 結論與建議 …………………………………51
參考文獻 ……………………………………………53
附錄 ……………………………………………55
圖表目錄
圖1.1 本研究變數間之互動架構................4
圖1.2 研究流程圖 …………………………………6
圖4.1 各變數之衝擊反應影響圖形.............50
表4-1 3月期之各期貨變數之基本統計分析………28
表4-2 6月期之各期貨變數之基本統計分析………29
表4-3 12月期之各期貨變數之基本統計分析…… 29
表4-4 3月期之各現貨變數之基本統計分析………30
表4-5 6月期之各現貨變數之基本統計分析………30
表4-6 12月期之各現貨變數之基本統計分析…… 31
表4-7 期貨報酬變數之單根檢定………………… 31
表4-8 現貨報酬變數之單根檢定………………… 32
表4-9 黃金之自我相關係數……………………… 33
表4-10 白金之自我相關係數……………………… 34
表4-11 鈀金之自我相關係數……………………… 35
表4-12 各變數之序列相關檢定…………………… 36
表4-13 每日利率調整後之基差之標準差………… 37
表4-14 每日期貨價格變動之標準差對每日現貨價格變動
之標準差的比率 ……………………………39
表4-15 期貨報酬對現貨報酬之迴歸分析………… 41
表4-16 期貨報酬與現貨報酬之變異數分析……… 42
表4-17 各變數之期貨、現貨報酬與調整價差平方之相關
性……………………………….......... 43
表4-18 雙變量之CCC模型估計黃金之期貨與現貨報酬結
果...................................45
表4-19 驗證Samuelson 假說之結果……………… 46
表4-20 各變數現貨之單根檢定…………………… 47
表4-21 Johansen 共整合檢定………………………47
表4-22 誤差修正模型檢定………………………… 49


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