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研究生:李欣宜
研究生(外文):Shin-Yi Lee
論文名稱:金價、油價、通貨膨脹與貨幣供給量之關聯性分析
論文名稱(外文):A Study on the Relationship of Gold Price, Oil Price, Inflation and Money Supply
指導教授:李建慧李建慧引用關係
指導教授(外文):Chien-Hui Lee
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:國際企業系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:101
畢業學年度:100
語文別:中文
論文頁數:62
中文關鍵詞:金價油價通貨膨脹貨幣供給量次貸風暴
外文關鍵詞:Gold priceOil priceInflationMoney Supply
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本研究以1991年2月至2012年2月之紐約黃金現貨、西德州原油、美國通貨膨脹及貨幣供給量為研究,並以2007年美國次級房貸風暴為分界點,以時間序列方法如共整合檢定、因果關係檢定等進行實證分析,探討全期間、次貸風暴前後各變數間之互動關係。
研究發現,四項變數之間於一階差分後不論於任一期間皆為恆定之序列,且具有長期均衡關係。而因果關係檢定中發現,全期間及次貸風暴前因果關係檢定結果皆相同,即油價、通貨膨脹單向領先金價;通貨膨脹單向領先貨幣供給量;貨幣供給量單向領先油價;油價與通貨膨脹具雙向回饋關係;但在次貸風暴後,僅通貨膨脹對油價及貨幣供給量之間具有單向領先關係及貨幣供給量對油價具有單向領先關係。在衝擊反應分析結果部分,不論於任一期間,所有變數發生自發性干擾時,對自身之衝擊反應皆為最大,且呈現持續性正向效果;而在誤差變異數分解部分,亦同樣由自身所解釋之比例最大,並以觀察油價最能達到預測其他變數未來之走勢方向。最後本研究發現次貸風暴後金價較全期間及次貸風暴前更具獨立性,不易受其他變數之影響,可做為資金之安全避風港。
The major purpose of this study is to explore the interactive relationships among gold price, oil price, inflation and money supply based on the time series data from Feb. 1991 to Feb. 2012 as the sample. The Vector Error Correction Model (VECM) is carried out to empirically analyze the effects. The results demonstrate that (1)all the four variables, gold price, oil price, inflation and money supply, have a cointergrating relationship, indicating the existence of a long-term equilibrium relationship among these four variables.(2)From the Granger Causality Test, several findings stand out. First, the uni-directional causality running from the inflation and oil price to gold price is found. Second, inflation and oil price have bi-directional causality. Third, inflation and money supply have a uni-directional causality. Finally, money supply and oil price have a uni-directional causality.(3)In general, the study shows that the relationships among gold price, oil price, inflation and money supply have changed due to Subprime Mortgage Storm in 2007.
目 錄
中文摘要 ------------------------------------------------------- i
Abstract------------------------------------------------------- ii
誌謝 ------------------------------------------------------- iii
目錄 ------------------------------------------------------- iv
表目錄 ------------------------------------------------------- v
圖目錄 ------------------------------------------------------- vi
第一章 緒論---------------------------------------------------- 1
第一節 研究背景與動機------------------------------------------ 1
第二節 研究目的----------------------------------------------- 4
第三節 研究架構與流程------------------------------------------ 4
第二章 文獻回顧------------------------------------------------- 7
第一節 國外文獻----------------------------------------------- 7
第二節 國內文獻----------------------------------------------- 9
第三章 研究方法------------------------------------------------- 16
第一節 單根檢定------------------------------------------------ 16
第二節 最適落後期之選擇------------------------------------------ 19
第三節 共整合檢定----------------------------------------------- 20
第四節 向量誤差修正模型------------------------------------------ 22
第五節 因果關係檢定--------------------------------------------- 23
第六節 衝擊反應及誤差變異數分解----------------------------------- 24
第四章 實證結果與分析-------------------------------------------- 25
第一節 資料來源與敘述性統計------------------------------------- 25
第二節 單根檢定結果-------------------------------------------- 28
第三節 最適落後期之選擇結果------------------------------------- 30
第四節 共整合檢定結果------------------------------------------- 32
第五節 向量誤差修正模型估計結果----------------------------------- 35
第六節 因果關係檢定結果----------------------------------------- 43
第七節 衝擊反應結果-------------------------------------------- 48
第八節 誤差變異數分解結果--------------------------------------- 52
第五章 結論與建議----------------------------------------------- 56
第一節 研究結論----------------------------------------------- 56
第二節 研究建議----------------------------------------------- 56
參考文獻 ------------------------------------------------------- 58
國內文獻 ------------------------------------------------------59
國外文獻 ------------------------------------------------------60
中文部分
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左莉莉(2008),黃金石油美元(G.O.D)互動關係之探討,國立中正大學企業管理所碩士論文。
李映潔(2007),影響黃金價格因素其隱定性之研究,國立成功大學國際企業研究所碩士論文。
沈于平(2008),黃金價格影響因子之探討,長庚大學企業管理研究所碩士論文。
施妤佩(2011),黃金價格變動與實質經濟關係之探討,朝陽科技大學財務金融系碩士論文。
洪誌良(2011),黃金與總體經濟因子之期貨關聯性-美元、CRB商品和公債,東吳大學經濟學系碩士論文。
高偉婷(2011),原油、美元指數、消費者物價指數與黃金之波動外溢效果探討,國立臺北商業技術學院財務金融研究所碩士論文。
彭國益(2011),黃金價格的信息與貨幣政策,國立暨南國際大學經濟學系碩士論文。
曾嘉郁(2007),油價與各國之長期物價關聯性分析,銘傳大學經濟學系碩士論文。
葉文立(2011),道瓊工業指數、美元指數、黃金、石油相關性之研究,雲林科技大學財務金融系碩士論文。
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英文部分
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Ho, W.R.J., Y.C.Wang and G.J.Liou.,(2010), “The Interactive Relationship Among international Gold indices, Gold Futures and the overall economy, ” African Journal of Business Management, 4, 9, 1903-1915.
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Johansen, S., and K.Juselius., (1990), “Maximum Likehood Estimation and Inference on Cointegration:With Applications to the Demand for Money, ” Oxford Bulletin of Economics and Statistics, 52, 169-210.
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Tully, E.and.Lucey, B.M., (2007), “Could Gold Serve as an Exchange Rate Hedge in Japan, ” Inzinerine Ekonomika-Engineering Economics, 21, 2, 160.
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