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研究生:徐古憶
研究生(外文):Hsu, Ku-I
論文名稱:黃金和白銀間長期價格關係之研究
論文名稱(外文):The Studies On The Long-Term Relationship Between Gold And Silver Prices
指導教授:駱武昌駱武昌引用關係
指導教授(外文):Luo, Wu-chang
口試委員:賴素鈴謝明華
口試委員(外文):Lai, Sue-lingHsieh, Ming-hua
口試日期:2012-06-27
學位類別:碩士
校院名稱:中國文化大學
系所名稱:國際企業管理學系
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:2012
畢業學年度:100
語文別:中文
論文頁數:54
中文關鍵詞:黃金白銀共整合關係誤差修正模型聯立方程模型
外文關鍵詞:goldcointegrationerror correction modelsimultaneous equation model
相關次數:
  • 被引用被引用:2
  • 點閱點閱:279
  • 評分評分:
  • 下載下載:18
  • 收藏至我的研究室書目清單書目收藏:0
本研究首先利用單根檢定作定態檢定及以Johansen模型檢定共整合關係,進而以建構誤差修正模式進行巿場間交互作用的分析。從日資料的實證結果可以發現黃金、白銀長期下具有共整合關係兩者間具有長期均衡關係。誤差修正模型方面,黃金和白銀的短期價格受其前期價格之調整有顯著影響。就長期而言,黃金與白銀主要是黃金朝長期均衡關係在調整。而以聯立方程模型分析得知,原油價格對黃金、白銀價格,如同預期的有顯著的正向影響。美元指數則是存在顯著的反向關係。在通貨膨脹率方面雖然如預期如同石油價格有其正向關係,但並不顯著。
This paper analyses the long run relationship between gold and silver prices.In order to establish the existence of a long-run relationship we first establish the order of integration of the variables through the use the unit root test and cointegration methods. Further use error correction model which analysis to the interaction between the market to construct. The error correction model, gold and silver prices in the short term subject to pre-price adjustments have a significant effect. The long term, gold in the adjustment towards long-run equilibrium relationship.
Simultaneous equation model analysis showed that the oil price of gold and sil-ver prices have a significant positive impact. The dollar index is a significant reverse impact. In the inflation, as the price of oil has its positive impact, but not significantly.

中文摘要 ..................... iii
英文摘要 ..................... iv
誌謝辭  ..................... v
內容目錄 ..................... vi
表目錄  ..................... vii
圖目錄  ..................... viii


第一章  緒論................... 1
  第一節  研究背景和動機............ 1
  第二節  研究目的............... 1
第三節 研究流程及論文架構.......... 3


第二章  文獻探討................. 5
  第一節  黃金和白銀發展現況.......... 5
  第二節  黃金和相關變數相關文獻........ 19
  第三節  黃金和白銀研究之相關文獻....... 21

第三章  研究方法................. 23
  第一節  樣本與資料選取............ 23
  第二節  計量模型............... 26
第四章  實證結果與分析.............. 35
  第一節  敘述性統計.............. 35
  第二節  單根檢定............... 36
第三節  Johansen共整合分析.......... 38
第四節 誤差修正模型............. 39
第五節 聯立方程模型............. 43
第五章  結論................... 45
參考文獻 ..................... 47




一、中文部分
左莉莉(2007),黃金石油美元(G.O.D)互動關係之探討,中正大學企業管理研究所未出版之碩士論文,1-33。
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李莠苓(2010),應用Copula-GJR-GARCH模型於黃金期貨與白銀期貨之避險,淡江大學財務金融研究所未出版之碩士論文,12-21。
周志賢(1995),黃金和白銀的平價及價差交易:共整合與分數共整合分析,中興大學經濟學系未出版之碩士論文,11-36。
黃政仁(1995),貴金屬市場中黃金與白銀期貨間互動性及效率性之探討-根據每小時資料,成功大學會計學研究所未出版之碩士論文,17-21。
黃慧青(1996),貴金屬市場間整合性與效率性之探討-根據黃金、白銀與白金每小時期貨價格資料作分析,成功大學會計學研究所未出版之碩士論文,25-30。
楊奕農(2009),時間序列分析-經濟與財務上之應用(6版),台北:雙葉書廊
葉文立(2010),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研究所未出版之碩士論文,5-26。


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