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研究生:吳仁慧
研究生(外文):Jen-Hui Wu
論文名稱:黃金、原油價格與匯率關聯性之研究
論文名稱(外文):The Relationships between Gold Prices, Oil Prices, and Exchange Rates
指導教授:雷立芬雷立芬引用關係
指導教授(外文):Li-Fen Lei
口試委員:曹添旺劉鋼
口試日期:2011-07-21
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:農業經濟學研究所
學門:農業科學學門
學類:農業經濟及推廣學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:70
中文關鍵詞:黃金價格原油價格匯率誤差修正模型Granger因果關係
外文關鍵詞:gold priceoil priceexchange ratecointegrationVECMGranger casualty test
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  • 被引用被引用:1
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  • 收藏至我的研究室書目清單書目收藏:1
本研究選擇澳洲、巴西、俄羅斯、南非等四國,歸類為「資源豐富國家」,另將日本、泰國歸類為「資源缺乏國家」,並使用單根檢定、共整合分析、VECM模型與Granger因果關係檢定,探究匯率與黃金價格或原油價格的相關性。
由實證之結果得知,在資源豐富國家組中的幾個國家其匯率與黃金價格或原油價格間確實存在有共整合關係,但前提是必須要將時間序列資料扣除重大國際金融危機干擾的區間;若是使用包含國際金融危機影響期間的長時間序列資料,則共整合關係反而不顯著。然而在Granger因果關係檢定部分,不論是「資源豐富國家」或是「資源缺乏國家」組別中的國家;亦不論是哪一類型的時間序列資料,某些國家的匯率價格與黃金價格或原油價格間具有Granger因果關係,但也有一些國家是呈現無Granger因果關係之相關性。


The study investigates the relationships between the gold prices (or the oil prices) and the exchange rates. Australia, Brazil, Russia, South Africa are defined as the “resources abounded country, “ which export gold mine or crude oil to the world, while Japan, Thailand are defined as the “resources deficient country, ” which with less natural resources such as gold mine or crude oil. Unit root test, cointegration test and Granger casualty test are applied in this study to exam the relationships.
The result shows that the worldwide finical crisis such as the September 11 attacks and the subprime mortgage crisis, these incidents would destroy the cointegration relationships between the gold prices (or the oil prices) and the exchange rates. Without these two incidents, that is the time period from April, 2002 to June, 2008, the cointegration relationships are presented in the some countries of the “resources abounded country”. However, the Granger casualty relationships between the variables are founded no matter these two crisis are included or excluded in the time series intervals.


頁次
口試委員會審定書.........................................I
誌謝....................................................II
中文摘要 ..............................................III
Abstract................................................IV
表目錄..................................................VI
圖目錄..................................................VII
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...........................................8
第一節 與黃金價格相關之文獻.........................8
第二節 與原油價格相關之文獻........................11
第三章 研究方法與檢定步驟................................14
第一節 單根檢定....................................14
第二節 共整合檢定..................................16
第三節 向量自我迴歸模型(VAR)與誤差修正模型(VECM)...19
第四節 Granger 因果關係檢定........................21
第四章 實證結果與分析....................................24
第一節 資料選取與處裡..............................24
第二節 共整合檢定與誤差修正模型....................32
第三節 Granger 因果關係檢定........................49
第四節 小結........................................61
第五章 結論..............................................66
參考文獻.................................................69


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