臺灣博碩士論文加值系統

本文旨在研究油價、金價與美元指數三者之間的動態關係，研究期間為1995年1月04日至2016年11月30日止，進行相關之單根檢定、共整合檢定、結構性變動、因果關係、向量自我迴歸及衝擊反應分析。研究結果發現，由ADF與KPSS單根檢定結果得知，油價、金價及美元指數三個變數皆為非定態，而在一階差分後三個變數皆為定態。由結構變動檢定結果得知，三個變數皆有五個時間變動點，並與當時發生之國際政經事件具有一定程度的關聯性，此可提供國際金融市場的投資人在短期投資決策上的參考。由Johansen 共整合檢定結果得知，金價、油價與美元指數三者之間不具共整合關係，也就是三者不具長期均衡共移關係。由VAR 模型檢定結果得知，三者間以美元指數較具獨立，其受影響程度最低，次為油價，金價最易受到影響。由Granger 因果關係檢定結果得知，油價與金價彼此具有雙向回饋關係，美元指數單向領先金價且不受其他兩變數的影響，顯示當油價上漲，金價也會上漲，但美元指數下跌反而會導致金價上漲。由衝擊反應分析結果得知，不論是油價、金價與美元指數的波動，或是對彼此間的衝擊皆為短期的影響效果。

This study investigates the dynamic relationships among crude oil, gold and US dollar with multi-structural changes for the observation period running from January 4, 1995 through November 30, 2016 utilizing traditional time series approaches. Some interesting findings are shown below. First, the three surveyed variables in this study all exhibit unit roots, I(1) using ADF and KPSS tests, but removing this problem after first-differencing. Second, for the entire period, there are five structural breaks in the three variables at which are almost corresponding to relevantly crucial global political & economic events, thus providing international investors for suggestion of decision making. Third, the empirical result shows that there are no long-run co-movement equilibrium conducting the Johansen cointegration test. Fourth, among the three variables, they are affected by one lagged period values themselves in the degree in ascending order: the US dollar, crude oil price, and gold price. Fifth, the finding results in Granger casualty test reveal that there exists a two-way feedback between crude oil price and gold price, and that the US dollar Granger causes gold price but with no Granger lead-lag relationships on the other two variables. Finally, from impulse response analysis, only short-run effects among the three variables and those each other are realized.

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 5
第三節 研究架構 10
第二章 文獻回顧 12
第一節 黃金與原油關聯性之研究 12
第二節 黃金與美元指數關聯性之研究 16
第三節 原油與美元指數關聯性之研究 19
第三章 研究方法 22
第一節 單根檢定 22
第二節 結構性變動檢定 24
第三節 最適落後期數之選取 30
第四節 Johansen共整合檢定 31
第五節 向量自我迴歸模型 33
第六節 Granger因果關係檢定 34
第七節 衝擊反應 36
第四章 實證結果與分析 38
第一節 資料來源及基本分析 38
第二節 單根檢定 41
第三節 結構性變動分析 43
第四節 最適落期的選取 50
第五節 Johansen共整合分析 51
第六節 向量自我迴歸分析 52
第七節 Granger因果關係分析 54
第八節 衝擊反應分析 55
第五章 結論與建議 61
第一節 結論 61
第二節 建議 62
參考文獻 63

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