以 Diebold 和 Yilmaz 的方法衡量印尼的 金融市場和商品市場的網絡關聯性

Connectedness Between Financial Assets and Commodities in Indonesia by Using Diebold and Yilmaz’s Method

彭昀萱(AGATHA NATHANIA SUSANTO)

指導教授 ： 牟萬馨

中原大學/商學院/國際商學碩士學位學程/碩士(2023年)

https://doi.org/10.6840/cycu202301119

摘要

本論文探討印尼股票，政府債券，貴金屬和農產品之間的報酬率溢出效應。 Diebold 和 Yilmaz 的方法用於評估不同資產之間的靜態和動態方向(To 和 From)溢出，這對擴 散分析(contagion analysis)和風險評估(risk assessment)是重要的。 本研究發現印尼的黃 金市場為溢出效應的傳遞者。 此外，本研究表明，美國和印尼的貨幣政策，印尼經濟 政策不確定性，COVID-19 新冠疫情和俄烏戰爭是印尼的金融和非金融市場溢出效應的 重要因子。

關鍵字

溢出效應

並列摘要

This thesis examines return spillovers between Indonesia’s stocks, government bonds, precious metals, and agriculture commodities. Diebold and Yilmaz's method is used to evaluate the static and dynamic directional (To and From) spillovers among various assets, which is essential for contagion analysis and risk assessment. We find that Indonesia's gold serves as a transmitter of spillover. Moreover, this study shows that the U.S. and Indonesia’s monetary policies, economic policy uncertainty, COVID-19 pandemic, and Russia-Ukraine war are important determinants for the spillovers of Indonesia’s financial/non-financial markets.

並列關鍵字

spillover effect

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