- 學位論文
黃金、原油價格與匯率關聯性之研究
The Relationships between Gold Prices, Oil Prices, and Exchange Rates
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摘要
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。
並列摘要
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.
參考文獻
康信鴻、陳雍仁，1999。「台灣黃金市場、外匯市場與總體變數相互關係之研究—聯立方程式模型」，台大管理論叢， 9卷，2期，101-135頁。
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