本論文以西德州原油現貨、黃金現貨與美元指數作為研究對象,並以聯立方程式來探討三者之動態關聯性,然鑑於時序資料普遍具有因時而異的波動特性,故為求能獲取更適切之實證結果,本文將採用多變量GARCH模型進行估計,以捕捉原油價格、黃金現貨與美元指數之異質變異的特性。透過實證估計的結果,來觀察變數間是否具有價格領先落後的情形,並進一步分析三者之間的報酬傳遞與彼此間波動外溢的效果。 實證結果顯示,黃金現貨價格受到美元指數的影響,且呈現負向的顯著關係,而美元指數僅受到原油現貨價格的影響,特別是原油現貨價格與其他兩變數並沒有顯著影響關係。在外溢效果方面,我們發現當黃金市場與原油現貨市場產生非預期波動時,均會增加美元指數的變異程度,即具有正向之外溢效果;然而,黃金市場僅受到原油市場波動之負向外溢影響;此外,美元指數及黃金市場皆對原油市場具有顯著波動外溢至原油市場的現象,但兩者呈現不一致效果,且美元指數具有高度正向波動外溢的現象,但黃金市場卻是負向之外溢效果。對此現象可歸究於原油皆以美元進行交易,故當美元產生非預期變動時,對原油價格的波動力有顯著影響。
This study selects the crude oil spot price of West Texes Intermediate, gold spot price and dollar index to investigate the dynamics relationships among them using the simultaneous equation model. In addition, because the time-varying volatility characteristics generally exist in financial time series data, this study uses the multi-variable GARCH model to capture the heterskedasticity problem in West Texes Intermediate, gold spot price and dollar index to obtain more appropriate results. By the empirical outcomes, we can examine the lead-lag relationships among them, and further analyze the phenomenon of both return transmission and the spillover effects of volatilities. The empirical results found that the prior price of dollar index negatively influence the gold spot price. However, the dollar index are just affected by crude oil spot price. Specially, there are not significantly statistical results in crude oil market. In the spillover effects, we found that the volatility of dollar index is increasing when the prices of gold market and crude oil spot market have unexpected changes, namely positive spillover effects. In addition, the gold spot market is just spilled from the crude oil market. On the other hand, the dollar index and gold market have highly significant spillover effect to crude oil market, but they present inconsistent results. The dollar index is positive volatilities spillover effects. However, the gold market is negative. According to the outcomes, it can attributes to the dollar trading factors of crude oil market. The crude price will produce highly volatility when the exchange rate of dollar presents unexpected changes.