CRB商品指數與股價指數、匯率及油價關聯性之研究

Investigating theRelationships for CRB Index with Stock Price, Exchange Rate and Oil Price

蔡睿宇(Ruei-Yu Tsai)

指導教授 ： 倪衍森

共同指導教授 ： 許超澤(Chao-Che Hsu)

淡江大學/管理學院/管理科學研究所碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00846

摘要

原物料價格在過去的20年間，價格一直相當平穩，甚少有大漲大跌的情行，但從2002年開始走多頭，從2005年開始原物料價格更是一路飆漲，一直到2007年甚至到2008年初，其漲勢似乎尚未停歇。本研究主要採用向量自我迴歸模型、共整合檢定和雙變量GARCH模型，以R/J CRB商品指數代表原物料價格走勢，來探討2005年至2007年間，R/J CRB商品指數與台美股價指數、美日和台美匯率和油價報酬率關聯性及波動性外溢效果。
由Granger因果關係之實證結果發現，R/J CRB商品指數與道瓊工業指數和那斯達克指數俱有雙向回饋關係，且R/J CRB商品指數對美股為負相關，代表原物料上漲對股市而言，實屬不利之消息。而由波動性外溢效果之實證結果發現，R/J CRB商品指數波動性會單向外溢至台灣加權指數，原因可能是台灣屬於資源極度匱泛的海島型國家，原物料取得多由國外進口，所以原物料價格波動時，台灣會受其影響；而美日匯率波動性則會單向外溢至R/J CRB商品指數，可能是日圓利率相當低，且原物料近年走多頭行情，因而被大量舉債投資於原物料上，因此R/J CRB商品指數會受美日匯率波動影響。

關鍵字

向量自我迴歸模型 ； 衝擊反應函數 ； 預測誤差變異分解 ； 共整合 ； 雙變量GARCH

並列摘要

In the past two decades, the prices of commodities were quite steady. However, the above situations were changed in these recent years. The prices of commodities have moved upward since 2002, the growth rate of commodities prices rose sharply in 2005, and commodities prices seem to rise up continuously without stop signs now. Thus, the relationships between the RJ/CRB Index with share prices, the relationships between the RJ/CRB Index and exchanged rates and the relationships between the RJ/CRB Index and oil prices are investigated in this thesis, and several important results are found as shown below:
1.The feedback relationships between American share prices and R/J CRB Index are existed, and the commodities prices will affect the American share prices negatively.
2.The Taiwan stock markets could be affected by the volatility of R/J CRB Index. Since oil, iron and other materials are imported in Taiwan due to lack of natural resources, the fluctuation of commodities prices, no wonder, will affect the volatilities of Taiwan share prices.
3.R/J CRB Index could be affected by the volatilities of exchange rates between the currencies of US dollars and Japanese Yen. The interest rate of Yen is quite low, and the Japanese Yen are not strong currencies in these years, investment institutions might loan the Japanese Yen in order to invest and then push the rising of commodities prices. Similarly, R/J CRB will also be affected by the volatilities of exchange rates between the currencies of US dollars and Japanese Yen.

並列關鍵字

VAR ； Impulse Response Function ； Error Variance Decomposition ； Cointegration ； Bivariate Garch Models

參考文獻

3.王儷容、余佩儒、陳信宏(2008)，「美元走貶對世界經濟之影響」，經濟前瞻，第115期，頁81-89。

7.林惠娜、鄭婉秀、陳坤宏(2007)，「三大原油市場之動態關連性探討」，真理財經學報，第16期，頁71-91。

8.許清雄(2006)，「CRB與主要商品期貨指數之價格動態關聯性研究」，國立中興大學應用經濟學系所未出版碩士論文。

15.鄧傑明(2005)，「澳洲的匯率和原物料價格變動之間的關係」，國立台灣大學國際企業研究所未出版碩士論文。

1.Bachman, D., Choi, J., Jeon, B. and J. Kenneth (1996), “Common Factors in International Stock Prices: Evidence from a Cointegration Study,” International Review of Financial Analysis, 5, pp. 39-53.