金價、油價與美元指數對新興亞洲股價指數的影響

The Impact of Gold Price, Oil Price and the US Dollar Index on Emerging Markets Asia Index

吳竣承(JYUN-CHENG WU)

指導教授 ： 李見發 ； 邱國欽

朝陽科技大學/管理學院/財務金融系/碩士(2017年)

摘要

本文建立「向量自我相關迴歸模型」，並應用Granger因果檢定、衝擊反應函數(IRF)來探討2007年到2016年間，金價、油價、美元指數對新興亞洲股價指數的相互影響關係。實證研究發現，金價分別對美元指數、油價存在著反饋關係；美元指數為油價的先行指標；美元指數、油價為新興亞洲股價指數的先行指標；而少有發現金價跟新興亞洲股價指數互為先行落後的關係。在衝擊反應分析中，可以明顯發現，沒有預測到的美元指數變動對新興亞洲股價指數為負向衝擊；而油價對新興亞洲股價指數帶來正向衝擊。綜上所述，我們發現美元指數的變動會影響油價的波動，而油價的波動則對影響新興亞洲股價指數的起伏，有顯著關係。而金價由於其受影響的因素比較多，較難以證實跟其餘變數有顯著關係。

關鍵字

美元指數 ； 新興亞洲股價指數 ； 向量自我迴歸模型 ； Granger因果檢定 ； 衝擊反應函數

並列摘要

In the present paper, we established the vector autoregression model and employ both the Granger causality test and the impulse response function to explore the correlation among the gold price, oil price, the US dollar index and emerging markets Asia index during the periods from 2007 to 2016. We empirically find out that the gold price has a feedback relationship to the US dollar and the oil price. The US dollar has a leading relationship to the oil price. The US dollar and oil price also have a leading relationship to the emerging markets Asia Index. In impulse response function, we could clearly find out that unpredicted change in the US dollar is a negative impact on the emerging markets Asia index. The oil price also brings impulse response for the emerging markets Asia index. To sum up, we find out that changes in the US dollar would affect the fluctuations in the oil prices, and the oil prices would impact the fluctuations of emerging market Asia index, there is a significant relationship. Due to the existing many determinants of affecting the gold prices, we fail to prove the relationship between it and other variables.

並列關鍵字

US Dollar ； Emerging Markets Asia Index ； Vector Autoregression Model ； Granger Causality Test ； Impulse Response Function

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