原物料生產量的改變往往會影響國民經濟,尤其是對主要原物料如石油、金屬、農產品的生產。本文主要探討當英國從石油淨出口國轉變為石油淨進口國的時候,檢驗同屬英國經濟體系的倫敦布蘭特原油指數分別與英鎊期貨及倫敦黃金定價之間的關聯性是否有所不同。本文採用日資料並利用單根檢定、共整合檢定、 Granger因果關係檢定來進行研究三變數之間的關聯性。 實證結果顯示,無論英國的石油淨出口時期或是石油淨進口時期,倫敦布蘭特原油、英鎊與黃金皆需經過一階差分,才可以得到定態資料。共整合檢定顯示布蘭特原油分別與英鎊及黃金之間並不存在長期均衡的關係。而Granger因果關係檢定的結果,則說明了當英國石油處於淨出口之時期,英鎊價格會單向領先布蘭特原油價格,而黃金與布蘭特原油則處於雙向回饋的關係,當英國石油處於淨進口之時期,英鎊匯率與黃金的價格均為單向領先布蘭特原油價格。在英國石油轉為淨進口國之後,布蘭特原油在時間上對於黃金價格並不具有影響。此結果與傳統認知石油漲價才會導致貨幣或是黃金升值有所不同。我們發現英鎊與黃金對於石油的影響處於單向領先兩期,可以提供投資時購買石油期貨的重要參考。
Production of raw materials often has great impact on national economy, especially the agricultural products, crude oil, or metal. In this study we investigate the change of relationships between petroleum production and pound sterling when the United Kingdom switched from an oil exporter to and importer. The change of relationships between oil rice and gold price is also investigated. The data used are daily price, and the unit root test, co-integration test, and Granger’s causality test are used to investigate the relationships among the three variables. The result shows that the three variables reach stationary state after first-order differentiation. The variables develop in a way of random walk. After co-integration test we found that there is no long-term balance between oil and pound or between oil and gold. The Granger causality test reveals that pound sterling uniquely led oil price and gold and oil fed back mutually when UK was an oil exporter. Since UK became an oil importer, both pound and gold have uni-directionally led the Brent oil price with two periods. This provides a good reference for us in investing oil futures.