煤價指數與黃金價格之風險值連動關係研究

A Study on the VaR Gearing Relation of Coal Price Index and Gold Price

蔡昭儀(C.Y. Tsai) ； 吳榮華(J.H. Wu)

《鑛冶：中國鑛冶工程學會會刊》 61卷1期 (2017/03) Pp. 31-42

https://doi.org/10.30069/MM.201703_61(1).0003

摘要

煤炭為世界第二大之能源消費品，尤以亞太地區為最。煤炭因價格低廉穩定，在經濟不景氣與油價高漲時期，各國為維持能源供應穩定，會以煤炭替代部分石油，因此煤炭可扮演避險功能，但煤價也會因此間接影響而上漲，顯示煤價亦受景氣循環影響。由於以往文獻甚少研究煤價和全球景氣循環間的關聯性，因此本文擬進行嘗試性之研究。本研究為探討煤價的波動是否會受景氣循環影響，因此選擇景氣不佳時具有避險功能的黃金價格為指標，在兩者具有同樣避險條件下進行比較，以驗證預設之推論。本研究透過風險值(VaR)的概念衡量兩者的預期損失，再透過Granger因果關係和衝擊反應分析探討兩市場有無連動關係存在。研究結果顯示煤價與黃金價格波動存在關聯性，且由黃金價格波動可觀察煤價指數波動，可供相關決策者參考。

關鍵字

煤炭 ； 黃金 ； 風險值 ； 連動關係

並列摘要

Coal is the second largest energy commodity in the world with the Asia-Pacific region emerging as a major market. Due to stable supply and relative low price of coal, many countries used coal to replace oil in the period of depression and high oil price. This paper aimed at assessing if there is a VaR gearing relation between coal price and economic cycle. We considered that both price of coal and gold were good indicators for hedging function; stable gold price for period of economic depression. The Value-at-Risk (VaR), Grange causality, and impulse-response methods were used to examine the VaR gearing relation between them. Our analysis result showed that there existed a VaR gearing relation between the volatility of coal and gold price, and the volatility of gold price can be employed to infer the fluctuation of coal price.

並列關鍵字

Coal ； Gold ； Value-at-Risk ； Granger Causality ； Impulse Response