波動率指數、美元指數與石油價格關聯性之研究

The Study of Relationship among Volatility Index, US Dollar Index and Oil Price

張欣怡(Hsin-Yi Chang)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2012年)

https://doi.org/10.6840/cycu201200242

摘要

過去五年，由於金融海嘯爆發，引起全球經濟震盪。其中尤以2007年至2009年間美國次級房貸風暴發生以及2010年開始的歐債危機均造成各國政府與民眾極大不安，因而使得波動率指數(恐慌指數)大幅走升。過去波動率指數之研究多用於預測股票市場之走勢，較少探討匯率與油價之關聯。有鑑於匯率及油價的變動皆曾對一國的經濟造成嚴重衝擊，本研究特別探討波動率指數、美元指數及油價三者間之關聯性，並將波動率指數的走勢細分為三小段(第一小段從2004年1月1日至2006年12月29日，期間波動率指數走勢穩定；第二小段從2007年1月1日至2009年12月31日，期間受到美國次級房貸襲捲全世界的影響，波動率指數一路走高；第三小段從2010年1月1日至2011年12月30日，由於歐債風暴衝擊，使逐漸趨緩的波動率指數再次劇升)，以比較在不同的波動率指數之下，三者間的互動關係。本研究並以葛蘭吉的因果檢定、向量自我迴歸模型(VAR)及向量誤差修正(VECM)模型進行實證分析，俾探討三者間是否具有因果關係，且三者間是否存在長期均衡關係。本研究實證結果歸納如下：
1.在全樣本期間及第一小段期間，三者間彼此存在長期均衡關係，其中全樣本期間的波動率指數與美元指數、油價呈現顯著負相關；但在第一小段內波動率指數只與油價呈現顯著負相關。
2.本研究透過因果檢定分析，發現波動率指數在第一小段期間，油價與美元指數為雙向因果關係；而在第二小段的金融海嘯時期，波動率指數飆升，因而使得波動率指數領先美元指數及油價；而在第三小段的歐債危機期間，波動率指數只領先美元指數，顯示波動率指數可做為投資者套利或是避險的參考工具之一。
3.本研究在預測誤差變異數分解方面，發現波動率指數，美元指數與油價最具解釋能力的仍然為自己本身，但波動率指數及美元指數對油價具有部份的解釋能力；而在衝擊反應函數方面，本研究發現源自波動率指數及油價的衝擊對變數間具有外溢效果，而在美元指數的衝擊下，會產生共移現象。當三變數受到彼此間的衝擊後，會在短期間內迅速收斂，表示市場具有效率性。

關鍵字

VECM模型 ； VAR模型 ； 波動率指數 ； 美元指數 ； 預測誤差變異數分解 ； 衝擊反應函數 ； 原油價格

並列摘要

For the past five years, the financial tsunami caused great uneasiness around the whole world. Especially, the subprime loan crisis during the period of 2007 to 2009 and the European debt crisis has been started from 2010 till the present, both caused the volatility index (VIX) soared dramatically. For previous researches, the VIX was used to forecast stock market movements rather than focus on the association of the exchange rate with oil prices. Since the changes in exchange rates and oil prices severely influenced a country's economy, this study employs the Granger causality test, vector autoregressive (VAR) test and vector error-correction model (VECM) to examine the long-run equilibrium relationship among VIX, USDX and oil price (OIL). This investigation also divides the entire sample period into three subperiods, the first sub-period is defined as the VIX stable period, starting from 2004 to 2006. The second sub-period is called as VIX rising period, running from 2007 to 2009 as the U.S. subprime loan crisis lasted for three years. The third sub-period starts from 2010 to 2011 as the European debt crisis occurred and lasted, the VIX rose dramatically again from gradually smoothing period. The empirical results are summarized below:
1.The long-run equilibrium relationship exists for the entire sample period and for the first sub-period. However, this study finds that VIX、USDX and OIL have significantly negative relationship during the entire sample period. Yet only VIX and OIL have a significantly negative relationship during the 1st sub-period.
2.This investigation finds that OIL and USDX have significantly mutual relationship during the first sub-period using the Granger Causality test. Empirical results also show that VIX affects USDX and OIL during the U.S. subprime loan crisis period (the second sub-period). However, VIX only affects USDX during the European debt crisis period (the third sub-period), suggesting that VIX can be used as a reference tool for investors to arbitrage or hedge.
3.The result of variance decomposition method shows that VIX, Oil and USDX have the best explanatory power for all three parameters themselves. However, both VIX and USDX may explain a portion of Oil trend. This study finds that, there are spillover effects from VIX and OIL using impulse responsive function; while the co-movement exists when the influence of dramatic change in USDX occurred. This investigation also finds that all three parameters converge rapidly during a short period after the dramatic change in three parameters, suggesting that market efficiency exists.

並列關鍵字

Volatility Index ； VECM ； VAR ； Variance Decomposition ； US Dollar Index ； Oil Price ； Impulse Response Function

參考文獻

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