美國近來實施低利率及寬鬆貨幣的政策,導致美元大幅貶值,使得國際資金流向高利貸的新興市場,其中又以金磚四國作為投資標的。金磚四國人口成長快速,對於糧食需求大幅提升。在此情況下,投資人紛紛將投資標的移轉至原物料市場。本研究特以美國與金磚四國為研究對象,探討商品市場指標與股市、匯率以及經濟指標間之相關性。本研究期間為2005年1月至2012年12月,並採用共整合檢定、向量自我回歸模型、向量誤差修正模型、Granger因果關係檢定、以及GARCH模型外溢效果加以探討。本研究之實證結果歸納如下: 1.本研究發現美國、俄羅斯、印度及中國存在共整合關係,表示這幾個國家的變數間存在長期均衡關係。 2.本研究透過因果檢定,發現美國、巴西以及俄羅斯三國之股價指數均單向領先CRB指數與BDI指數。本研究也發現CRB指數與BDI指數均單向領先美國消費者物價指數、而BDI指數則與俄羅斯及印度之貨幣供給量間存在雙向因果關係。 3.本研究經由GRACH模型外溢效果檢定,發現CRB指數與BDI指數對美國及印度股價指數產生正向波動性影響。而在匯率方面,BDI指數則對俄羅斯及印度股價指數產生正向波動性影響。本研究也發現CRB指數僅會對巴西消費者物價指數產生正向波動性影響,而BDI指數則對美國、巴西與俄羅斯三國的消費者物價指數,及巴西、俄羅斯、中國三國之貨幣供給量均產生正向波動性影響。
This study examines the relationship between two commodity indexes and five stock market indexes, foreign exchange rates and three economic indicators between US and the BRICS (namely, Brazil, Russia, India, China and South Africa). The sample period runs from January, 2005 to December, 2012. There are 2470 monthly data. Empirical results are summarized below: 1. This study finds that there is a long-term equilibrium relationship between two commodity indexes and U.S., Russia, India, and China. 2. After the Granger causality test is used, this study finds that the stock market indexes in the U.S., Brazil and Russia unilaterally affect two commodity indexes. This investigation also finds that two commodity indexes unilaterally affect U.S. consumer price index, while a bidirectional relationship exists between BDI index and the money supply amounts of Russia and India. 3. Regarding the spillover effects, this study finds that two commodity indexes have positive spillover effects on the volatility of the stock market indexes of the U.S. and India, while the BDI index has positive spillover effects on the volatility of the exchange rates of Russia and India. This investigation also finds that the CRB index has positive spillover effect on the volatility of the Brazil consumer price index, while the BDI index has positive spillover effect on the volatility of the consumer price indexes of the U.S., Brazil and Russia, and that of the money supply amounts of Brazil, Russia and China.