- 學位論文
金融危機期間黃金定價與瑞士法郎近月期貨價格之長期均衡關聯分析
A Study on Trend Co-integration of Gold and Swiss Franc in the Period of Financial Crisis
摘要
本論文主要是探討黃金定價與瑞士法朗之間關係。本研究資料自2006年10月起，於2008年10月道瓊工業平均指數（Dow Jones Industrial Average，DJIA）跌破10,000點為迄點，採集同為避險商品工具之黃金貴金屬與瑞士法郎近月期貨價格日資料為樣本，進一步推導出倫敦黃金定價與瑞士法郎近月期貨價格之間是否存在長期均衡走勢，以作為投資或避險的決策參考。我們利用Eviews 6.0計量分析軟體，透過ADF單根檢定方法檢定各變數的時間序列，發現所有資料均需要經過一階差分的過程，才能拒絕I(1)的虛無假設，而成為定態資料。實證結果說明倫敦黃金定價與瑞士法郎近月期貨原始變數均存在單根，而且黃金與瑞士法郎之共整合檢定均有共整合向量，我們發現倫敦黃金定價對於瑞士法郎近月期貨價格的影響處於單向領先兩期；這個結論可以指出黃金價格的發展方向。本研究的經驗顯示，資訊技術可以輔助我們在動盪環境中，掌握局勢的發展方向，做出較正確的決策，提升決策的科學性。未來的研究將包括天然災害發生、政治經濟發生巨變的動盪情況時的決策支援。
並列摘要
This research is trying to investigate the relationship between the exchange rate of Swiss Franc and the price of gold. The spot gold price data and the data of effective exchange rate of Swiss Franc index consist of daily observations from October 2008 through December 2008 when the Dow Jones Industrial Average Index (Dow Jones Industrial Average, DJIA) fell below the 10,000 point into a critical state in that time. In addition to investigating the relationship between exchange rate and the price of gold, we will try to study on trend Co-integration of gold and Swiss Franc in this period of financial crisis. With the help of Eviews 6.0 metering outfit, we use the ADF unit root test to examine the time sequences of all variables and find that all data need to be processed by first-order differentiation to reject the null hypotheses I(1) and the data can then become stationary. The experimental result shows that the exchange rate of Swiss Franc and the price of gold have a unit root. They are also co-integrated; The Granger causality test reveals that the price of gold has unidirectionally led the exchange rate of Swiss Franc with two periods. This conclusion may give us the development direction of the price of Swiss Franc. This provides a good reference for decision support in futures trading. The methodology applied in this study can be used in crisis management in other emergent economic or social events for observing the development trend of influential factors. Keywords: Crisis Management, Swiss Franc, Price of gold, Unit Root Test, Co -integration Test, Granger Causality Test, Decision Support.