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題 名 | 黃金與匯率之報酬與波動不對稱效果=Asymmetric Effect of Price and Volatility of the Gold and Exchange Rate |
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作 者 | 張鼎煥; 陳健宏; | 書刊名 | 清雲學報 |
卷 期 | 32:3 2012.07[民101.07] |
頁 次 | 頁65-78 |
分類號 | 561.76 |
關鍵詞 | 不對稱效果; 黃金期貨; 匯率; 避險; 雙變量GJR-GARCH模型; Asymmetric effect; Gold futures; Exchange rate; Hedge; Bivariate GJR-GARCH model; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究延伸雙變量GJR-GARCH模型探討黃金期貨與美元匯率預期正、負報酬外溢之不對稱效果與非預期負報酬之波動不對稱效果,實證結果發現兩資產預期報酬相互存在負向影響之不對稱外溢效果,又黃金期貨與美元匯率相互存在波動外溢效果或風險傳遞效果,是以建構兩資產動態投資組合得發揮交叉避險功能,經由「利率平價理論」之利率對匯率影響因素分析,說明黃金亦得規避通貨膨脹風險。此外,黃金期貨與美元匯率變異數與共變異數皆受前期非預期報酬負向訊息衝擊,顯著存在波動不對稱效果。 |
英文摘要 | This paper extends the bivariate GJR-GARCH model to investigate asymmetric effect of price and volatility of the gold and exchange rate. The empirical results reveal that the expected returns of gold futures and USD obviously have asymmetric spillover effect. The negative relationship between gold futures and USD exchange rate indicates that dynamic portfolio can be used for cross hedge. According to the theory of Interest Rate Parity (IRP), the gold commodity also can be used to hedge the inflation risk. In addition, the unexpected negative returns make a significant impact on the variance and covariance of gold futures and USD as an asymmetric effect. |
本系統中英文摘要資訊取自各篇刊載內容。