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題 名 | 多元結構變動下美元、金價與油價動態關係之研究=Dynamics among Dollar, Gold and Crude Oil with Multiple Structural Changes |
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作 者 | 謝文忠; 饒凱斐; 蔡維; 陳芳質; | 書刊名 | 朝陽商管評論 |
卷 期 | 17:2 2019.05[民108.05] |
頁 次 | 頁39-60 |
分類號 | 563.52 |
關鍵詞 | 時間序列分析; 多元結構性變動; 國際政經事件; 短期投機價差; Time series methodologies; Multi-structural changes; Global political and economic events; Short-term speculation spreads; |
語 文 | 中文(Chinese) |
中文摘要 | 本文研究油價、金價與美元指數間的長短期動態關係,結果發現,金價、油價與美元指數三者皆為非定態序列,存在4個結構變動點。根據ARDL共整合檢定結果,在樣本全期間,三變數具共整合關係;在五個子期間,除第一子期間三變數間皆不具共整合關係外,在其他四個子期間三變數的共整合關係的變化,則視何者為依變數而定。根據Granger因果關係檢定結果,在樣本全期間只有美元指數領先金價;除第二子期間,金價與美元指數為雙向關係外,其他四個子期間各變數互有領先其他變數。本文建議為賺取短期投機價差,國際金融市場的投資人必須留意國際油價、金價與美元指數間之長短期互動關係外,尚須注意國際政經因素對這些國際金融商品可能的影響。 |
英文摘要 | This paper investigates the long- and short-run dynamic relationship between oil price, gold price, and US dollar index. The results show that gold price, oil price, and Dollar index are all non-stationary series. There are four structural breaks during the whole sample period of these three commodities. By the ARDL co-integration test, the three variables have a co-integration relationship during the surveyed period; Except in the first sub-period where there is a co-integration relationship among the three variables, their co-integration relationships in the other four sub-periods depend on which one acts as the dependent variable. Furthermore, Granger causality results find that only Dollar index leads gold price during the entire period; except for the second sub-period where gold price and Dollar index have a bi-directional relationship, each variable Granger causes other variables in the other four sub-periods. This paper suggests that in order to earn short-term speculative spreads, investors in international financial markets pay attention to not only the long- and short-run interactions among the prices of these commodities but also the possible impacts caused by international political and economic events on them. |
本系統中英文摘要資訊取自各篇刊載內容。