English  |  正體中文  |  简体中文  |  Items with full text/Total items : 62805/95882 (66%)
Visitors : 3956054      Online Users : 440
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/73973

    Title: 金融海嘯前後黃金價格波動與利率、通貨膨脹率、美元指數關聯性
    Other Titles: The correlation of gold price volatility, interest rate, inflation and dollar index : prior to and post the financial crisis
    Authors: 左如萱;Tso, Ju-Hsuan
    Contributors: 淡江大學財務金融學系碩士在職專班
    Keywords: 黃金價格;金融海嘯;向量自我迴規模型;Granger因果關係;共整合;Gold Price;Financial crisis;Vector Autoregressive;Granger Causality;Cointegration
    Date: 2011
    Issue Date: 2011-12-28 17:42:20 (UTC+8)
    Abstract: 本文以黃金價格作為主軸,研究與各年期公債殖利率月平均資料以及百元報價月底資料、通貨膨脹率月平均資料、美元指數月平均資料以及日資料之間在金融海嘯發生前後的長短期關聯性。
    This research investigates the correlation of Gold price with the yield of U.S. government bond of 2 years, 5 years, 10 years, and 30 years, consumer price index (CPI) for inflation, and U.S. dollar index before and after the Financial Crisis.
    In the short-term period with VAR (1) and Granger Causality testing method, the gold volatility in current has positive self-effect of previous price according to the monthly data. When CPI rose after Finance Crisis, FED had not used tight policy to make interest rate rebound and caused U.S. government bond stayed low. Therefore the U.S. government bond price could not affect the gold price and was replaced the leading effect of Gold price by CPI. However, according to the test of daily data, the Gold price in current seems has over-reaction from previous price. Gold Volatility has positive effect with the previous U.S. government bonds volatility and negative effects with inflation and dollar index. After finance crisis, Gold price became the major leading factor of the U.S. dollar index. In the long-term period, the co-integration test was used to find the correlation among Gold volatility and multi-variations. Although the coefficient between Gold price and the variations is less than that before Financial Crisis, there is still equilibrium relationship among multiple variances.
    In summary, although it is getting hard to forecast the Gold price by using U.S. dollar index and U.S. government bond under the effect of the finance crisis, we suggest the CPI is a better estimating tool to observe the change of Gold price.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback