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|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|
|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|
|Issue Date: ||2011-12-28 17:42:20 (UTC+8)|
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|
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