進階搜尋


 
系統識別號 U0026-0812200914113599
論文名稱(中文) 世界主要貨幣與黃金價格關係之研究
論文名稱(英文) The Relationship between Major Currency and the Price of Gold
校院名稱 成功大學
系所名稱(中) 國際企業研究所碩博士班
系所名稱(英) Institute of International Business
學年度 96
學期 2
出版年 97
研究生(中文) 林育德
研究生(英文) Yu-te Lin
學號 R6695127
學位類別 碩士
語文別 英文
論文頁數 41頁
口試委員 指導教授-康信鴻
口試委員-張紹基
口試委員-莊雙喜
口試委員-鄭美幸
中文關鍵字 匯率  黃金價格 
英文關鍵字 The price of gold  Exchange rate 
學科別分類
中文摘要 本研究欲探討世界主要貨幣與黃金價格之間的關係。除了匯率與金價之間的關係外,本文也試圖去研究貨幣的強弱勢對於一國貨幣與黃金價格之間的關係是否有影響。本研究所採用1991年一月至2002年十二月的黃金現貨價格、美元有效匯率指數與歐元有效匯率指數為樣本。實證結果如下:
1. 在美元強勢時期及美元弱勢時期,美元匯率與金價的相關係數皆為負,相反地,在歐元弱勢時期及歐元強勢時期,歐元匯率與金價的相關係數皆為正。
2. 本研究指出美元匯率與黃金價格存在共整合關係,同樣地,歐元匯率與黃金價格存在共整合關係。
3. 在美元強勢時期,美元匯率領先黃金價格,同樣地,在歐元強勢時期,歐元匯率領先黃金價格。
4. 在美元強勢時期,美元匯率對黃金價格有負向的影響,同樣地,在歐元強勢時期,歐元匯率對黃金價格有負向的影響。
5. 黃金價格對美元有負向的影響,但是對歐元有正向的影響。
英文摘要 This research is trying to investigate the relationship between the major currencies and the price of gold. In addition to investigating the relationship between exchange rate and the price of gold, we will try to study the influence of strength of currency on this relationship as well in this research. The spot gold price data and effective exchange rate index data of the euro and the U.S. dollar consist of monthly observations from January 1991 through December 2002.
The empirical results are listed as follows:
1. The correlation coefficients between the U.S. dollar and the price of gold of the strong dollar period and the weak dollar period are both negative; on the contrary, the correlation coefficients between the euro and the price of gold of the weak euro period and the strong euro periods are both positive.
2. This research shows that the U.S. dollar and the price of gold are cointegrated. Similarly, the euro and the price of gold are also cointegrated.
3. During the strong dollar period, the real exchange rate of the U.S. dollar Granger-causes the price of gold. During the strong euro period, the real exchange rate of the euro also Granger-causes the price of gold.
4. The U.S. dollar has a negative effect on the price of gold during the strong dollar period. Also, the euro has a negative effect on the price of gold during the strong euro period.
5. The price of gold has a negative effect on the U.S. dollar but a positive one on the euro.
論文目次 Chapter 1 Introduction 1
1.1 Motivation 1
1.2 Objective 1
Chapter 2 Literature Review 3
2.1 Literature Review 3
2.1.1 Factors Influencing the Gold Price 3
2.1.2 Relationship between Exchange Rate and Gold Price 6
2.2 Research Direction 10
2.2.1 Research Object 10
2.2.2 Research Subject 10
Chapter 3 Methodology and Data 12
3.1 Methodology 12
3.1.1 Test for Correlation (Population coefficient of correlation) 12
3.1.2 Unit Root Test 12
3.1.3 Cointegration Test 13
3.1.4 Granger Causality Test 14
3.1.5 Vector Autoregression (VAR) 15
3.2 Data 16
3.2.1 Data Selection and Description 16
3.2.2 Variables Definition 18
Chapter 4 Empirical Result 19
4.1 Result of Correlation Test 19
4.1.1 The U.S. dollar 19
4.1.2 The euro 20
4.1.3 Comparison 20
4.2 Result of Unit Root Test 21
4.3 Result of Cointegration Test 23
4.4 Result of Granger Causality Test 24
4.5 Result of Impulse Response Function 26
4.5.1 Strong Dollar Period 26
4.5.2 Weak Dollar Period 27
4.5.3 Weak Euro Period 29
4.5.4 Strong Euro Period 31
4.6 Result of Variance Decomposition 33
Chapter 5 Conclusion 37
5.1 Conclusion 37
5.2 Implications for Investment 39
5.3 Research Limitations 39
Reference 40
參考文獻 1. Abken, Peter A. “The economics of gold price movement”, Economic Review, 1980.
2. Beckers, S., Soenen, L., “Gold: more attractive to NON-U.S. than to U.S. investors?” Journal of Business Finance & Accounting, Vol.11, No.1, 1984.
3. Baker, Stephen A., Van Tassel, C., “Forecasting the price of gold: a fundamentalist approach”, Atlantic Economic Association Conference in Montreal, 1984.
4. Capie, F., Mills, Terence C., Wood, G., “Gold as a hedge against the dollar”, Journal of International Financial Markets, Institution, and Money.
5. Ciner, C., “On the long run relationship between gold and silver prices”, Global Finance Journal, Vol.12, No.2, 2001, pp.299-303.
6. Dooley, Michael P., Isard, P., Taylor, Mark P.,“Exchange rate, country-specific stocks, and gold ”, Applied Financial Economics, May 1995,pp.121-129.
7. Engle, R.F, Yoo, B.,”Forecasting and testing in co-integrated system”, Journal of Econometrics, Vol. 35, No.1, 1987, pp143-159.
8. Gujarati,D.(2006), Essentials of Econometrics, 3rd edition, McGraw-Hill.
9. Kang, S., Chen, Y.”黃金市場與外匯市場互動關係之研究-以台灣為例”, NTU Management Review, Vol.9, No.2, 1999, pp101-135.
10. Koutsoyiannis, A., “A short-run pricing model for a speculative asset, tested with data from the gold bullion market”, Applied Economics, Vol.15, No.5, 1983, pp.563-581.
11. Lucey, Brian M., Tully, E., “The evolving relationship between gold and silver 1978–2002: evidence from a dynamic cointegration analysis: a note”, Applied Financial Economics Letters, Vol.2, No.1, 2006, pp.47-53.
12. Sjaastad, Larry A., Scacciavillani, F., “The price of gold and the exchange rate”, Journal of International Money and Finance, Vol. 15, No. 6, pp. 879-897.
13. Taylor, Nicholas J., “Precious metals and inflation”, Applied Financial Economics, Vol. 8, No.2, 1998, pp.201-210.
14. Tschoegl, A.E., “Efficiency in gold market: a note”, Journal of Banking and Finance, Dec. 1980,pp.371-379.
15. 賴松鐘, “Long-term comovement of exchange rates and gold prices”, 行政院國家科學委員會專題研究計畫成果報告, 1995.
論文全文使用權限
  • 同意授權校內瀏覽/列印電子全文服務,於2009-06-27起公開。
  • 同意授權校外瀏覽/列印電子全文服務,於2009-06-27起公開。


  • 如您有疑問,請聯絡圖書館
    聯絡電話:(06)2757575#65773
    聯絡E-mail:etds@email.ncku.edu.tw