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系統識別號 U0026-0812200915133555
論文名稱(中文) 匯率、油價、金價、利率之關聯性探討與預測
論文名稱(英文) A Study of the Relationship between Exchange Rate, Oil Price, Gold Price, and Real Interest Rate
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 97
學期 2
出版年 98
研究生(中文) 王裕仁
研究生(英文) Yu-jen Wang
電子信箱 yu_jen.wang@msa.hinet.net
學號 r8795114
學位類別 碩士
語文別 中文
論文頁數 44頁
口試委員 召集委員-黎明淵
口試委員-王澤世
指導教授-顏盟峰
中文關鍵字 油價  金價  向量誤差修正模型  利率  匯率 
英文關鍵字 Exchange rate  Oil price  Gold price  Interest rate  VECM 
學科別分類
中文摘要 本研究主要在探討新台幣兌美元匯率、油價、金價、利率之關聯性,並利用適當的計量模型來預測匯率。以1998年~2007年的月資料為研究樣本,利用共整合檢定及向量誤差修正模型(Vector Error Correction Model, VECM)來釐清變數間彼此之互動情形,以供投資人決策及學術研究參考。

研究結果發現,新台幣兌美元匯率、金價、油價、美元利率及台幣利率存在共整合關係。在VECM模型中,觀察出匯率受本身前期與前期台幣利率波動影響,且係數為負,表示台幣利率提高將導致台幣升值。匯率受油價、金價及美元利率之影響較不顯著。由Granger因果關係檢定得知,台幣利率與匯率彼此存在雙向回饋關係,美元利率單向領先台幣利率,台幣利率單向領先金價,油價單向領先美元利率且不受其他變數影響。
英文摘要 This thesis analyzes the relationship of exchange rate (TWD/USD), oil price, gold price, and real interest rate over the 1998-2007 period, and use appropriate structural model to forecast exchange rate. Using co-integration test and vector error correction model (VECM) approaches, this paper attempts to shed light into the correlation among the variables, expecting to provide investors and researchers with useful reference for their strategies of investment and research plans.

Results are presented to show that exchange rate (TWD/USD), gold price, oil price, US real interest rate, and TW real interest rate are co-integrated. From VECM, the findings suggest that movements of TW real interest rate have negative effects on movements of exchange rate. From the Granger causality test, we find that bidirectional causality existing between exchange rate and TW real interest rate, unidirectional causality running from US real interest rate to TW real interest rate, unidirectional causality running from TW real interest rate to gold price, and unidirectional causality running from oil price to US real interest rate.
論文目次 目錄
摘要 I
Abstract II
目錄 III
表目錄 V
圖目錄 VI
第一章 緒論 1
1.1研究動機 1
1.2研究目的 5
1.3研究架構 6
第二章 文獻探討 7
2.1金價與匯率之關聯性 7
2.2油價與匯率之關聯性 8
2.3利率與匯率之關聯性 9
第三章 研究方法 11
3.1 單根檢定 11
3.1.1 ADF單根檢定(Augmented Dickey Fuller Unit Root Test) 12
3.2 Chow檢定 12
3.3 向量自我迴歸模型 13
3.4 Granger因果關係檢定 14
3.5 共整合關係&向量誤差修正模型 14
3.5.1 共整合檢定 15
第四章 實證結果 17
4.1 資料說明 17
4.2 ADF單根檢定 18
4.2.1 匯率 18
4.2.2 油價 19
4.2.3 金價 20
4.2.4 美金實質利率 22
4.2.5 新台幣實質利率 23
4.3 Chow檢定 25
4.4 共整合檢定 27
4.5 向量誤差修正模型 30
4.6 Granger因果關係檢定 34
4.7 模型預測績效 36
第五章 結論與建議 39
5.1 結論 39
5.2 建議 40
參考文獻 41

表目錄
表4.1 資料來源 17
表4.2 ADF單根檢定(取自然對數:匯率) 18
表4.3 ADF單根檢定(取自然對數後差分:匯率) 19
表4.4 ADF單根檢定(取自然對數:油價) 19
表4.5 ADF單根檢定(取自然對數後差分:油價) 20
表4.6 ADF單根檢定(取自然對數:金價) 21
表4.7 ADF單根檢定(取自然對數後差分:金價) 21
表4.8 ADF單根檢定(取自然對數:美金實質利率) 22
表4.9 ADF單根檢定(取自然對數後差分:美金實質利率) 23
表4.10 ADF單根檢定(取自然對數:新台幣實質利率) 23
表4.11 ADF單根檢定(取自然對數後差分:新台幣實質利率) 24
表4.12 結構性變動檢定-變動點未知 25
表4.13 匯率、油價、金價及利率-Johansen共整合檢定 27
表4.14 匯率、油價、金價及利率之誤差修正項估計 29
表4.15 向量誤差修正模型 31
表4.16 Granger因果關係表 34
表4.17 匯率報酬率比較表 36
表4.18 簡單迴歸分析表 38

圖目錄
圖1.1 歷年油價走勢圖 2
圖1.2 近年油價走勢圖 3
圖1.3 歷年金價與匯率走勢圖 3
圖1.4 歷年金價與通膨走勢圖 4
圖1.5 研究架構 6
圖4.1 Chow LR F-統計量序列圖 26
圖4.2 Granger因果關係圖 35
圖4.3 實際與預測匯率報酬率散佈圖 37
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