進階搜尋


   電子論文尚未授權公開,紙本請查館藏目錄
(※如查詢不到或館藏狀況顯示「閉架不公開」,表示該本論文不在書庫,無法取用。)
系統識別號 U0026-2006201321423900
論文名稱(中文) 金磚五國經濟發展與近期重大國際金融事件對金價與油價之影響
論文名稱(英文) The Impact of the Economic Development of BRICS and Recent International Financial Events on the Gold Price and Crude Oil Price
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 101
學期 2
出版年 102
研究生(中文) 劉玥妏
研究生(英文) Yueh-Wen Liu
學號 R66004041
學位類別 碩士
語文別 英文
論文頁數 63頁
口試委員 指導教授-康信鴻
口試委員-張紹基
口試委員-許永明
口試委員-林懿貞
口試委員-傅英芬
中文關鍵字 迴歸分析  黃金價格  原油價格  金磚五國  國際金融事件 
英文關鍵字 multiple regressions  gold price  crude oil price  BRICS  international financial events 
學科別分類
中文摘要 本文之研究目的為探討金磚五國經濟成長與近期國際金融事件對於黃金與原油價格之影響,本文之研究方法分別利用最小平方法和兩階段最小平方法進行多元迴歸分析,研究期間為1995年第三季至2012年第四季。本文研究資料來源為KITCO、台灣經濟新報(TEJ)、美國聯邦儲備銀行、美國農業部經濟研究局(USDA ERS)、美聯儲經濟數據(FRED)和美國能源情報署(EIA)。
首先,本文之研究結果發現EUR/USD、GBP/USD、USD/JPY、美國政府公債殖利率、美國聯邦基金利率及CPI之變動對於黃金價格之變動皆無顯著影響,而白銀價格之變動對於黃金價格變動有顯著之正向關連性,此外本文也發現金磚五國之經濟成長對於黃金價格之變動皆無顯著影響。國際金融事件的部分,2008年金融風暴、歐債危機、QE2則對於黃金價格之變動有顯著的影響,而QE3則對於黃金價格變動無顯著之影響。
其次,本文發現全球原油供給量之變動與世界GDP對於原油價格之變動沒有顯著的正向影響,而GBP/USD之變動 和 USD/JPY之變動對於原油價格之變動有顯著的正向影響,而在金磚五國當中僅俄羅斯之經濟成長變動對於原油價格變動有顯著的正向影響,其餘金磚國家經濟成長變動對於原油價格變動無顯著之影響。而國際金融事件的部分,2008年金融風暴對於原油價格變動有顯著的正向影響,歐債危機和QE1對於原油價格有顯著之負向影響,而QE2和QE3則對於原油價格變動沒有顯著之影響。
最後我們探討黃金價格與原油價格之互動關聯性,在黃金價格變動為被解釋變數之模型中,研究結果發現原油價格之變動對於黃金價格之變動沒有顯著的影響。另一方面,在原油價格變動為被解釋變數之模型中,黃金價格之變動對於原油價格之變動有顯著之影響。
英文摘要 The purpose of this study is to discuss the impact of BRICS economic growth and the recent international financial events on gold price and crude oil price. This study employs multiple regression analysis includes OLS and TSLS methods, adopting the data from the third quarter of 1995 to the fourth quarter of 2012. The research data are extracted from KITCO, Taiwan Economic Journal (TEJ), Federal Reserve Bank, United States Department of Agriculture Economic Research Service (USDA ERS), Federal Reserve Economic Data (FRED) and U.S. Energy Information Administration (EIA).
First, the changes of EUR/USD, GBP/USD, USD/JPY, U.S. government bond yields, U.S. federal funds rate and CPI all have no significant relationships with the change of gold price. And we found a significant positive relationship between the change of silver price and gold price. The economic developments of BRICS have no significant impact on the change of gold price. Financial Crisis in 2008, European debt crisis and QE2 have significant impacts on the change of gold price; however, QE3 has no significant impact on the change of gold price.
Secondly, the changes of supply amount of crude oil and world GDP have no significant positive relationship with the change of oil price. GBP/USD and USD/JPY have significant positive impacts on the change of oil price. Among BRICS, only the economic development change of Russia has significant positive impact on the change of oil price among BRICS. And 2008 Financial Crisis has a significant positive impact on oil price. The European sovereign debt crisis and QE1 has significant negative impacts on oil price. QE2 and QE3 have no significant impacts on the change of oil price.
Finally, the change of oil price has no significant effect on the change of gold price in the gold price model. However, the change of gold price has a significant positive relationship with the change of oil price in the oil price model.
論文目次 Chapter 1 Introduction 1
1.1 Research Background 1
1.2 Research Motivation 3
1.3 Research Purpose 5
Chapter 2 Literature Review 7
2.1 Literature Review on Gold Price 7
2.2 Literature Review of Crude Oil Price 10
2.3 Literature Review on the Relationship Between Gold Price and Crude Oil Price 12
2.4 Direction of the Research 13
Chapter 3 Data and Methodologies 17
3.1 Research Methods and Processes 17
3.2 Hypotheses 22
3.3 Empirical Model 23
3.4 Definitions of Variables 29
3.5 Data Sources 36
Chapter 4 Empirical Results 38
4.1 Unit Root Test 38
4.2 Multicollinearity Test 39
4.3 Homoscedasticity Test 41
4.4 Autocorrelation Test 42
4.5 Final Single Equations of the Gold Price and Oil Price 43
4.6 Final Regression Models of Simultaneous Equations 47
Chapter 5 Conclusions 55
5.1 Conclusions 55
5.2 Suggestions 57
References 61
參考文獻 1.Baffes (2007), “Oil spills on other commodities Resources Policy”, 32 (2007), pp. 126-134.
2.Benassy-Quere, A., Mignon, V. and Penot, A. (2007). “China and the relationship between the oil price and the dollar”, Energy Policy, 35, 5795-5805.
3.C. Faugère and J. Van Erlach, (2005), “The Price of Gold: A Global Required Yield Theory”, Forthcoming in Journal of Investing, Spring 2005.
4.Capie, F., Mills, T. C. and Wood, G. (2005). “Gold as a hedge against the dollar”, Journal of International Financial Markets, Institutions and Money, 15, 343-352.
5.Chaudhuri, K. and Daniel, B.C. (1998). “Long-run equilibrium real exchange rates and oil prices”, Economics Letters. 58, 231-238.
6.Chen, S.S. and Chen, H.C. (2007). “Oil prices and real exchange rates”, Energy Economics. 29, 390-404.
7.Cologni A. and Manera M. (2008), “Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries”, Energy Economics, 30, 856-888.
8.Dooley, M. P., Isard, P. and Taylor, M. P. (1995), “Exchange Rate, Country-Specific Shocks, and Gold.” Applied Financial Economics, 5(3):121-129.
9.Edel, T. and B. M. Lucey (2007),”A Power GARCH examination of the gold market”, Research in International Business and Finance 21(2), pp.316-325.
10.G.S.Maddala (2001),“Introduction to Econometrics”, John Wiley & Sons,Ltd,4thedition, pp.391.
11.Ghosh, D. , E. J. Levin , P. Macmillan and R. E. Wright (2004),”Gold As An Inflation Hedge?”,Studies in Economics and Finance 22(1), pp.1-25.
12.Graham, S. (2001).The price of gold and stock price indices for the United States, World Gold Council.
13.Hamilton, J.D. (1983), “Oil and the Macroeconomy since World War II ” , Journal of Political Economy, vol. 91, pp.228-248.
14.Ho, W.R.J. , Y. C. Wang and G. J. Liou (2010),”The Interactive Relationship Among international Gold indices, Gold Futures and the overall economy”, African Journal of Business Management 4(9), pp.1903-1915.
15.Kutner MH, Nachtsheim CJ, Neter J (2004), “Applied Linear Regression Models”, 4th edition, McGraw-Hill Irwin.
16.Levin, E. J. and R. E. Wright. (2006),”Shout-run and Long-run Determinants of the Price of Gold” ,World Gold Council Research Study 32,pp.1-70.
17.Lutz Kilian (2007), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market, ” American Economic Review, Vol. 99, No.3 June 2009, 1053-1069.
18.Moore, G. H. (1990),”Gold Prices and a Leading Index of Inflation” ,Challenge 33(4), pp.52-56.
19.Sari et al.(2010),”Dynamics of oil price, precious metal prices, and exchange rate Energy Economics”, 32 (2010), pp. 351-362.
20.Sjaastad, L.A. and Scacciavillani, F. (1996). “The price of gold and the exchange
rate”, Journal of International Money and Finance. 15,6, 879-897.
21.Tully, E. & Lucey, B. M. (2007),” A power GARCH examination of the gold market”, Research in International Business and Finance, 21(2):316-325.
22.Wang, M.L. , C. P. Wang and T.Y. Huang (2010), “Relationships Among Oil Price, Gold Price, Exchange Rate and International Stock Markets”, International Research Journal of Finance and Economics 47, pp.83-92.
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2018-06-25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