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金價、油價與主要通貨匯率之關聯性分析 = Relationships a...

國立高雄大學應用經濟學系碩士班

金價、油價與主要通貨匯率之關聯性分析 = Relationships among Gold Price, Oil Price, and Major Currency Exchange Rates

Record Type:	Language materials, printed : monographic
Paralel Title:	Relationships among Gold Price, Oil Price, and Major Currency Exchange Rates
Author:	李彥儒,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	民100
Description:	48葉圖，表格 : 30公分;
Subject:	金價
Subject:	Gold price
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/44688514657042305304
Notes:	參考書目：葉35-36
Summary:	隨著黃金價格與石油價格的上漲，本研究主要探討油價、金價與主要通貨匯率(美元、歐元、英鎊)之間的關聯性，藉由這些相關性來了解其彼此之間的變動關係。研究結果發現，從2005年之前油價與金價為負相關，2005年之後油價與金價為正相關，而且美元實質匯率的下降，使得油價與金價上漲；歐元與金價、油價為正相關，英鎊與金價較無相關。在實證方法上，本研究認為在長期的時間之下，各變數間的相關係數並非是固定不變的，可能具有非線性轉換，且轉換型式不單只有遞增或遞減的特性，可能具有一個門檻以上的轉換，故本研究將Berben and Jansen (2005) 單門檻平滑轉換相關係數(STC)-GARCH 模型，擴充為最多雙門檻平滑轉換相關係數之多變量 (MSTC)-MGARCH模型；藉由MSTC-MGARCH模型來探討石油價格、黃金價格與主要通貨匯率相關係數間的波動情況。 With the climbing of gold and oil price, this study examines the correlation among the spot prices of oil price, gold price, and major real currency exchange rates (USD, EUR, GBP). According to this investigation, we can understand the co-movements among them. Our results show that there is negative relationship between oil price and gold price before 2005, but it became a positive relationship after 2005. And the declining of USD real exchange rate makes the rising of oil and gold prices. We find that there are positive relationships among the EUR, gold price and oil price, however, there is low relationship between GBP and gold price.From the empirical evidences, this study suggests that for a long period of time, the correlation coefficient is not time-invariant among these variables. It may be nonlinear transformation and may be not just monotonic transformation but more than one threshold. Our study follows the model of Berben and Jansen (2005) which is composed of smooth transition correlation (STC-) GARCH model and extends to a multi-threshold smooth transition correlation (MSTC-) GARCH model. We use MSTC-GARCH model to explore the fluctuations of correlation among prices of oil, gold, and major real currency exchange rates.

金價、油價與主要通貨匯率之關聯性分析 = Relationships among Gold Price, Oil Price, and Major Currency Exchange Rates
李, 彥儒

金價、油價與主要通貨匯率之關聯性分析 = Relationships among Gold Price, Oil Price, and Major Currency Exchange Rates / 李彥儒撰 - [高雄市] : 撰者, 民100. - 48葉 ; 圖，表格 ; 30公分.
參考書目：葉35-36.
金價Gold price

金價、油價與主要通貨匯率之關聯性分析 = Relationships among Gold Price, Oil Price, and Major Currency Exchange Rates
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330 $a 隨著黃金價格與石油價格的上漲，本研究主要探討油價、金價與主要通貨匯率(美元、歐元、英鎊)之間的關聯性，藉由這些相關性來了解其彼此之間的變動關係。研究結果發現，從2005年之前油價與金價為負相關，2005年之後油價與金價為正相關，而且美元實質匯率的下降，使得油價與金價上漲；歐元與金價、油價為正相關，英鎊與金價較無相關。在實證方法上，本研究認為在長期的時間之下，各變數間的相關係數並非是固定不變的，可能具有非線性轉換，且轉換型式不單只有遞增或遞減的特性，可能具有一個門檻以上的轉換，故本研究將Berben and Jansen (2005) 單門檻平滑轉換相關係數(STC)-GARCH 模型，擴充為最多雙門檻平滑轉換相關係數之多變量 (MSTC)-MGARCH模型；藉由MSTC-MGARCH模型來探討石油價格、黃金價格與主要通貨匯率相關係數間的波動情況。 With the climbing of gold and oil price, this study examines the correlation among the spot prices of oil price, gold price, and major real currency exchange rates (USD, EUR, GBP). According to this investigation, we can understand the co-movements among them. Our results show that there is negative relationship between oil price and gold price before 2005, but it became a positive relationship after 2005. And the declining of USD real exchange rate makes the rising of oil and gold prices. We find that there are positive relationships among the EUR, gold price and oil price, however, there is low relationship between GBP and gold price.From the empirical evidences, this study suggests that for a long period of time, the correlation coefficient is not time-invariant among these variables. It may be nonlinear transformation and may be not just monotonic transformation but more than one threshold. Our study follows the model of Berben and Jansen (2005) which is composed of smooth transition correlation (STC-) GARCH model and extends to a multi-threshold smooth transition correlation (MSTC-) GARCH model. We use MSTC-GARCH model to explore the fluctuations of correlation among prices of oil, gold, and major real currency exchange rates.
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