國立高雄大學圖資館 |

Language: English

Back

主要通貨實質匯率與黃金價格關聯性分析 = The Relationshi...

國立高雄大學應用經濟學系碩士班

主要通貨實質匯率與黃金價格關聯性分析 = The Relationships between Real Exchange Rate and Gold Price for Major Currencies

Record Type:	Language materials, printed : monographic
Paralel Title:	The Relationships between Real Exchange Rate and Gold Price for Major Currencies
Author:	林朝偉,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2014[民103]
Description:	66面圖，表 : 30公分;
Subject:	實質匯率
Subject:	Real Exchange Rate
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/41357914242331949521
Notes:	參考書目：面53-55
Notes:	103年12月16日公開
Summary:	本篇論文著重於主要通貨匯率與黃金價格之連動性影響。當發生金融風暴事件時，投資人對於美元與黃金持有是存有替代效果。加入歐元區主要國家之討論，因歐元無法像美元能恣意地增加貨幣數量，進而探討歐元區主要通貨對於黃金是否仍存有替代關係。利用 GARCH 模型與 Engle(2002) 動態條件相關模型下，觀察黃金報酬率和通貨匯率報酬率之動態效果。當所有報酬率皆在定態下，其之間關聯為動態負向效果。平均而言，投資者若增加持有 1% 的通貨匯率時將損失掉 0.4% 黃金報酬率。此外，透過黃金規避非系統風險之功能，得讓投資者在資產持有存在一定之比例。此結果間接說明黃金與通貨匯率具有替代關係且黃金通貨匯率為-0.4。 This research focuses on deliberating the relationships between real exchange rate and gold price for major currencies. When the subprime crisis occurred, U.S dollars and gold holding by the investor will be having substitution effects. The research also adds major countries that are using euro in to the discussion to see if the currencies have the same substitution effects on gold, because not like U.S dollars, euro cannot willfully increase the quantity of money. By using the GARCH model and the Engle (2002) dynamic conditional correlation model, we can observe the dynamic effects of the gold returns and the currencies returns. It is showing a negative dynamic effect when the returns are stationary. In average, investors that are holding more than 1% of the currency will decrease the return of gold by 0.4%. Besides, by avoiding non-systematic risk on thegold, the investors will have a certain percent of assets holding. This result indirectly showing that there are substitution effects between gold and currency exchange rate and the gold currency exchange rates is -0.4.

主要通貨實質匯率與黃金價格關聯性分析 = The Relationships between Real Exchange Rate and Gold Price for Major Currencies
林, 朝偉

主要通貨實質匯率與黃金價格關聯性分析 = The Relationships between Real Exchange Rate and Gold Price for Major Currencies / 林朝偉撰 - [高雄市] : 撰者, 2014[民103]. - 66面 ; 圖，表 ; 30公分.
參考書目：面53-55103年12月16日公開.
實質匯率Real Exchange Rate

主要通貨實質匯率與黃金價格關聯性分析 = The Relationships between Real Exchange Rate and Gold Price for Major Currencies
LDR:03218nam0a2200289 450 001 430254
005 20170214090804.0
009 430254
010 0 $b 精裝
010 0 $b 平裝
100 $a 20170214d2014 k y0chiy05 e
101 1 $a chi $d chi $d eng
102 $a tw
105 $a ak am 000yy
200 1 $a 主要通貨實質匯率與黃金價格關聯性分析 $d The Relationships between Real Exchange Rate and Gold Price for Major Currencies $z eng $f 林朝偉撰
210 $a [高雄市] $c 撰者 $d 2014[民103]
215 0 $a 66面 $c 圖，表 $d 30公分
300 $a 參考書目：面53-55
300 $a 103年12月16日公開
314 $a 指導教授：翁銘章博士
328 $a 碩士論文--國立高雄大學應用經濟學系碩士班
330 $a 本篇論文著重於主要通貨匯率與黃金價格之連動性影響。當發生金融風暴事件時，投資人對於美元與黃金持有是存有替代效果。加入歐元區主要國家之討論，因歐元無法像美元能恣意地增加貨幣數量，進而探討歐元區主要通貨對於黃金是否仍存有替代關係。利用 GARCH 模型與 Engle(2002) 動態條件相關模型下，觀察黃金報酬率和通貨匯率報酬率之動態效果。當所有報酬率皆在定態下，其之間關聯為動態負向效果。平均而言，投資者若增加持有 1% 的通貨匯率時將損失掉 0.4% 黃金報酬率。此外，透過黃金規避非系統風險之功能，得讓投資者在資產持有存在一定之比例。此結果間接說明黃金與通貨匯率具有替代關係且黃金通貨匯率為-0.4。 This research focuses on deliberating the relationships between real exchange rate and gold price for major currencies. When the subprime crisis occurred, U.S dollars and gold holding by the investor will be having substitution effects. The research also adds major countries that are using euro in to the discussion to see if the currencies have the same substitution effects on gold, because not like U.S dollars, euro cannot willfully increase the quantity of money. By using the GARCH model and the Engle (2002) dynamic conditional correlation model, we can observe the dynamic effects of the gold returns and the currencies returns. It is showing a negative dynamic effect when the returns are stationary. In average, investors that are holding more than 1% of the currency will decrease the return of gold by 0.4%. Besides, by avoiding non-systematic risk on thegold, the investors will have a certain percent of assets holding. This result indirectly showing that there are substitution effects between gold and currency exchange rate and the gold currency exchange rates is -0.4.
510 1 $a The Relationships between Real Exchange Rate and Gold Price for Major Currencies $z eng
610 0 $a 實質匯率 $a 黃金價格 $a 固定相關係數 $a 動態相關係數 $a 動態相關係數一般化自我相關條件異質變異模型
610 1 $a Real Exchange Rate $a Gold Price $a Constant Correlation Coefficient $a Dynamic Correlation Coefficient $a DCC-GARCH Model
681 $a 008M/0019 $b 301206 4442 $v 2007年版
700 1 $a 林 $b 朝偉 $4 撰 $3 673468
712 0 2 $a 國立高雄大學 $b 應用經濟學系碩士班 $3 353959
801 0 $a tw $b NUK $c 20141021 $g CCR
856 7 $z 電子資源 $2 http $u http://handle.ncl.edu.tw/11296/ndltd/41357914242331949521