| Summary: | 碩士 === 大葉大學 === 事業經營研究所碩士在職專班 === 94 === This study employs a total of 245 monthly data respectively belonging to gold futures and U.S. dollar index futures from November, 1985 to March, 2006. It is the main purpose for this study to investigate the dynamic interactive relationship between gold futures and U.S. dollar index futures using the impulse response function and variance decomposition. The conclusions are summed up as follows:
First of all, we obtain that two time series of gold futures and U.S. dollar index futures respectively belong to non-stationary using the Ng-Perron model.
Then, we employ the Johansen maximum likelihood method to examine the cointegration relationship between them. The result is that they possess the cointegration relationship.
At last, we exercise the Vector Error Correction Model (VECM) to investigate the dynamic interactive relationship between gold futures and U.S. dollar index futures. Comparing with gold futures, we find that the U.S. dollar index futures possess the function of the price discovery and are also less influenced by exogenous variables.
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