| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 101 === This study is to discuss the relationship of the following three variables - the mining fund, gold, and the U.S. dollar Index (USDX). We adopted the Unit Root test, VAR model, co-integration test, and Granger causality analysis, to find their equilibrium relationship of the above three variables in the long run, and discuss their causal relationship. The time period of the monthly samples taken is between December, 1999 and October, 2012.
Based on the empirical analysis of the above proceedings, we summary the main conclusions as follows:
1. As the causality test, the relationship of mining fund and gold spots is two-way causality relationship, and that of gold spots and the USDX index is one-way direction, in which gold spots advanced the USDX Index. That of mining fund and the USDX index is independently unrelated.
2. The Variance Decomposition test show that both mining fund and gold spots are mutually explained and affected, and the USDX index is affected by mining fund, and gold spots both.
3. Based on the Impulse Response Analysis, it is showed that (i).The mining fund is impacted factor, the response of mining fund is positive, and that of gold spots is negative. The Index is unrelated. (ii) The gold spot price is impacted factor, the response of mining fund is positive, and that of gold spots is turning positive from early negative. The Index is also positive but not obvious. (iii) The US Dollar Index is impacted factor, the response of mining fund is negative, and that of gold spots is turning negative from early positive. The Dollar Index is also positive.
4. The cointegration test has proved that there is a long-run equilibrium relationship between the fund, gold spot, and the USDX index.
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