The Study on The Correlation of Gold and The New Taiwan Dollar, Dollar, Euro, or Renminbi

• Main Authors: Hung-Chi Tseng, 曾泓智
• Other Authors: Min-Jiun Su
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/35054213070614747757

碩士 === 國立中興大學 === 企業管理學系所 === 101 === Most of the past studies focus on the static correlation between gold price rising and currency devaluation. Few studies research on dynamic correlation even if they assumed the correlation coefficient of dynamic model was constant and could not change with time.This study focuses on static and dynamic correlation between gold price rising and currency devaluation. Static relation uses standard deviation and Pearson correlation coefficient to estimate. Dynamic relation uses DCC Bivariate GARCH to estimate the standard deviation and correlation coefficient which changed with time. The sample adopted 1999 to 2012 Log change of gold price in NTD, Dollars, Euro and Renminbi. To research the correlation between A(NTD) and B(Dollar, Euro, Renminbi).After the sample descriptive statistics, constancy test, standard deviation and correlation coefficient. The static correlation between gold price rising and NTD , Dollar, Euro, Renminbi devaluation is positive. By DCC Bivariate GARCH result, the Dynamic correlation between gold price rising and NTD, Dollar, Euro, Renminbi devaluation is positive.