A study on the dynamic relationship between oil price, exchange rate and commodity price

• Main Authors: Min-Hsuan, Hsu, 徐敏軒
• Other Authors: Mei-Se, Chien
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/pr5dq4

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 103 === The aim of this paper is to examine the dynamic linkages among oil price, US dollar exchange rate index and commodity prices, using recursive cointegration analysis over the period from January 1980 to May 2014. The empirical evidence is as the following: First, the empirical results of recursive cointegration confirm there are cointegration relationships among the three precious metals and oil price, US dollar exchange rate. Second, the recursive cointegration' result of the multi-variable model for precious metal shows that there is a cointegration vector over all period, and there are two cointegration vector after 2005. Third, the recursive cointegration' result of the single-variable model for agricultural commodity cofirms that there is a cointegration vector for three agricultural markets,namely maize, wheat and soybeans. From 1987 to 1991, there is no cointegration for the sugar market. Finally, the recursive cointegration's result of the multi-variable model for agricultural commodity comfirms that there is a cointegration vector in the long run, and there are two cointegration vectors after 2006, which implies the integrated trend is more close after 2006.