| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 104 === This study mainly discusses the relationship among VIX, S&P 500 and US dollar index. The samples are weekly data from January 2000 to April 2015. Due to the subprime mortgage crisis occurred during the period of this study, the sample period is classified into three parts, namely “full period” (from 2000 to 2015), “pre-crisis period” (from 2000 to 2008) and “post-crisis period” (from 2008 to 2015). This study uses statistics methods such as vector auto-regression model (VAR), Granger causality test, impulse response function, and variance decomposition to discuss the association among these variables.
The main results are as follows: In VAR model, S&P 500 and VIX have significant influence on US dollar index. In Granger causality test, VIX Granger-causes US dollar index; S&P 500 and VIX have bidirectional causality. In impulse response analysis, VIX, S&P 500 and US dollar index affect each other mutually, but this effect is not comprehensive. In variance decomposition of forecast errors, the variation for VIX and S&P 500 can be mainly attributed to itself. However, VIX and S&P 500 are significant sources of variation for US dollar index.
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