| Summary: | 碩士 === 國立臺中科技大學 === 財務金融研究所碩士班 === 105 === The 1970’s two oil crises, the 2008 financial crisis, and the 2010 European debt crisis, and the 2016 Brexit, all let gold prices soar. Today “gold” still play a very important role—hedging, national currency reserves, in order to maintain monetary and economic stability.
This research will be based on the five time series variables of the New York gold spot, the North Sea Brent crude oil spot, the US dollar index, the Non-farm employment data and the consumer price index. From October 1995 to March 2017 a total of 258 monthly data, using the ADF single root verification and PP single root verification, co-integration verification, vector autoregressive model, impact response, variance decomposition and other methods to study the interaction between variables.
The results show that, no matter what single root test ,all variables become the stationary variables of I(0) after first-order difference, and the results show that the total integration of the test variables has the co-integration relationship ,so the vector error correction model. We found that New York gold spot and North Sea Brent crude oil spot has a significant impact, and the first one will also be significantly affected by the consumer price index. Brent crude oil and the US dollar index have a two-way feedback relationship effect.
This research holds that the rise of crude oil has a positive effect on gold price, and also means that gold is a kind of asset tool which is safe from equity portfolio. As the consumer price index is a “lagging pointer”, when the price gold fully reflects the expectations of the consumer price index before it is released, the publication of the data after the release of a period of time, to the gold to produce a “news” reverse reaction.
|
|---|
