後金融海嘯影響黃金價格之總體經濟變數之研究

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Title:	後金融海嘯影響黃金價格之總體經濟變數之研究
Other Titles:	A Study of the Effect of Macroeconomic Variables on Gold Price After Financial Tsunami
Authors:	郭富城 Kuo, Fu-Chen
Contributors:	企業管理學系管理科學碩博士班袁淑芳 Shu-Fang Yuan
Keywords:	新興市場;金融海嘯;向量自我回歸模型;Granger因果關係;衝擊反應模型;黃金價格 Financial Tsunami;vector autoregressive technique;Granger causality test;Impulse response function;Gold price;Emergent Market
Date:	2015
Issue Date:	2016-10-25 16:08:19 (UTC+8)
Abstract:	本文目的在探討金融海嘯後黃金價格及亞洲新興市場之股價指數及匯率之時間序列關係，據此分析亞洲新興市場之經濟表現如何影響黃金價格的變動或黃金價格的波動對其股市及匯率的表現是否同具有衝擊的效應。本文選取之經濟變數包括中國上証指數、印尼JSX指數、泰國SET指數，此外尚包括人民幣、印尼盾、泰銖、印度盧比做為解釋黃金價格之變數，藉由向量自我回歸模型、Granger因果關係及衝擊反應模型探討黃金價格與各經濟變數之因果關係。本研究實證資料取自台灣經濟新報之紐約黃金日成交價，樣本期間以2008年金融海嘯作為分界，將時間分成兩個子區段來研究。實證結果顯示金融海嘯後黃金價格與上述經濟變數具有顯著的序列相關性，且黃金在金融海嘯後在每個國家的表現不同。從VAR 模型發現各個新興國家的VAR模型在金融海嘯後表現各異，前期的人民幣、泰國SET指數、和印度盧比對當期的黃金價格有顯著的影響，而前期的黃金顯著影響當期印尼盾、印尼JSX股市、泰銖、印度盧比和印度BSE500股市指數，接著藉由衝擊反應分析，顯示黃金受黃金自身、人民幣、泰銖、印度盧比的衝擊較為顯著。　　This study analyzes empirically the relationship between the economic variables of emerging markets in Asia and gold price. For this purpose,the certain of economic variables are considered, including composite index of Shanghai stock exchange (SSE), Indonesian stock exchange(JSX) Thailand Stock exchange (SET) , IN- BSE 500 and Renminbi, Indonesian rupiah, Thai baht, Indian rupee exchange rate. The vector autoregressive techniques, Granger causality tests and impulse response analyses are employed to explore whether the movement of Gold price is the outcome of the selected macroeconomic variables or it is one of the causes of movement in these economic variables.Using the observations of daily data from 2004 to 2011 from TEJ and separated two periods by the Financial Tsunami of 2008, the finding of the study suggests that the current gold price have obvious “lead-lag” relationship between the lead Renminbi exchange rate, Thailand Stock exchange, and Indian rupee after Financial Tsunami. And lead gold price have signific effect on current Indonesian rupiah ,Indonesian stock exchange (JSX), Thai baht, Indian rupee exchange rate and IN- BSE 500.According to the impulse response analysis, it shows that the variance of gold price is significant explained by the lagged gold price, Renminbi exchange rate , Thai baht and Indian rupee.
Appears in Collections:	[Department of Business Administration, Master/Ph.D Program in Management Sciences] Disserations and Theses(Master and Doctoral Program in Management Sciences)

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