系統識別號 | U0002-0607202016125600 |
---|---|
DOI | 10.6846/TKU.2020.00131 |
論文名稱(中文) | 黃金走勢受不同國際景氣影響之非線性探討 |
論文名稱(英文) | The Nonlinear Study of Gold Trend Affected by Different International Booms |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士在職專班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 108 |
學期 | 2 |
出版年 | 109 |
研究生(中文) | 鄭巧鈞 |
研究生(英文) | Ciao-Jyun Jheng |
學號 | 707530167 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2020-06-28 |
論文頁數 | 39頁 |
口試委員 |
指導教授
-
聶建中
委員 - 聶建中 委員 - 陳達新 委員 - 李沃牆 |
關鍵字(中) |
美元指數 布蘭特原油 全球景氣成長率 倫敦黃金價格 |
關鍵字(英) |
US Dollar Index Brent Crude Global Economic Growth London Gold Price |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本研究主要探討黃金走勢受美元指數、布蘭特原油與全球景氣成長率的影響,並以全球景氣成長率為門檻變數因子,利用非線性平滑移轉模型,分別評估全球景氣於各區段,是否產生不同之影響變化。 實證結果顯示,全球景氣在不同的時期之下,各金融變數對黃金走勢之影響明顯不同,尤其全球景氣成長率圍繞在3.843472%附近時,金融變數中,布蘭特原油對黃金走勢呈現顯著影響關係;美元指數與全球景氣成長率對黃金走勢的影響呈不顯著。 |
英文摘要 |
This study mainly discusses the trend of gold caused by the US Dollar Index(USDX) and Brent Crude under the global economic growth rate. The nonlinear smooth transition model is used to explain whether the impact during different sections of the boom, or generate different changes. During different periods of the global economic growth rate, the empirical results indicate that the boom will influent the gold trend. The boom is like a phenomenon. However, Brent Crude impacts the trend of gold in significantly level. When the global growth is around 3.843472%, the USDX and the Global growth rate has no significant level on the trend of gold. |
第三語言摘要 | |
論文目次 |
目錄 III 表目錄 IV 圖目錄 V 第一章緒論 1 第一節研究動機及背景 1 第二節研究目的 3 第三節研究流程與架構 4 第二章文獻探討 6 第一節全球景氣對黃金之影響 6 第二節美元指數對黃金之影響 7 第三節石油對黃金之影響 9 第三章研究方法 10 第一節單根檢定法 11 第二節平滑移轉迴歸模型 15 第四章實證結果與分析 21 第一節研究資料 21 第二節敘述統計 22 第三節單根檢定 26 第四節線性檢定 29 第五節轉換函數檢定 30 第六節模型參數估計與分析 31 第五章結論與建議 35 參考文獻 37 表目錄 表4-1-1被解釋變數資料說明 21 表4-1-2解釋變數資料說明 21 表4-2-1各變數敘述統計量 23 表4-2-2各變數相關性檢定 23 表4-3-1 ADF及PP單根檢定 27 表4-3-2 KPSS及KSS單根檢定 28 表4-4-1 LM-TYPE線性檢定 29 表4-5-1轉換函數檢定檢定 30 表4-6-1倫敦黃金價格指數型模型參數估計 32 表4-6-2各解釋變數對倫敦黃金價格之影響關係 34 圖目錄 圖1-3-1 研究流程圖 5 圖3-2-1邏輯型函數圖形 18 圖3-2-2指數型函數圖形 19 圖4-2-1倫敦黃金價格走勢圖 24 圖4-2-2美元指數走勢圖 24 圖4-2-3布蘭特原油走勢圖 25 圖4-2-4全球景氣成長率走勢圖 25 圖4-6-1倫敦黃金價格之轉換函數 34 |
參考文獻 |
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