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系統識別號 U0002-0607202016125600
中文論文名稱 黃金走勢受不同國際景氣影響之非線性探討
英文論文名稱 The Nonlinear Study of Gold Trend Affected by Different International Booms
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 108
學期 2
出版年 109
研究生中文姓名 鄭巧鈞
研究生英文姓名 Ciao-Jyun Jheng
學號 707530167
學位類別 碩士
語文別 中文
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
中文關鍵字 美元指數  布蘭特原油  全球景氣成長率  倫敦黃金價格 
英文關鍵字 US Dollar Index  Brent Crude  Global Economic Growth  London Gold Price 
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.
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 一、中文文獻:
林亮宇,(2018),美元指數與黃金原油價格之非線性因果關係探討,淡江大學財務金融學系碩士在職專班碩士論文。
陳芳賢,(2017),多元結構變動下美元、金價與油價的動態關係之研究,國立中興大學高階經理人碩士在職專班碩士論文。
黃宣銘,(2019),國際政經體系下黃金價格與價值之關聯性,國立中興大學國際政治研究所碩士論文。
蔡忠勳,(2016),黃金、石油及美元長短期互動關係探討,淡江大學財務金融學系碩士在職專班碩士論文。
鍾蓓函,(2017),世界新局勢下之美元,石油,和黃金的關聯性再檢視,國立雲林科技大學財務金融系碩士論文。

二、英文文獻:
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Aizenman,J., and Inoue, K. (2013), “Central Banks and Gold Puzzles,” Journal of the Japanese and International Economies,28(1), 69-90.
Balcilar, M., Ozdemir Z. A., and Shahbaz, M. (2019), “On the Time‐Varying Links Between Oil and Gold: New Insights from the Rolling and Recursive Rolling Approaches,” International Journal of Finance and Economics, 24(3), 1047-1065.
Dickey, D. A., and Fuller, W. A.(1981),“Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” journal of the Econometric Society,49(4), 1057-1072.
Dickey, D. A., and Said, S. E. (1984), “Testing for Unit Roots in Autoregressive- Moving Average Models of Unknown Order,”Biometrika,71(3), 599-607.
Dong, M. C., Chen, C.W.S., Lee, S., and Sriboonchitta, S. (2019),“How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models,” Computational Economics, 53(1), 343-366.
Dolado, J. J., Jenkinson, T., and Rivero, S.S. (1990), “Cointegration and Unit Roots,” Journal of Economic Surveys, 4(3), 249-273.
Enders, W., and Granger, C.W.J. (1998),“Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,” Journal of Business and Economic Statistics, 16(2), 304-311
Enders, W., and Siklos, P. L. (2001),“Cointegration and Threshold Adjustment,” Journal of Business and Economic Statistics, 19(2), 166-76.
Fan, W., Fang, S., and Lu, T. (2014), “Macro-Factors on Gold Pricing During the Financial Crisis,” China Finance Review International, 4(1), 58-75.
Faugere, C., and Van Erlach, J. (2005), “The Price of Gold: A Global Required Yield Theory,” Journal of Investing, 14(1), 99-111.
Gopalakrishnan, B., and Mohapatra, S. ( 2018), “Global Risk and Demand for Gold by Central Banks,” Applied Economics Letters, 25(12), 835-839.
Granger, C. W., and Terasvirta, T. (1993), “Modeling Non-Linear Economic Relationships,” Oxford University Press.
Heinisch, K., and Lindner, A. (2019), “For How Long Do IMF Forecasts of World Economic Growth Stay Up-to-Date?,” Applied Economics Letters, 26(3), 255-260.
Kapetanios, G., Shin, Y., and Snell, A. (2003), “Testing for a Unit Root in the Nonlinear STAR Framework,” Journal of Econometrics, 112(2), 359-379.
Kwiatkowski, D., Phillips, P. C.B., Schmidt, P., and Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,”Journal of Econometrics, 54(1-3), 159-178.
Nelson, C. R., and Plosser, C. R. (1982), “Trends and Random Walks in Macroeconmic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, 10(2), 139-162.
Phillips, P. C. B., and Perron, P. (1988), “Testing For a Unit Root in Time Series Regression,” Biometrika, 75(2), 335-346.
Sephton, P., and Mann J. (2018), “Gold and Crude Oil Prices After the Great Moderation,” Energy Economics, 71, 273-281.
Teräsvirta, T. (1994), “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” Journal of the American Statistical Association, 89(425), 208-218.
Tuna, G. (2017), “Time Varying Causality Between Gold and Oil Prices,” Romanian Economic and Business Review,12(1), 59-67.
Zumbrun, J. (2019), “IMF Cuts Global GDP Forecast for 2019, Citing Fallout From Trade Tensions; GDP Growth Expected to Slow to 3.2%; World Trade Forecast to Grow 2.5%, Off Sharply,” Business and Economics, Wall Street Journal.
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