本研究探討自2005年以來原油價格、不動產、黃金現貨價格及美元匯率四者之互動關係。樣本期間為2005年6月17日至2011年9月30日之德州輕原油收盤價、美國不動產基金指數日資料、黃金現貨價、美元匯率日報價。本文利用ARJI模型探討四種金融資產的跳躍強度與波動外溢效果，並且以VAR模型做後相關探討。實證結果如下: 1.根據Jarque-Bera常態分配檢定，顯示四項金融變數皆不顯著存在常態分配，可能因隨機的異常事件導致報酬率的變動。 2.在ARJI模型的估計結果顯示，原油、不動產指數、黃金及美元匯率報酬率的跳躍大小的平均數在5%顯著水準下皆為顯著。即表示原油、不動產指數、黃金及美元匯率報酬率均存在著異常資訊所造成瞬時的跳躍行為，其中除美元匯率外，其它變數受到異常資訊所引起的跳躍對於報酬率大多為負面影響。 3.由VAR檢定可發現原油、不動產指數、黃金及美元匯率報酬率的前期皆顯著表示當均衡關係偏離時，原油、不動產指數、黃金及美元匯率需要較大的調整才得以回復均衡。且可看出不動產指數、黃金及美元匯率報酬率的前期係數皆相當大，趨近於1，可以說明這三項變數的前一期變動對於本期影響幾乎為完全正相關。Kaufmann (2004)與Hansen and Lindholt (2004)皆認為，OPEC有能力去影響原油價格。所以推測原油的部分可能是因為中東情勢緊張且戰事頻仍，導致間接影響了西德州原油價格，導致西德州原油前期對於當期的影響不若其它變數為高。

This study discuss the interaction between crude oil price, real estate, gold spot price and U.S. dollar exchange rate since 2005. The sample data is Texas Light Crude Oil Closing Price, U.S. Real Estate Fund Index daily quotation, Gold Spot Price and U.S. Dollar Exchange Rate daily quotation, from June 17, 2005 to September 30, 2011. In this paper, the ARJI model is the tool to explore the jump intensity and volatility spillover effects of these four financial asset, and we use the VAR model to discuss the following issue.
The empirical results are as follows:
1. According to the Jarque-Bera normality test, we found that there is no significant evidence to proof the normality distribution of the four financial variables exist, and the fluctuate of the rate of return might be affected by random exception events.
2. ARJI model estimation results show that the mean return of crude oil, real estate index, gold and U.S. dollar exchange are significant at the 5% statistics level. It states that the exceptional information would be the reason of the instantaneous jumping behavior of these four financial elements, and in addition to U.S. dollar exchange rate, the jumping behavior of other variables cause by exceptional information most have negative impact on the return.
3. By the VAR test, we found the T-1 return of crude oil, real estate index, gold and U.S. dollar exchange rate are all significant, indicate that larger amount would be needed for these four financial elements to reinstate the equilibrium relationship when the equilibrium become deviate. And the T-1 return coefficients of real estate index, gold and U.S. dollar exchange rate is quite large, close to 1, indicate that the impacts  of the T-1 change of these three variables to the current T term is almost completely positive correlation. For the T-1 coefficient of crude oil, Kaufmann (2004) and Hansen and Lindholt (2004) state that OPEC is powerful able to affect the price of crude oil. Therefore, we speculate that the tension in the Middle East and the war frequency might affect the West Texas crude oil price indirectly, make its impact of T-1 coefficient on the current T is not as strong as the other variables.

第一章	緒論…………………………………………………………………………1
第一節	研究背景與動機………………………………………....…………....1
第二節	研究目的………………………………………………………………3
第三節	研究期間及研究對象…………………………………………………4
第四節	研究架構……………………………………………………………....4
第二章	文獻回顧…………………………………………………………………....6
第一節	原油……………………………………………………………………6
第二節	不動產投資信託(Real Estate Investment Trusts, REITs)………...….8
第三節	黃金……………………………………………………………………9
第四節	美元匯率…………………………………………………………..…11
第三章	研究方法…………………………………………………………………..13
第一節	單根檢定(unit root test)…………………………..…..……………...13
一、	ADF單根檢定法…………………………………………………….14
二、	PP單根檢定法…………………………………………...……...…..15
第二節	ARJI模型(Autoregressive conditional jump intensity)……......…...16
第三節	向量自我迴歸模型(VAR)………………………………………..….20
一、	模型介紹……………………………………………………………..21
二、	衝擊反應函數………………………………………………………..21
第四節	因果關係檢定………………………………………………………..22
第四章	實證結果與分析……………………………………………………..……24
第一節	資料來源………………………………………………………….….24
第二節	資料處理……………………………………………………………..24
第三節	實證結果與分析………………………………………………..……25
一、	敘述統計分析…………………………………………………….….25
二、	單根檢定……………………………………………………………..26
三、	ARJI模型檢定………………………………………...………….....27
四、	VAR模型檢定……………………………………………………….32
五、	Granger因果關係檢定…………………………………………..…..34
六、	衝擊反應函數………………………………………………………..35
第五章	結論………………………………………………………………………..37
參考文獻………………………………………………………………………..……39

表目錄
【表1】報酬率基本敘述統計.....................................................................................25
【表2】報酬率單根檢定結果....................................................................................26
【表3】原油、不動產指數、黃金與美元匯率ARJI模型估計結果......................30
【表4】原油、不動產指數、黃金與美元匯率報酬重要跳躍事件及強度.............32
【表5】跳躍強度VAR模型估計結果......................................................................33
【表6】原油、不動產指數、黃金與美元匯率報酬跳躍強度Granger因果關係檢    	    定..................................................................................................................34

圖目錄
【圖1】原油報酬率跳躍強度...................................................................................31
【圖2】不動產指數報酬率跳躍強度.......................................................................31
【圖3】黃金報酬率跳躍強度...................................................................................31
【圖4】美元匯率報酬率跳躍強度...........................................................................31
【圖5】原油、不動產指數、黃金與美元匯率「領先-落後」示意圖..................34
【圖6】原油、不動產指數、黃金與美元匯率報酬跳躍強度衝擊反應函數........36

國內文獻:

王怡文，(2007)，西德州與布蘭特原油避險策略，淡江大學財務金融學系碩士班		碩士論文。
王允俊，(2007)，匯率、金價與油價關係之研究，高雄應用科技大學金融資訊研   		究所碩士論文。

王家美，(2009)，國際原油價格與總體經濟之間的關聯性，逢甲大學財務金融學		系碩士論文。

王燕春，(2006)，油價與匯率互動關係的研究，國立高雄應用科技大學金融資訊		研究所碩士論文。

余佳昇，(2006)，油價、金價及英鎊兌美元匯率報酬之共移性與外溢效果，中原		大學國際貿易研究所碩士論文。

李亞玫，(2008)，由全球金融海嘯看美元本位制，國立政治大學經營管理研究所 		碩士論文。

李映潔，(2006)，影響黃金價格因素其穩定性之研究，國立成功大學國際企業研		究所碩士論文。 
李篤華、徐世勳、周磊，(2006)，國際原油與國內油品價格變動對台灣經濟之影		響評估，2006真理大學財務與經濟學術研討會。

紀慧君，(2007)，原油現貨、期貨與相關性產業之連動關係，淡江大學財務金融		學系碩士班碩士論文。

洪仁杰，(2008)，股價、黃金、債券型基金與通貨膨脹關聯性之研究，屏東科技		大學財務金融研究所碩士論文。

洪瑞成，(2007)，風險值衡量與風險值避險法，淡江大學財務金融學系博士班博		士論文。


郎震宇，(2008)，金融變數與不動產投資信託之關聯性分析-台灣市場的實證研			究，國立高雄應用科技大學金融資訊研究所碩士論文。

張鼎煥，(2009)，S&P500選擇權市場投資人交易隱含資訊與日曆價差組合策略之		研究，淡江大學財務金融學系博士班博士論文。

陳金廷，(2005)，油價、金價與台灣產業分類股價指數關聯性探討，樹德科技大		學金融保險研究所碩士論文。

陳俊吉，(2008)，資產報酬在偏態GED分配下之跳躍模型比較，淡江大學財務			金融學系在職專班碩士論文。

陳銘琦，(1989)，黃金價格時間數列模型，淡江大學管理科學研究所碩士論文。

陳坤宏，(2008)，不動產投資信託與物價之動態分析-以日本為例，淡江大學財務		金融學系碩士班碩士論文。

黃誠甫，(2010)，OPEC與俄羅斯原油增產之跨國經濟影響分析，國立臺灣海洋			大學應用經濟系碩士論文。

楊瑩瑛，(2006)，黃金價格：全球要求報酬理論實證研究，雲林科技大學財務金		融系碩士論文。

詹健宗，(2008)，不動產投資信託的影響因素—以美加為例，淡江大學財務金融		學系碩士論文


國外文獻:

Akaike, (1973), "Information theory and an extension of the maximum likelihood principle. In B.N. Petrov and F. Csaki(eds.)," 2nd International Symposium on Information Theory, pp.267-281.

Bates, J.M. and C.W.J. Granger., (1969), "The Combination of Forecasts," Operational Research Quarterly, Vol. 20(4), pp.451-68.

Brown, S.P.A. and Yucel, M.K., (1999), "Energy Prices and Aggregate Economic Activity: an Interpretative Survey," Quarterly Review of Economics and Finance, Vol. 42(2), pp.193-208.

Chan, W. H. and J.M. Maheu, (2002), "Conditional Jump Dynamics in Stock Market 		Return," Journal of Business & Economic Statistics, Vol. 20(3),				pp.377-389.

Darrat, A.F. and J.L., Glascock, (1989), "Real Estate Returns, Monetary and Fiscal Deficits: Is the Real Estate Market Efficient?," Journal of Real Estate 			Finance and Economics, Vol. 2, pp.197-208.

Dickey and Fuller, (1979), "Distribution of the Estimators for Autoregressive Time Series With a Unit Root," Journal of the American Statistical Association, Vol. 74(366), pp.427-431.

Dickey, D. and W. Fuller, (1981), "Likelihood Ratio Statistics for Autoregressive 			Time Series with a Unit Root," Econometrica, Vol. 55, pp. 251-276.

Elekdag, S. and I. Tchakarov J., (2007), "Balance Sheets, Exchange Rate Policy and Welfare," Journal of Economic Dynamics and Control, Vol. 31(12), pp.3986-4015.
Engle and Granger, (1987 ), "Cointegration and Error Correction: Representation, Estimation, and Testing,"  Econometrica, Vol. 55,Mar. pp.251-276.

Ewing, B., and Payne, J., (2005), "The Response of Real Estate Investment Trust Returns to Macroeconomic Shocks," Journal of Business Research, Vol. 58(3), pp.293-300. 

Frost, P.A. and Savarino. and Jorion, (1988), "For Better Performance：Constrain Portfolio Weights," The Journal of Portfolio Management, Vol. 15(1), pp.29-34.

Glascock, J.L., Chiuling Lu, Raymond, (2002), "REITs Returns and Inflation: Perverse or Reverse Causality Effects?," Journal of Real Estate Finance and Economics. Boston, Vol. 24(3), pp.301-317.

Guo, H., and Kliesen, K.L., (2005), "Oil Price Volatility and U. S. Macroeconomic activity," Federal Reserve Bank of St. Louis Review, Vol.87(6), pp.669-683.

Hamilton, J. D., (1983), "Oil and The Macroeconomy Since World War II," Journal Politic Economy, Vol. 91(2), pp.228-248.

Kanas, A., (2002), "Is Exchange Rate Volatility Influence by Stock Return Volatility? Evidence from the US, the UK and Japan," Applied Economics Letters, Vol. 1(3), preview article.

Li-Yuming and Ko-Wang, (1995),"The Predictability of REIT Returns and Market Segmentation," Journal of Estate Research, Vol. 10(4), pp.471-481.

Merton, (1976), "Option Pricing When Underlying Stock Returns Are Discontinuous,"  Journal of Financial Economics, Vol. 3, pp.125-144.

Mork, Knut A., (1989), "Oil and the macroeconomy when prices go up and down: An extension of Hamilton's results," Journal of Political Economy, Vol. 91, pp.740-744.

Nelson and Plosser, (1982), "Trends and Random Walks in Macroeconmic Time Series : Some Evidence and Implications," Journal of Monetary Economics, Vol.10, pp.139-162.
Papapetrou and Evangelia, (2001), "Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece," Energy Economics, Vol. 23(5), pp.511-532.

Payne, James E., (2003), "Shocks to marcoeconomic state variables and the risk 	premium of REITs," Applied Economics Letters,Vol.10 Issue 11, pp.671-678.

Phillips and Perron, (1988), "Testing for a Unit Root in time series regres-sion," Biometrika, 75, pp.335-346.

Simpson, Marc W., Ramchander, Sanjay and Webb, James R., (2007), "The Asymmetric Response of Equity REIT Returns to Inflation," Journal of 	Real Estate Finance & Economics, Vol. 34, pp.513-529.

Sims, (1980), "Macroeconomics and Reality," Econometrics, Vol. 48, pp.1-4.

Swanson, Z. and Theis, J. and Casey, K.M., (2002), "REIT risk premium sensitivity and interest rates," Journal of Real Estate Finance and Economics, Vol. 24(3), pp.319-330.