本研究採用由 Enders and Granger（1998）以及 Enders and Siklos（2001）闡述的 TAR 和 M-TAR 的非線性框架，研究了三個有趣的主題：（1）研究兩個富人指數之間的非線性動態關係，優質葡萄酒指數和奢侈品指數；（2）探究精品酒指數與價格水平的因果關係；（3）調查奢侈品指數與價格水平的動態交互作用。三個模型規範的結果是（1）WIN50 到 SPGL 的 TAR/T，以及 SPGL 到 WIN50 的反之 MTAR/T；（2）SPGL 到 USCP 和 USCP 到 SPGL4 的 TAR/T 和 M-TAR/T；（3）SPGL 和 USCP 的合適模型是兩個方向的 TAR/T。本研究針對三個問題的實證結果分別描述如下。首先，富人消費的兩個代理指標被發現是相互影響的。但這種雙向因果關係只有在長期下行兩個代理指標的背離相距不遠時才會出現。精品酒指數與價格水平的非線性因果關係表現出WIN50與USCP雙向無短期因果關係的相同現象，但長期來看，USCP出現單向因果關係到下區WIN50。標普全球奢侈品指數與美國CPI之間的非線性因果關係僅表明標普全球奢侈品指數與美國CPI存在短期單向因果關係，從長期來看，標普全球奢侈品指數與美國CPI之間存在單向因果關係。指數與美國CPI互為因果關係，美國CPI與標普全球奢侈品指數因果關係的上部區域除外。

Employing the nonlinear frameworks of TAR and M-TAR elaborated by Enders and Granger (1998) and Enders and Siklos (2001), three interesting topics are examined: (1) investigate the nonlinear dynamic relationships between the two rich’s indices, the fine wine index and the luxury index; (2) to explore the causal relationship between the fine wine index and the price level; (3) to investigate the dynamic interactions of the luxury index and the price level. The results of three model specifications are (1) TAR/T for WIN50 to SPGL and, and conversely MTAR/T for SPGL to WIN50; (2) TAR/T and M-TAR/T for SPGL to USCP and USCP to SPGL4; and (3) the suitable models for SPGL and USCP are TAR/T for both direction. The empirical results for the three issues investigated in this research are described separately as follows. First, the two proxy indices for the rich’s consumption are found to be mutually caused by each other. But this bidirectional causal relation only appears during the long-run in the lower region when the two proxy indices deviate from each other are not far apart. The nonlinear causal relations between the pair of the fine wine index and the price level shows the same phenomenon of no short-run causality between WIN50 and USCP bi-directionally, however, during the long-run, a unidirectional causal relation appears from the USCP to WIN50 in the lower region. The nonlinear causal relation between the S&P global luxury index and the CPI of the US shows only a short-run uni-direction causal relation from the S&P global luxury index to the CPI of the US, for the long-run, the S&P global luxury index and the CPI of the US mutually cause each other with the exception for the upper region of the causality from the CPI of the US to the S&P global luxury index.

Table of Contents
                                                      Page
Acknowledgements ------------------------------------ i
Chinese Abstract ------------------------------------ ii
English Abstract ------------------------------------ iv
Table of Contents ----------------------------------- v
List of Tables -------------------------------------- vii
List of Figures -------------------------------------viii


CONTENTS                                                  Page
I. Introduction.............................................1
 1.1  Background and Motivation.............................1
 1.2  Purpose...............................................6
II. Literature Review.......................................8
 2.1  The rich’s consumption................................8
 2.2  The consumption products of the rich..................9
   2.2.1 Fine Wine Related Literature.......................10
   2.2.2 Luxury goods Related Literature....................15
 2.3  The rich’s consumption and price level................17
  2.3.1 Wine index and price level..........................18
  2.3.2 Luxury goods and price level........................20
III. Methodology............................................22
 3.1 Threshold Cointegration Tests..........................22
 3.2 TECM Granger-Causality tests...........................24
IV. Data and Empirical Results..............................25
 4.1  The data..............................................25
 4.2  Threshold Cointegration Tests.........................32
 4.3  M-TECM Nonlinear Granger-Causality Tests..............37
V. Conclusions and Suggestions..............................42
VI. Reference...............................................45

List of Tables                                                                 Page
Table 4.1 Descriptive statistics for three variables investigated...............27
Table 4.2 Model specification for the nonlinear cointegration relation between wine and luxury......................................................................33
Table 4.3 Model specification for the nonlinear cointegration relation between wine and price.......................................................................34
Table 4.4 Model specification for the nonlinear cointegration relation between luxury and price.......................................................................35
Table 4.5 Causal relation between S&P global luxury index and fine wine 50 index 	................................................................................37
Table 4.6 Causal relation between price level and fine wine 50 index............39
Table 4.7 Causal relation between price level and S&P global luxury goods index.40

List of Figures                                               Page
Figure 4.1 Trend of fine wine index (WIN50).....................28
Figure 4.2 Trend of S&P global luxury goods index (SPGL)........29
Figure 4.3 Trend of the CPI of US (USCP)........................29
Figure 4.4 Trends of WIN50 and SPGL.............................30
Figure 4.5 Trends of WIN50 and USCP.............................30
Figure 4.6 Trends of SPGL and USCP..............................31

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