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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/50855
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/50855

    Title: 原物料指數與總經物價指數關聯性分析
    The analysis of the relationship between commodity price index and macroeconomic price indexes
    Authors: 謝濱宇
    Contributors: 張興華
    Keywords: 原物料價格
    Commodity Price
    Granger Causality Test
    Impulse Response Analysis
    Date: 2010
    Issue Date: 2011-09-29 16:50:41 (UTC+8)
    Abstract: 本篇主要為原物料指數與總體經濟物價間動態關聯性的研究。由於近年來糧食價格高漲,本研究選取CRB現貨指數(Commodity Research Bureau)、CCI期貨指數(Continuous Commodity Index),與CRB農產品指數為原物料指數以觀察原物料價格對總體面物價影響的程度;研究期間為2001年10月至2011年3月;總經物價指標選擇生產者物價指數(PPI)、消費者物價指數(CPI)、再加上國內生產毛額(GDP);選取的國家為美國、臺灣與中國。本研究以Johansen共整合、向量自我迴歸模型、向量誤差修正模型、Granger因果關係檢定及衝擊反應分析等方法,探討三項原物料指數與總體經濟指標的互動關係。

    This paper investigates the relationship between the commodity indexes and macroeconomic price indexes. Due to the sharp increase of food price in recent years, we add CRB index (Commodity Research Bureau), CCI index (Continuous Commodity Index), and CRB foodstuffs index in the research to see the magnitude of commodity price indexes to macroeconomic price indexes. This paper selects United State, Taiwan and China as samples and manages to find out the relationship of commodity indexes and macroeconomic price indexes by applying monthly data from October 2001 to March 2011. Macroeconomic price indexes are PPI (Producer Price Index), CPI( Consumer Price Index) and plus GDP Index. This paper tries to get the answer by applying Johansen Cointegration Test, Vector Autoregression Model(VAR), Vector Error Correction Model (VECM), Granger causality test and Impulse Response Analysis.

    The result does not show obvious long-term relationship between commodity price indexes and macroeconomic price indexes; and Granger causality test exhibits that CCI index takes the lead in the change of time. But we do not get consistent result between CRB index, CRB foodstuffs index and macroeconomic price indexes in Granger causality test which means commodity spot indexes do not necessarily lead in the change of time. This result implies that CCI index a better indicator in forecasting. According to Impulse Response Analysis, macroeconomic price indexes are influenced by commodity index only in a short period of time and this result tells us that the disequilibrium between commodity indexes and macroeconomic price indexes will not last long.
    Reference: 國內文獻部分
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    3.林建智 (2006),「原油價格與股價關係之探討-以美國及台灣為例」, 世新大學管理學院財務金融學系碩士論文。
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0983520041
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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