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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/131183


    Title: 亞洲各國匯率與黃金期貨價格之頻域因果關係
    Authors: 周清宥
    Chou, Qing-You
    Contributors: 徐士勛
    Hsu, Shih-Hsun
    周清宥
    Chou, Qing-You
    Keywords: 匯率
    黃金期貨價格
    頻域因果關係檢定
    Granger因果關係檢定
    Date: 2020
    Issue Date: 2020-08-03 18:12:21 (UTC+8)
    Abstract: 本文藉由時域架構下的Granger 因果關係檢定及Breitung and Candelon
    (2006) 提出之頻域架構下的因果關係檢定,探討亞洲各國匯率與黃金
    期貨價格之頻域因果關係,且在不同時間下的因果關係是否會有所不
    同。在時域的架構下探討亞洲匯率變數與黃金期貨價格之間的因果關
    係,可以發現在未加控制變數及加入控制變數後無條件及有條件模型
    下,得出兩變數之間僅存在單向的因果關係。然而本文在頻域的架構
    下探討亞洲匯率變數與黃金期貨價格之因果關係。在無條件模型中,
    欲將時間劃分成全期及三個子樣本下,得出在全期下,變數之間存在
    雙向因果關係,而在三個子樣本中,僅存在單向的因果關係;在有條
    件模型中,得出在全期及2008 年至2012 年這組子樣本下存在雙向的
    因果關係,另外兩個子樣本僅存在單向的因果關係。
    Reference: [1] Breitung, J., and B. Candelon(2006).“Testing for Short and Long Run Causality:A FrequencyDomain Approach. Journal of Econometrics, 132(2),363-378.
    [2] Bhunia, A., and Pakira, S., (2014).“Investing the impact of gold price and exchange rates on sensex:An evidence of India.”European Journal of Accounting,Finance of Business, 2(1), 1-11.
    [3] Dickey, D.A. and W.A. Fuller (1981). “Likelihood ratio statistics for autoregressive time series with a unit root.”Econometrica, 49,1057–1072.
    [4] Geweke, J., (1982). “Measurement of linear dependence and feedback between multiple time series.” Journal of the American Statistical Association, 77, 304–313.
    [5] Granger,C.W.J (1969).“Investigating casual relations by econometric models and cross spectral methods. Econometrica, 37,424–438.
    [6] Hosoya, Y., (1991).“The decomposition and measurement of the interdependency between secondorder
    stationary processes.”Probability Theory Relat Fields, 88, pp. 429-444.
    [7] Hosoya, Y., (2001).“Elimination of third‐series effect and defining partial measures of causality.”Journal of time series analysis, 22(5),537-554.
    [8] Le, T.H., and Chang, Y.,(2013).“Dynamic Relationships between the Price of Oil, Gold and Financial Variables in Japan: A Bounds Testing
    Approach.”Online at http://mpra.ub.unimuenchen.
    de/33030/ MPRA , Paper No. 33030.
    [9] 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.
    [10] Schaling,E., Ndlovu,X., and Alagidede,P.,(2014).“Modelling the rand and commodity prices: A Ganger causality and cointegration analysis.” Sajems Ns ,17,No 5:673–690.
    [11] Yao, F., and Hosoya, Y., (2000). “Inference on one way effect and evidence in japanese macroeconomic data.”Journal of Econometrics, 98, 225–255.
    Description: 碩士
    國立政治大學
    經濟學系
    107258028
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107258028
    Data Type: thesis
    DOI: 10.6814/NCCU202000699
    Appears in Collections:[經濟學系] 學位論文

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