Please use this identifier to cite or link to this item: https://ah.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。
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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
Appears in Collections:[經濟學系] 學位論文

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