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https://ah.lib.nccu.edu.tw/handle/140.119/131183| 題名: | 亞洲各國匯率與黃金期貨價格之頻域因果關係 | 作者: | 周清宥 Chou, Qing-You |
貢獻者: | 徐士勛 Hsu, Shih-Hsun 周清宥 Chou, Qing-You |
關鍵詞: | 匯率 黃金期貨價格 頻域因果關係檢定 Granger因果關係檢定 |
日期: | 2020 | 上傳時間: | 3-八月-2020 | 摘要: | 本文藉由時域架構下的Granger 因果關係檢定及Breitung and Candelon\n(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\n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\n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\n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\n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\n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，\n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\n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\n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\n因果關係，另外兩個子樣本僅存在單向的因果關係。 | 參考文獻: | [1] Breitung, J., and B. Candelon(2006).“Testing for Short and Long Run Causality:A FrequencyDomain Approach. Journal of Econometrics, 132(2),363-378.\n[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.\n[3] Dickey, D.A. and W.A. Fuller (1981). “Likelihood ratio statistics for autoregressive time series with a unit root.”Econometrica, 49,1057–1072.\n[4] Geweke, J., (1982). “Measurement of linear dependence and feedback between multiple time series.” Journal of the American Statistical Association, 77, 304–313.\n[5] Granger,C.W.J (1969).“Investigating casual relations by econometric models and cross spectral methods. Econometrica, 37,424–438.\n[6] Hosoya, Y., (1991).“The decomposition and measurement of the interdependency between secondorder\nstationary processes.”Probability Theory Relat Fields, 88, pp. 429-444.\n[7] Hosoya, Y., (2001).“Elimination of third‐series effect and defining partial measures of causality.”Journal of time series analysis, 22(5),537-554.\n[8] Le, T.H., and Chang, Y.,(2013).“Dynamic Relationships between the Price of Oil, Gold and Financial Variables in Japan: A Bounds Testing\nApproach.”Online at http://mpra.ub.unimuenchen.\nde/33030/ MPRA , Paper No. 33030.\n[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.\n[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.\n[11] Yao, F., and Hosoya, Y., (2000). “Inference on one way effect and evidence in japanese macroeconomic data.”Journal of Econometrics, 98, 225–255. | 描述: | 碩士 國立政治大學 經濟學系 107258028 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0107258028 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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