美元指數是否為大宗商品期貨市場之領先指標？

Is the US Dollar Index a Leading Indicator of Bulk Commodity Futures Market?

美元指數綜合反應美元在國際外匯市場上的強弱情況，過去相關文獻多偏向美元匯率與大宗商品現貨市場間之關係，而大宗商品主要分為原油、農產品、金屬等商品，且多以美元計價，考慮期貨市場價格具有導引現貨市場價格的特質，故本研究以2009年1月至2015年6月為研究期間，將美元指數代替匯率，以商品期貨價格指數（CRB）、黃金期貨價格、原油期貨價格代表大宗商品期貨市場，以應用Granger因果關係來檢視近年美元指數與大宗商品期貨市場間之關聯性。實證結果顯示，美元指數對原油期貨價格具有單向Granger因果關係，CRB指數對原油期貨價格及黃金期貨價格具有單向Granger因果關係。

The US dollar index reflects the strength of the international foreign exchange market. Past literature mostly used exchange rates and bulk commodity markets. Bulk commodity is composed of crude oil, agriculture, and metals. Moreover, most of bulk commodities are denominated in dollars. We consider that the futures price is the leader of spot prices. This study used the monthly data of US dollar index, CRB index, futures prices of crude oil and futures prices of gold from January 2009 to June 2015. The US dollar index represents exchange rates. Thus, CRB index, futures prices of crude oil and futures prices of gold represented the bulk commodity futures market. We apply Granger causality test to examine the relationship between the US dollar and the bulk commodity futures market. The empirical results reveal that the US dollar index Granger causes futures prices of crude oil, and CRB index Granger causes futures prices of crude oil and futures prices of gold.