多元結構變動下美元、金價與油價動態關係之研究

Dynamics among Dollar, Gold and Crude Oil with Multiple Structural Changes

本文研究油價、金價與美元指數間的長短期動態關係，結果發現，金價、油價與美元指數三者皆為非定態序列，存在4個結構變動點。根據ARDL共整合檢定結果，在樣本全期間，三變數具共整合關係；在五個子期間，除第一子期間三變數間皆不具共整合關係外，在其他四個子期間三變數的共整合關係的變化，則視何者為依變數而定。根據Granger因果關係檢定結果，在樣本全期間只有美元指數領先金價；除第二子期間，金價與美元指數為雙向關係外，其他四個子期間各變數互有領先其他變數。本文建議為賺取短期投機價差，國際金融市場的投資人必須留意國際油價、金價與美元指數間之長短期互動關係外，尚須注意國際政經因素對這些國際金融商品可能的影響。 This paper investigates the long- and short-run dynamic relationship between oil price, gold price, and US dollar index. The results show that gold price, oil price, and Dollar index are all non-stationary series. There are four structural breaks during the whole sample period of these three commodities. By the ARDL co-integration test, the three variables have a co-integration relationship during the surveyed period；Except in the first sub-period where there is a co-integration relationship among the three variables, their co-integration relationships in the other four sub-periods depend on which one acts as the dependent variable. Furthermore, Granger causality results find that only Dollar index leads gold price during the entire period; except for the second sub-period where gold price and Dollar index have a bi-directional relationship, each variable Granger causes other variables in the other four sub-periods. This paper suggests that in order to earn short-term speculative spreads, investors in international financial markets pay attention to not only the long- and short-run interactions among the prices of these commodities but also the possible impacts caused by international political and economic events on them.