| Summary: | 碩士 === 大同大學 === 資訊經營學系(所) === 98 === Production of raw materials often has great impact on national economy, especially the agricultural products, crude oil, or metal. In this study we investigate the change of relationships between petroleum production and pound sterling when the United Kingdom switched from an oil exporter to and importer. The change of relationships between oil rice and gold price is also investigated. The data used are daily price, and the unit root test, co-integration test, and Granger’s causality test are used to investigate the relationships among the three variables. The result shows that the three variables reach stationary state after first-order differentiation. The variables develop in a way of random walk. After co-integration test we found that there is no long-term balance between oil and pound or between oil and gold. The Granger causality test reveals that pound sterling uniquely led oil price and gold and oil fed back mutually when UK was an oil exporter. Since UK became an oil importer, both pound and gold have uni-directionally led the Brent oil price with two periods. This provides a good reference for us in investing oil futures.
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