| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 99 === This study is to explore the relevance of crude oil futures prices, gold futures prices, the US dollar index futures, the Fed Fund Rate movements and BlackRock World Gold Fund. The data selected for the June 2006 to March 2011, a total of 252 weekly closing price data, using a union root test, co-integration test, vector autoregression model, Granger causality test and other methods to analyze the variables affecting the trend of the gold fund.
Classified empirical results as following:
First, the results from the co-integration test can tell that crude oil futures, gold futures, the dollar prices, the Fed interest rates and BlackRock World Gold Fund exist the long-term balance phenomenon with each other; except for the U.S. dollar index, the other three variables are related to BlackRock world Gold Fund into a positive relationship; Moreover, using the vector autoregressive model have found out that crude oil futures, gold futures, the dollar index and the Fed's interest rate will be affected by its own earlier stage level changes. Only BlackRock World Gold Fund showed no significant independent relationship with other variables.
Second, the results from using the Granger causality test found out that BlackRock World Gold Fund and the price of crude oil have the two-way feedback between them. This illustrates that both the extent of changes will be affected by the other variable. According to Gold futures prices and other BlackRock World Gold Fund, there is a one-way causal relationship between them, but the reverse is not established. It illustrates the BlackRock World Gold Fund will indeed be affected by movements in the gold futures.
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