| Summary: | 碩士 === 東吳大學 === 經濟學系 === 99 === This article investigates the movement and volatility on four commodity futures contracts, namely Gold (GC, COMEX), Dollar Index (DX, ICE), RJ/CRB Index (CR, ICE) and 10-year U.S. Treasury Note (TY, CBOT), collected daily close prices from Jan, 2000 to the end of 2010 as the time series specimen. We apply Johansen cointegration, VAR model, Granger Causality test, Impulse reponse function and Forecast decomposition to obtain these major findings： (1) Among these series, no long-term relationship exists. (2) Quite a few active short-term dynamics occur, Gold especially. (3) Only when it comes to “economics expansion” or “predicted higher volatility in stock market”, a positive volatility in Gold would be much clear.
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