| Summary: | 碩士 === 大同大學 === 資訊經營學系(所) === 99 === This research is trying to investigate the relationship between the exchange rate of Swiss Franc and the price of gold. The spot gold price data and the data of effective exchange rate of Swiss Franc index consist of daily observations from October 2008 through December 2008 when the Dow Jones Industrial Average Index (Dow Jones Industrial Average, DJIA) fell below the 10,000 point into a critical state in that time. In addition to investigating the relationship between exchange rate and the price of gold, we will try to study on trend Co-integration of gold and Swiss Franc in this period of financial crisis. With the help of Eviews 6.0 metering outfit, we use the ADF unit root test to examine the time sequences of all variables and find that all data need to be processed by first-order differentiation to reject the null hypotheses I(1) and the data can then become stationary. The experimental result shows that the exchange rate of Swiss Franc and the price of gold have a unit root. They are also co-integrated; The Granger causality test reveals that the price of gold has unidirectionally led the exchange rate of Swiss Franc with two periods. This conclusion may give us the development direction of the price of Swiss Franc. This provides a good reference for decision support in futures trading. The methodology applied in this study can be used in crisis management in other emergent economic or social events for observing the development trend of influential factors.
Keywords: Crisis Management, Swiss Franc, Price of gold, Unit Root Test, Co -integration Test, Granger Causality Test, Decision Support.
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