| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 100 === ABSTRACT
Study on the Nonlinear Dynamic Causal Relationships among Gold Price, Oil Price and US Dollar Index.
by
Peng, Shu-Yu
June 2012
ADVISOR: Dr. NIEH, CHIEN-CHUNG and Dr. CHIEN, M.C.
DEPARTMENT: EXECUTIVE MASTER OF BUSINESS DMINISTRATION
IN INTERNATIONAL FINANCE
MAJOR：INTERNATIONAL FINANCE MANAGEMENT
DEGREE: MASTER OF BUSINESS ADMINISTRATION
The purpose of this article is to discuss the nonlinear causality in long and short term among the Gold price, Oil price and US dollar index. The data are from COMEX Gold price trend, Brent Crude Oil price trend, and US Dollar Indext trend. The timeframe is from Dec. 1999. to Mar. 2012. And to keep the data’s consistency, fill in previous daily data on which markets are not opend. There are 3199 daily data in total. After the threshold co-integrate verification by Unit Root, Threshold autoregressive model(TAR) and Momentum-Threshold Autoregressive Model(M-TAR), make further use of Threshold Error-Correction Model(TECM) and Error-Correction Model(ECM), to check the nonlinear relationship in long and short term. Finally do Granger causality verification.
From the research result, we find in the price of Gold and Oil would affect each other, whether in long term or short term. But between Gold price and US dollar Index, in short term, they would not affect each other. But in long term, take threshold value -0.0190 as cut-off point of upper and nether zone. At upper zone, it still would not be affted by each other. But at nether zone, Gold price will affect US dollar index, but US dollar index couldn't affect Gold Price.
Key words：Gold Price、Oil Price、US Dollar Index、Cointegration Test.
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