| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === The research uses the daily data during Jan 2, 2006 to Dec 31, 2012 to discuss the interactive relationship among the dollar index, oil price, Dow Jones index, gold price and wheat price, with time series approach. Using the time series approach including unit root, cointegration, grager causality, impulse response and variance decomposition to clarify the interactive relationships between the variables. The empirical results of this study shows that no cointegration relationship between these variables. Dollar index is one-way leading gold price；Wheat price is one-way leading dollar index and gold price；Dow Jones index is one-way leading the other variables；Oil price is one-way leading gold price；There is no lead-lag relationship between dollar index and oil price. When interference strikes the five variables, the impulse response on itself or other varibles will be short-term reaction. The impulse response analysis shows that the sequence of exogenous strengthen of the five variables is dollar index, wheat price, oil price, Dow Jones index, gold price.
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