The Relationship of Exchange Rate Fluctuation, Gold Price Volatility, Inflation and Unemployment around European Debt Crisis— Evidence from BRICs

• Main Authors: Ting Hsiu Ying, 丁秀櫻
• Other Authors: Lai Wen Quai
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/36790558609837533152

碩士 === 大葉大學 === 管理學院碩士在職專班 === 102 === This study Responses to the monthly data from Jan 2005 to March 2013 , before and after European debt crisis , researching and analyzing on relevance of four economical variances , including exchange rate fluctuation、gold price volatility、inflation rate and unemployment rate of BRICs：Brazil、Russia、India and China. With the use of EViews 7 , the statistical time series analysis software , some testing methods , including ADF single root testing , vector autoregression (VAR) model , Granger Causality testing , cointegration testing and Error Correction model , are utilized in this study. The results of this study show: 1. For Brazil , there is no causality relationship between all variables before the European debt crisis. While after the crisis , the inflation rate is leading to both the gold price volatility and unemployment rate , and the gold price volatility is leading to the exchange rate fluctuation. For other variables , no causality relationship exists. 2. For Russia , the unemployment rate is leading to the other variables before the European debt crisis , while after the crisis , the inflation rate is leading to both the exchange rate fluctuation and unemployment rate. The exchange rate fluctuation and unemployment rate exist bidirectional causality. There is no causality relationship between other variables. 3. For India , there is no any causality relationship between all variables , while after the crisis , the gold price volatility is leading to the inflation rate. For other variables , no causality relationship exists. 4. For China , the inflation rate has bidirectional causality relationship with both the exchange rate fluctuation and unemployment rate. Besides , the unemployment rate is leading to the exchange rate fluctuation. That the gold price volatility is leading to the inflation rate is for both before and after crisis. After the crisis , both the gold price volatility and the inflation rate are leading to the exchange rate fluctuation , and the unemployment rate to the inflation rate , too. Key Words: BRICs , exchange rates fluctuation , gold price volatility , inflation , unemployment