| Summary: | 碩士 === 玄奘大學 === 企業管理學系碩士班 === 102 === ABSTRACT
This study is tried to verify the relationship between Gold Future and U.S. Dollar Index. Our research used the data of Gold Future (U.S. Dollars) and U.S. Dollar Index from 2010/01/10 to 2013/10/23, analysis these empirical data by the software of EViews to test unit root, cointegration, VECM and Granger Causality, to understand the long-term and leader-follower relationship. The empirical results show the U.S. Dollar Index Open/Closed price has one way Granger Causality relationship with Gold Future price. Our empirical results consist with the references of Beckers and Soenen(1984), Capie et al(2004), it indicates that Gold Future indeed has negative relationship with U.S. Dollar Index, and Gold Future can be a risk-averse tool for U.S. Dollar Index . It indicated that Gold Future Price will affect later U.S. Dollar Index Open/Close Price.
Keyword：Gold Future, U.S. Dollar Index, Cointegration, Granger Causality Test, Unit Root Test, Vector Error-Correction Models.
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