The impacts of US quantitative easing policy on the oil and gold prices

• Main Authors: Ying-Ying Chan, 詹瑩瑩
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/58193586889890763486

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 104 === The resarch examaines the impacts of US quantitative easing policy on the oil and gold prices over peried from January 2009 to January 2016. Morvover, we divided the index of gold, and oil into the bull-bear market for analysing how impact between these indeies under QE policy. The samples include the three kinds of time series data - U.S dollar, oil price and gold price which is daily data, 1743 totally. In this research, the mothdology we used is multivariate GARCH model to analysis the data included whole period of QE policy and compared bear-bull mearkt of gold, oil price. The results show that under the bull-market of oil and gold, oil price have statisticaly positive relationship in gold price. Otherwise, gold price still has same positvie relastionsiop with oil price. However, in the bear market, the gold price did not have any statistcal relationship in oil price while U.S. dollar price has strongly nagative relationsip in gold price. Finally, there is no any relationship between U.S. dollor price and oil prices neither of bull and bear market.