An Analysis of the Correlation between US Dollar Index and CRB Index

• Main Authors: HSU, CHAO-TING, 許照婷
• Other Authors: CHIEN, CHIH-CHUNG
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/y8p962

碩士 === 亞洲大學 === 財務金融學系碩士在職專班 === 105 === This study focuses on the dynamic correlation between the CRB index and the dollar index, which is the data collected from June 20, 2005 to February 28, 2017. The interaction between CRB index and dollar index is explored by using the model of unit root test, vector auto-regressive model (VAR), vector error correction model (VECM), Johansen co-integration model and Granger causality test. The results show that the CRB index and the dollar index have a relationship of long-term co-integration equilibrium. Moreover, Granger causality test indicates that the CRB index and the dollar index have a unidirectional causality. According to the vector error correction model, when CRB index or the dollar index deviates from the long-term equilibrium, either of them will be adjusted back to long-term equilibrium.