A Study on Relationship among Currency Rate, Oil Prices and Gold Prices

• Main Authors: Yu-Ting Chang, 張育婷
• Other Authors: Chang, Chia-Chien
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/73vah9

碩士 === 國立高雄科技大學 === 金融資訊系 === 107 === This paper examines the relationship among exchange rates, crude oil and gold. We use Unit root test, Granger causality test and Vector Autoregression model (VAR), and analyze the monthly exchange rate, the return of gold and the return of crude oil to investigate whether there is a causal relationship among these three variables. The empirical results show that the return of exchange rate has a leading relationship on the return of gold and crude oil; the return of gold and crude oil do not significantly affect the return of exchange rate; the return of crude oil has a significant impact on the return of gold. Furthermore, the return of exchange rate will be significantly affected by two days lagged return of exchange rates and two days lagged return of crude oil. The two days lagged return of exchange rate (return of crude oil) will positively (negatively) affect the return of exchange rate. The return of gold is significantly affected by two days lagged returns of exchange rate and crude oil. The two days lagged return of exchange rate (crude oil) will positively (negatively) affect the return of gold; The return of crude oil will be significantly affected by the previous period of returns of exchange rate and crude oil. The previous return of exchange rate (crude oil) will negatively (positively)　affect the return of crude oil.