| Summary: | 碩士 === 國立臺北商業大學 === 財務金融系研究所 === 107 === This research paper uses data from January 3rd, 2000 to October 10th, 2008. It uses the collapse of the Lehman Brothers on September 15th, 2008 as a time point for structural changes. This research looks at the changes before and after the financial crisis that happened following the collapse. Using the Granger causality relationship, ACCC, ADCC, and VAR-GARCH models, this paper explores the possible volatility persistence in crude oil, gold, and the US dollar. It also examines return transmissions and volatility spillovers among due to aftermath of the financial crisis.
The empirical results of ACCC and ADCC models show: (1) The high and volatile effects of the financial crisis before and after this period; (2) Only the crude oil market showed a leverage effect. Through the VAR-GARCH model, data shows that: (1) The data also shows that information across markets was transmitted from the US dollar market to the gold market before the financial crisis, but information was transmitted from the crude oil market to the US dollar market after the financial crisis; (2) Only over the full-term of the sample size is there a two-way spillover effect between gold and US dollar, and that the dollar was transmitted to the gold market to a greater extent; (3) Before the financial crisis, there was a two-way spillover effect between crude oil and gold markets; (4) In the later stages of the sample size, there were dominant fluctuations in the US dollar market. The unanticipated impact of the US dollar and the fluctuations significantly affected the volatility of other markets. The volatility of the US dollar was also affected by other market. The data and fluctuations through the sample size show the significant impact of the financial crisis.
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