摘要
避險兼投資之黃金走勢，代表國際經濟的判斷要素，亦是經濟的櫥窗。往昔對於黄金及相關因素的研究，多著重在他與總體變數間的關聯性，但是代表通貨膨脹之金價變化與資產市場和總體變數間的互為因果關係，鮮少有學者提及。考量黃金指數可代表金融資產的變化，本文以紐約金價代表資產市場變化，探討代表通貨膨脹之油價及大物資二項指標，與美元匯率、美股、黃金，五者共整合之長期均衡關係。
本文利用向量誤差修正模型(VECM)共整合模型進行預測及長期趨勢分析，藉此建構股市波動的預測模型。樣本之月資料取自鉅亨網的統計，期間從2006年1月至2012年1月，共73筆。研究結果發現：(1)全球金價、近期紐約玉米期貨、近月紐約石油期貨、美國道瓊工業指數、美元對瑞郎匯率，五者具有4個共整合關係。根據AIC、FPE及HQ訊息準則，令落後期數p=10，代入VECM模型中，再經Portmanteau、Nonnormality、Jarque-Bera、ARCH-LM四大殘差診斷後，證實此型VECM非常適合黃金之走勢預測。(2) Granger因果檢定，發現影響黃金波動有四個主因：國際油價及大宗物價(通膨)、美元(外匯風險)及道瓊指數(景氣)，且「黃金」與這四者具有互為因果關係。(3)未來12個月黃金預測值，2011年2月起升，逐月緩升至隔年年初。
關鍵字：金價、原油價格、道瓊工業平均指數、向量修正模型(VECM)、大宗物資指數
ABSTRACT
To hedge and invest of the gold prices represents not only the judge of the international economy but also the target of the economy. In the past, the research of gold and related factors we emphasized the relation between the numbers of macroeconomic variables, but there were few researchers mentioned that the inflation of gold prices between asset mart and the macroeconomic variables are cause and effect. To consider the gold index may stand for the change of financial assets, in this article the gold prices in New York represents the change of asset mart. To investigate of the inflation of oil prices and commodity research bureau futures price index, these two indexes have the long balanced relation with U.S. dollar, U.S. stocks and gold.
It was forecasted and analyzed the trend of long-term by VECM in this article in order to construct fluctuations of forecasting model in stocks. The samples are totally 73 from January, 2006 to January, 2012, and it is taken from cnYES statistic. The results showed that (1) there are 4 Co-integration relationships between the globe gold prices, the recent New York corn futures, the oil futures, Dow Jones Industrial Average, the exchange rate between U.S. dollar and Swiss franc, in these indexes in recent months. According to ATC, FPE and HQ standards to instruct lag p=10, put into VECM model via Portmanteau, Nonnormality, Jarque-Bera, ARCH-LM 4 kinds of residual diagnosis, confirm that the VECM model is very suitable for forecasting of gold. (2) Granger Causality finds out that there are 4 main reasons to influence fluctuate of gold: global oil price, Commodity Research Bureau Futures Price Index, U.S. dollar and Dow Jones Industrial Average, the relationship between these 4 reasons and gold are cause and effect. (3) It is predicted that Gold price will rise from February 2011 to January 2012 in these twelve months.
Keywords: Gold Prices; Crude Oil Prices; Dow Jones Industrial Average; VECM,Commodity Research Bureau Futures Price Index
|