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標題: CRB與主要商品期貨指數之價格動態關聯性研究
A Study on Price Dynamic Correlation among Indexes of CRB and Major Commodity Futures
作者: 許清雄
Hsu, Ching-Hsung
Contributors: 蘇雲華;黃炳文
簡立賢
中興大學
關鍵字: CRB index;commodity futures index;time-series analysis
CRB指數;商品期貨指數;時間序列分析
日期: 2008
Issue Date: 2012-09-11 11:41:15 (UTC+8)
Publisher: 應用經濟學系所
摘要: 國立中興大學九十五學年度第一學期碩士學位論文提要
論文題目:CRB與主要商品期貨指數之價格動態關聯性研究
論文頁數:57頁 系所組別:應用經濟學系
研究生:許清雄(學號:59234014)
指導教授:國立中興大學教授 簡立賢博士

論文內容摘要:
本研究主要探討CRB與主要商品期貨指數之價格動態關聯性研究,研究期間為2003年7月31日至2006年8月1日之日資料型態。利用Johansen共整合、向量誤差修正模型、Granger因果關係檢定、預測誤差變異數分解及衝擊反應函數等方法,來探討CRB指數與能源、金屬期貨市場間的長短期互動關係。
綜合實證歸納如下:
(1)在共整合檢定方面,CRB期貨指數與各指數存在長期均衡關係(NICKEL指數除外);而在向量誤差修正模型中,以COPPER指數及GOLD指數和ALUMINUM指數及LEAD指數之間受到彼此落遲期數之影響,即存在著相互回饋的因果關係。而以LEAD指數的落遲期數對當期COPPER指數影響性最大。
(2)在Granger因果關係檢定部份,CRB指數及COPPER指數在二、四期則具回饋的因果關係,而CRB指數與GOLD、NICKEL、LEAD等指數則不存在因果關係。
(3)在預測誤差變異數分解部份,各變數以CRB指數外生性最強,即較不容易受其他因素之影響;而以GOLD指數較易受到外在因素的變化影響。而在長期變動下,以CRB指數及COPPER指數的影響最大。
(4)衝擊反應函數部份,CRB指數受到OIL指數的衝擊影響為最大,其次為GOLD指數,即短期CRB指數的趨勢仍受到兩大重要原物料指數所影響。而觀察CRB指數對各變數之衝擊反應,以對OIL及COPPER兩指數影響最明顯。綜觀CRB指數與其他指數間互為衝擊來源中發現,其衝擊方向幾乎為同方向且都呈不收歛現象。

關鍵詞: CRB指數、商品期貨指數、時間序列分析
Abstract
The main concern of this study is to analyze the price dynamic correlation degree among Indexes of CRB and major Commodity Futures contracts. The data period was based on daily records from July 31st, 2003 to August 1st, 2006. Several approaches were applied which included the Johansen Co-integration method, the vector error correction (VEC) model, the Granger causality test, the decomposition of the predictive error variance, and impulse response function to explore the temporal relationship of the CRB index with respect to the energy and the metals futures contracts.
Four major results were summarized as follows:
(1) Regarding the test of co-integration, CRB futures index existed a long-term balance with various indices except NICKEL index; However, in the VEC model, the COPPER and the GOLD indices were influenced by the ALUMINUM and the LEAD indices each other in terms of laggard effects. Namely, there existed a two-way feedback causality. In particular, the laggard of LEAD index influenced the current COPPER index most.
(2) In the part of Granger causality test, the CRB and COPPER indices possessed the feedback causality. Moreover, the CRB index had no causality effect neither on the GOLD index, the NICKEL index, nor the LEAD index.
(3) In the part of the decomposition of the predictive error variance, the CRB index had the strongest exogenity effect among various variables, therefore it won't be influenced by other factor apparently; However, the GOLD index was more easily affected by the variety of an external factor. Furthermore, the CRB and the COPPER indices had the most influence by the CRB index under the long-term fluctuation.
(4) The CRB index had the most effect by the OIL index, and the GOLD index was secondary in the impulse response function analysis results. In other words, the tendency of the short-term CRB index was still influenced by two important original materials indices mentioned above. Further, we observed the impulse response among the CRB index and various variables, the two indices, the OIL and COPPER, were affected obviously. Making a comprehensive survey of the inter-attack among the CRB index and other indices, we detected that the impulse directions were almost the same and without convergence as well.

Key words: CRB index, commodity futures index, time-series analysis
Appears in Collections:[依資料類型分類] 碩博士論文

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