The interactive relationship among international gold indices, gold futures and the overall economy

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题名:	The interactive relationship among international gold indices, gold futures and the overall economy
作者:	Ho, WRJ (Ho, Wen-Rong Jerry) Wang, YC (Wang, Yung-Chung) Liou, GJ (Liou, Guan-Juan)
贡献者:	財金系
关键词:	Gold futures co-integration vector error correction model Granger causality test state space model
日期:	2010-08
上传时间:	2011-12-09 13:52:58 (UTC+8)
摘要:	This study was devised to improve our understanding of the interactive relationship among the Amex gold BUGS index, the New York gold spot and the New York gold futures in the gold market, as well as the Commodity Research Bureau (CRB) futures price index, the Dow Jones industrial average, the OPEC crude oil spot, and the dollar index. To do so, this study adopted the Vector Error Correction Model (VECM), the Granger causality test, the state space model and several other time series research methods. The research results indicate that co-integration exists among gold futures, gold indices and the overall economy, meaning there is a long-term equilibrium relationship with gold futures. Moreover, by utilizing the vector error correction model, the Granger causality test, and the state space model in this study found that only the AMEX gold index, the CRB futures index, the New York gold spot and the Dow-Jones industrial average move ahead of the New York gold futures. Furthermore, the relationship between the New York gold spot and the New York gold futures as well as the CRB futures index and the New York gold futures show bi-directional causality.
显示于类别:	[財務金融學系 ] 期刊論文

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