| 摘要: | 石油價格的波動對於全球經濟的影響不言而喻，黃金則為預防美元貶值與通貨膨脹之重要避險工具，因此，美元與油價、黃金價格間存在相當的連動性，三者之間的關連性值得深入探討。本研究採用VARMA-GARCH(1,1)模型針對石油期貨、黃金期貨與美元指數期貨三者相互的波動外溢效果，並同時探討三者間是否會因為美元價格的升貶而產生不同影響。實證結果顯示，在2001年之後的弱勢美元期間，三者間之關連性及波動外溢效果明顯增加。在強勢美元期間，影響美元走強的因素與石油或黃金的關連性並不高，除黃金與美元指數呈現雙向的波動外溢效果外，黃金及美元對石油波動僅存有單向的波動外溢效果。然而，隨著美元走弱，黃金的替代性角色再度受到重視，而石油價格持續攀升，其主導經濟的強度亦明顯增加，其波動外溢效果則轉變為石油波動對黃金及美元市場波動的單向波動外溢效果。三者間之關係有著顯著的變化，對投資人而言，將是很重要的參考依據。
The volatilities of oil prices are important to global economics, and gold also plays an important hedge role for predicting the depreciation in U.S. dollar and the inflation. Therefore, investigating the relationship among oil, gold and U.S. dollar are essential. This paper analyzes the spillover effects among oil futures, gold futures and the U.S. dollar futures using VARMA-GARCH(1,1) model, and we also discuss that whether the relationships are different in the period of depreciation and appreciation of U.S. dollar. The empirical results find that the relationships are much closer and the volatility spillover effects are also stronger after 2001, the period of depreciation. In the period of appreciation, the factors that appreciating the U.S dollar are not related to oil or gold price volatilities. The bi-direct spillover effects only exist between gold and U.S. dollar index, and the volatilities of gold and U.S. dollar are spillover to oil volatility, but the reverse spillover effects are not exist. However, along with the depreciation in U.S. dollar, the substitute effects are paid much attention in gold assets, at the same time, oil prices turn upward and the leading role in economy is much improved. The spillovers are turn into the opposite situation, that is, the volatility of oil price is spillover to the volatilities of gold and U.S. dollar, and the reverse spillovers effects are not exist. The relationships among three assets change over time, therefore, the results are important for investors. |
