糧食、石油與黃金的期貨價格之關聯性分析

Abstract

摘 要 本研究主要在於探討糧食、黃金及石油的期貨價格關聯性分析，採用時間序列方法，包括：單根檢定、Granger因果關係檢定、衝擊反應來進行分析，資料選取期間為2000年1月至2010年12月31日，結果為是Granger因果關係檢定顯示，小麥、玉米、黃豆、黃金、石油，相互之間皆有因果關係同時衝擊反應也證實，所有的資源之間關聯性都很高。就研究期間的歷史價格走勢來看，短期或許會因為市場因素干擾而影響價格走勢，但就中長期而言不論是糧食還是黃金與石油皆會因為資源有限、供給有限的環境下，使得價格越來越高，並造成對人類生活的影響。

ABSTRACT This study is to discuss the linkage among futures prices of food, petroleum and gold by time series data, including the unit root test, Granger causality test and vector auto regression (VAR) model, and it is set by daily settle price of wheat, corn, soybean, and rough rice from January of 2000 to December 31st of 2010. The Granger causality test is indicated that there is the relation between cause and effect of wheat, corn, rough rice, soybean, gold and petroleum, or the vector auto regression model is also verified that the wheat, corn, rough rice, soybean, gold and petroleum by the resource constrained strongly. According to the historical price trend from this study, the price trend may be impacted by the market in the short term; however, for the mid and long term, no matter for food, gold and petroleum, the price will be increased by the resource and supply limitation, and it also will impact the daily life of human beings.