類別:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/107
2024-03-19T02:03:40Z黃金相關類股價格預測黃金價格
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87932
標題: 黃金相關類股價格預測黃金價格; Forecasting Gold Price with Gold Stock Price
作者: 林鑫君; Hsin-Chun Lin
摘要: 本研究以黃金相關類股價格加權指數作為主要的預測變數,以美國、加拿大、澳大利亞等國的月資料為樣本,檢視黃金相關類股價格對黃金現貨價格是否具有預測能力。透過樣本內與樣本外預測的檢定結果顯示,各國黃金相關類股價格對黃金現貨價格的預測能力,皆可擊敗不變預測模型。我們也進一步檢視黃金相關類股價格與其餘控制變數的預測能力,發現黃金相關類股價格對黃金價格的預測能力皆優於通貨膨脹率、利率、匯率以及油價等變數。相較於過去較常用於建立金價預測模型的變數,由於股價在市場資訊中具有領先的特性,我們也發現黃金相關類股價格可以增加模型的解釋能力,但無法顯著提升模型的預測能力,其可能主因為在黃金相關類股中,組成多為礦產企業,對金價的影響多聚焦在供給面,而通貨膨脹、利率、匯率以及油價等變數則於供給與需求面皆有影響,故這些控制變數對黃金價格的解釋能力可能已包含部分黃金相關類股的解釋能力。; This study employs the gold-related equity price-weighted index as the main explanatory variable and monthly data from countries such as the United States, Canada, and Australia as the sample, in order to examine whether the gold-related equity price has predictive power for the spot gold price. The testing results of in-sample and out-of-sample forecasting demonstrate that the predictive ability of the gold-related equity price for the spot gold price can outperform the no-change forecast model. We further examine the predictive abilities of gold-related equity prices and other control variables and find that the prices of gold-related equity outperform variables such as inflation rates, interest rates, exchange rates, and oil prices in predicting gold prices. Compared to variables commonly used in constructing gold price forecasting models, such as inflation rates, interest rates, exchange rates, and oil prices, stock prices possess leading characteristics in market information. It is found that incorporating gold-related equity prices into the model can enhance the explanatory power of the model, but can not significantly improve its predictive ability. This may be mainly because gold-related equity mainly consist of mining companies, and their impact on gold prices is focused on the supply side, while variables such as inflation rates, interest rates, exchange rates, and oil prices have an impact on both the supply and demand sides. Therefore, the explanatory power of these control variables for gold prices may already include some of the explanatory power of gold-related equity.
Furthermore, the impact of the inclusion of gold-related equity prices on the explanatory power of the gold price forecasting model is examined, and it is found that it is not a key explanatory variable. This is possibly because the gold-related equities are mostly composed of mining enterprises, and their impact on gold prices is mostly focused on the supply side, while variables such as inflation and interest rates have a greater impact on the demand side. Therefore, although gold-related equity prices are not a key explanatory variable, they can increase the explanatory power of the model.2023-01-01T00:00:00Z黃金現貨價格走勢之研究(2000-2012年)
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58924
標題: 黃金現貨價格走勢之研究(2000-2012年); A Research of the Movement of Gold Spot Price (2000-2012)
作者: Yu-Chun Huang; 黃玉君
摘要: 本文使用2000:M1至2012:M12之月資料,探討各種黃金價格的影響因素。研究變數包括美元指數、原油價格、倫敦金屬交易所現貨銅價、美國十年期國庫券殖利率、芝加哥選擇權交易所波動率指數、道瓊工業平均指數、台灣證券交易所發行量加權股價指數以及消費者物價指數,並透過「向量自我迴歸模型」以及「多元迴歸模型」分析工具,解讀各變數與倫敦黃金午盤定盤價格間的關聯。研究發現,黃金價格波動為供需平衡、景氣循環和避險需求等各種因素交互影響下之結果,而當期美元指數(對現貨黃金價格影響為負向)、落後一期黃金價格(負向)、現貨銅價(負向)、物價指數(負向)、原油指數(正向),以及落後兩期美股指數(正向)對於預測黃金價格的變化具有顯著的解釋能力。至於台股指數、波動率指數以及國庫券殖利率對於黃金價格的預測,則未發現有顯著的結果。2013-01-01T00:00:00Z黃金價格與不同區域黃金ETF關聯性之研究
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/83269
標題: 黃金價格與不同區域黃金ETF關聯性之研究; A Study on the Interrelationship among Gold Price and Various Regional Gold ETFs
作者: 郭宇喬; Yu-Chiao Kuo
摘要: 本文探討不同區域的黃金 ETF是否會影響黃金價格的變動。研究樣本資料期間自2007年3月到2022年7月止,運用時間數列分析方法估計,實證研究結果顯示:(1)變數間存有一組共整合關係,黃金價格與亞洲區以及北美區的黃金ETF呈正相關,而與歐洲區以及全區的黃金ETF呈負相關;(2)考慮模型中所有的變數間會彼此相互影響的情況下,亞洲區的黃金ETF與黃金價格之間有互為領先的反饋關係。歐洲區的黃金ETF會「Granger領先」黃金價格,而北美區以及全區的黃金ETF與黃金價格則不具有領先、落後或是反饋關係的現象存在;(3)當向量誤差修正模型(VECM)受到黃金價格本身以及亞洲區的黃金ETF的衝擊時,黃金價格會呈現負向反應。向量誤差修正模型受到歐洲區、北美區以及全區的黃金ETF的衝擊時,黃金價格會呈現正向反應;(4)預測誤差變異分解的結果顯示解釋能力最大的前三個解釋變數分別是黃金價格本身、亞洲區黃金ETF、歐洲區黃金ETF。; This article investigates whether the holdings of gold ETF in various regions could explain the changes of gold price or not. The sample period is from March 2007 to July 2022. Using time series analysis methods, the major empirical results show that: (1) There is one cointegration relationship among variables. The gold price is positively related to Gold ETFs in Asia and North America, and is negatively related to Gold ETFs in Europe and Total. (2) Considering the interaction between all variables in the model, Gold ETFs in Asia has a feedback relationship with the gold price. Gold ETFs in Europe do “Granger cause” the gold price. As for Gold ETFs in North America and total, it didn’t relate to the gold price. (3) When the VECM model faces the shock from the gold price and Gold ETFs in Asia, the gold price will react negatively. However, when the model encounters the shock from Gold ETFs in Europe, North America and total, the gold price will react positively. (4) The result of the forecast error variance decomposition shows that the gold price, Gold ETFs in Europe and Asia have better explanatory power among all the other variables.2023-01-01T00:00:00Z高/低技術勞工工資差異與勞動結構變遷
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/67096
標題: 高/低技術勞工工資差異與勞動結構變遷; Skill Wage Premium and Sectoral Labor Shift
作者: I-Hsin Chang; 張宜欣
摘要: 在經濟成長的過程中,高技術勞工的人數占比與高、低技術勞工的工資差異均與經濟發展的程度呈正相關。同時,先進國家的資料顯示,勞動等經濟資源會隨著經濟成長自低技術密集的生產部門移轉至高技術密集的生產部門。
本研究建構一個兩部門的結構移轉模型,並於其中引入技術累積方程式;藉此,模型中的高、低技術勞動比例為內生決定。
我們由模型推論出,生產力提升透過對「高、低技術勞工的工資差異」的影響,加快(減緩)由其帶動的高(低)技術勞工的結構變遷。
此外,福利分析的結果指出,以促進技術累積為目標的補貼性政策不一定有助於提高社會福址。; The simultaneous increase in the high-skilled to low-skilled labor ratio and the skill wage premium is one of the most salient features of economic growth.
Meanwhile, the technological improvement in advanced economies accompanies a sectoral shift from low to high skill intensive sector. In this paper, we develop a two-sector structural transformation model in which skill accumulation is endogenously determined. Our model predicts that the ``skill wage premium mechanism' encourages (hinders) the sectoral reallocation of the high- (low-) skilled workers.
We also show that policies that aim to encourage skill accumulation may or may not improve welfare.2017-01-01T00:00:00Z