指導教授：陳旭昇臺灣大學：經濟學研究所陳枚伶Chen, Mei-LingMei-LingChen2014-11-292018-06-282014-11-292018-06-282014http://ntur.lib.ntu.edu.tw//handle/246246/263398本研究應用時間序列計量方法來探討黃金價格、消費者物價指數、貨幣供給額以及利率等總體經濟變數與南非幣匯率之間的互動關係。研究期間為1971年1月至 2013年4 月的月資料，共508筆月資料觀察值。 利用向量自我迴歸模型探討各個變數之關聯性。研究結果顯示，黃金價格相對於其他總體經濟變數對南非幣兌美元匯率具有解釋力。而從穩健性檢視的VAR模型中匯率的預測誤差變異數分解結果來看，投資人在進行南非幣投資時，可將消費者物價指數視為比較重要的參考指標。本文的研究結果可提供投資人決策或作為南非幣匯率相關學術研究之參考。In this study ranging from January 1971 to April 2013, covering 508 entries of observation data, the time-series econometrics approach is applied to explore the interaction between macro-economic variables, such as gold prices, consumer price inflation (CPI), money supply (M2), and interest rates, and the South African Rand to US Dollar exchange rate. The correlation between the variables is determined with the vector autoregression model (VAR). The result shows that gold price has more explanatory power than other macro-economic variables in terms of South African rand to US Dollar exchange rate; whereas the result of the forecast error variance decomposition from the robustness check in the VAR indicates that consumer price index is a more important reference index when investing in South African Rand. The results of the study may serve as a reference for investors in their decision-making as well as for academic research on the exchange rate of South African Rand.目錄 第1 章 .................................................................................................................. 1 前言 ....................................................................................................................... 1 第2 章 .................................................................................................................. 5 研究方法 .............................................................................................................. 5 2.1 單根檢定 ...................................................................................................... 6 2.2 向量自我迴歸模型( VAR ) .......................................................................... 9 Granger 因果關係檢定 .................................................................................... 10 衝擊反應函數 ................................................................................................... 11 預測誤差變異數分解 ...................................................................................... 13 第3 章 ................................................................................................................ 14 資料敘述 ............................................................................................................ 14 第4 章 ................................................................................................................ 17 實證結果 ............................................................................................................ 17 4‐1 單根檢定 .................................................................................................. 17 4‐2 向量自我迴歸模型 ( VAR ) ................................................................... 18 Granger 因果關係檢定 .................................................................................... 19 衝擊反應函數分析 ........................................................................................... 20 預測誤差變異數分解 ...................................................................................... 22 4‐3 穩健性檢視 .............................................................................................. 24 第5 章 ................................................................................................................ 27 結語 ..................................................................................................................... 27 參考文獻 ............................................................................................................ 29 附圖與附表 ........................................................................................................ 311873045 bytesapplication/pdf論文公開時間：2014/06/12論文使用權限：同意有償授權(權利金給回饋本人)單根檢定向量自我迴歸模型Granger因果關係檢定衝擊反應分析預測誤差變異數分解thesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/263398/1/ntu-103-P00323026-1.pdf