國際商品指數與台灣物價指數之關聯性：以GSCI與CRB商品為例

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Title:	國際商品指數與台灣物價指數之關聯性：以GSCI與CRB商品為例 The Relationship between International Commodity Index and Inflation Index in Taiwan：Evidence from GSCI and CRB
Authors:	張文一 Chang, Wen-Yi
Contributors:	國際企業管理學系碩士在職專班
Keywords:	國際商品指數台灣物價指數 Granger-causality Relationship International Commodity price Index Price Index in Taiwan VAR Model
Date:	2015-06
Issue Date:	2015-08-13 14:48:40 (UTC+8)
Abstract:	近年來台灣物價指數逐年上升，油電及瓦斯雙雙飆漲，物價波動居高不下，隨著資金過熱流入商品市場，將影響未來物價通膨甚鉅。因此，身為現代人應具有基本理財概念，投資金融商品變成不錯的選擇工具，若能從國際原物料價格波動，觀察當前通膨反應，間接影響台灣物價指數波動，藉此關係變化投資國外金融商品標的，亦是從國外商品指數，瞭解台灣物價指數之波動，檢定兩者是否具有因果關係或共整合關係等，相對投資者可從金融商品預測國內通膨指數未來走勢，以利投資者日後作為決策參考之指標。本研究以國際商品指數(GSCI指數與CRB指數)與台灣物價指數(CPI指數與WPI指數)為變數是否相互影響，其相互影響程度如何，並分析ETF上市前後期間的國際商品物價指數與台灣通膨現象有何分別。 In recent years, Taiwan's CPI increased year by year, both soaring oil and electricity and gas, the commodity price volatility remains high, with the inflow of funds over-heated commodity markets, which will affect commodity price and inflation. As a mod-ern man should have basic financial concepts, it is important to understand financial products connected with international commodity prices. Thus, this study aims to ex-amine the relationship between international commodity prices and price index of Tai-wan. Specifically, we use a VAR model to test whether any granger-causal relationship exists between the international commodity price index and the price index in Taiwan. The international commodity price index is measured by the GSCI index and CRB in-dex, and the price index in Taiwan is measured by CPI index and WPI index. The results can be regarded as references for investors or enterprises demanding to fight against inflation.
Appears in Collections:	[Department of Business Administration & Graduate Institute of International Business Administration ] Thesis

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