碩士 / 銘傳大學 / 財務金融學系碩士班 / 103 / The dollar index not only reflects the overallstrength ofthe indicator in the international foreign exchange market but also reflects the import and export competitiveness ofthe United States. The stock markets reflect economic conditions and flow of fund. Then, we mostly use US dollar-denominated in international commodities’ trading. Past literature mostly used exchange rate as dollar variable to study and little literature used US dollar index as dollar variable to study. This study examines the relationship among the change of US dollar index, stock markets and bulk commodity markets before and after the Financial Crisis of 2008. We use the monthly data of US dollar index, Dow Jones Industrial Average index, NASDAQ index, S&P 500 index, commodity spot index, crude oil prices, gold prices, and agricultural spot index from January 2004 to October 2014. The empirical results of VAR model reveal that U.S stock markets and bulk commodity markets would be leading indicators of US dollar index except gold price and CRB Spot Commodity Index before and afterthe Financial Crisis of 2008. However, before the Financial Crisis of 2008, the US dollar index is a leading indicator of the return of S&P 500 index. Finally, after the Financial Crisis of 2008, the empirical results of nonlinear causality analysis reveal that the US dollar index is a leading indicator of the return of NASDAQ index and commodity spot index.
| Identifer | oai:union.ndltd.org:TW/103MCU05214030 |
| Date | January 2015 |
| Creators | Lieh-hsuan Wu, 吳冽璇 |
| Contributors | Man-Hwa Wu, 吳曼華 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 56 |
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