摘要

近几年以来国际大宗商品期货的价格走势波动幅度剧烈。大宗商品是世界经济发展过程中不可或缺的物资，其价格波动往往影响全球的经济发展。如果不能较好的把握大宗商品的波动规律，可能会对经济产生强烈的冲击。本文对美元走势和大宗商品价格走势的相关性进行了分析。一共分为了几个部分，第一个部分描述了相关背景;第二个部分对模型和检验方法进行了概述;第三个部分以黄金和石油为例，建立自向量回归模型，然后运用协整检验和格兰杰因果检验来进行实证分析;最后一个部分是关于相关性结论的总结概况。该研究对于把握住大宗商品的波动可能会对经济产生的冲击有着重要的现实意义。

目    录

一、引言·······························································4

二、模型概述···························································5

（一）、向量自回归模型··················································5

（二）、格兰杰因果关系检验··············································5

（三）、协整检验························································6

三、实证分析···························································8

（一）、描述性统计与分析················································8

1.大宗商品·····························································8

2.美元指数·····························································9

（二）、相关性分析·····················································10

1.协整检验·····························································10

2.黄金期货与美元指数的VAR模型········································11

3.石油价格与美元指数的VAR模型········································12

4.格兰杰因果检验·······················································13

5. VAR模型的预测······················································14

四、结论······························································15