消費者物價指數與黃金價格之關聯性

The Relationships between Consumer Price Index and Gold Prices

邱令儀(Ling-Yi Chiou)

指導教授 ： 雷立芬

國立臺灣大學/生物資源暨農學院/農業經濟學研究所/碩士(2017年)

https://doi.org/10.6342/NTU201701386

摘要

本研究欲探討黃金價格與消費者物價指數間的關係，藉以討論黃金是否具有通貨膨脹避險的效果(inflation-hedge)。選定台灣、中國、俄羅斯與美國2007年1月至2016年12月的消費者物價指數，分別與倫敦黃金下午定盤價(London gold price pm fixing)之月資料，進行實證分析。本研究運用時間序列資料分析工具，包括單根檢定、共整合檢定並建立向量誤差修正模型與向量自我迴歸模型進行實證分析。
　　實證結果發現在台灣與美國的黃金與消費者物價指數間存有共整合關係，另透過向量誤差修正模型得知，黃金價格對台灣的消費者物價指數短期下具有影響。而美國的消費者物價指數與黃金間存有長期關係，短期間則不相互影響。另由向量自我迴歸模型得知，中國的消費者物價指數對黃金價格在短期下格具有影響。而俄羅斯無論短期或長期，消費者物價指數與黃金價格皆不具顯著關係。以此研究結果，供國內投資人做黃金對通貨膨脹的避險與投資買賣黃金參考之用。如在台灣與美國，因黃金價格與消費者物價指數具有共整合關係，故黃金在長期下具有通貨膨脹避險的效果。然而在短期下，黃金價格會帶動台灣物價波動，因此不具通貨膨脹避險效果，但是中國消費者物價指數會影響黃金價格，而具顯著避險效果。故在利用黃金進行投資避險規劃時，不但需要設定資產投資期間長短，更要留意黃金可能帶動的物價波動效果。

關鍵字

黃金價格 ； 消費者物價指數 ； 單根檢定 ； 共整合關係 ； 向量誤差修正模型

並列摘要

This thesis studies the relationships between consumer price index and gold prices and discusses whether gold serve as an inflation-hedge in Taiwan, China, Russia and the United States from January 2007 to December 2016. Using the monthly data of consumer price index and London gold price pm fixing, we examine the data via unit root test, cointegration test, vector error correction model (VECM) and vector autoregressive model (VAR).
This thesis finds the cointegration relationships between gold prices and consumer price index in Taiwan and the United States and the VECM analysis indicated that gold prices have a short-term effect on consumer price index in Taiwan. In addition, the VAR analysis indicated that consumer price index in China has a short-term effect on gold prices; moreover, there are no long-term or short-term significant relationships between gold prices and consumer price index in Russia. According to the results, it provides the suggestion to investors of gold investment. For example, there is the cointegration relationships between gold prices and consumer price index in Taiwan and the United States, so gold serve as an inflation-hedge there in long-term. However, in short-term, gold does not serve as an inflation-hedge in Taiwan because price fluctuations are upward swings in the prices of gold. Nevertheless, the consumer price index in China has effect on gold prices, so gold serve as an inflation-hedge there. Therefore, when investors plan to build up an investment in gold, they need to consider both investment period and the probability of price fluctuation swung by gold prices.

並列關鍵字

gold price ； consumer price index ； unit root test ； conintegration ； vector error correction model

參考文獻

林鳴琴、施妤佩、李柏英、李杏美(2012)。黃金價格變動與實質經濟關係之探討。財金論文叢刊，16，57-73。

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