金融海嘯前後黃金價格波動與利率、通貨膨脹率、美元指數關聯性

The correlation of Gold Price Volatility, interest rate, inflation and dollar index: prior to and post the Financial Crisis

左如萱(Ju-Hsuan Tso)

指導教授 ： 林允永

共同指導教授 ： 陳鴻崑

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.01030

摘要

本文以黃金價格作為主軸，研究與各年期公債殖利率月平均資料以及百元報價月底資料、通貨膨脹率月平均資料、美元指數月平均資料以及日資料之間在金融海嘯發生前後的長短期關聯性。
實證結果顯示在一階向量自我迴規模型VAR(1)檢定：當期金價波動受金價自身落後一期正向影響，但日資料顯示黃金價格波動有前日價格過度反應的現象，並且與公債前期利率增減變化呈正相關，以及前期通貨膨脹、美元指數波動負相關影響。同時在Granger因果關係檢定月資料顯示，CPI在金融海嘯後走高，美政府並未以緊縮貨幣政策(調升利率)因應，導致公債利率仍處低檔，使原來金融海嘯前可影響黃金價格波動的公債利率，因未正確反應CPI訊息而被CPI取代影響黃金價格波動的地位；日資料的結果則反應出，在金融風暴後，美元指數倒因為果，使黃金價格成為影響美元指數的原因。在共整合檢定方面顯示，雖然金融海嘯發生後，黃金價格與各變數間影響係數變小，但仍不影響長期均衡關係。
因此推論在金融海嘯效應方興未艾的今天，美元指數、美政府公債殖利率作為短期預測黃金價格的工具較為困難，建議仍以保守規避通貨膨脹風險的避險工具為出發點來觀察黃金價格波動。

關鍵字

黃金價格 ； 金融海嘯 ； 向量自我迴規模型 ； Granger因果關係 ； 共整合

並列摘要

This research investigates the correlation of Gold price with the yield of U.S. government bond of 2 years, 5 years, 10 years, and 30 years, consumer price index (CPI) for inflation, and U.S. dollar index before and after the Financial Crisis.
In the short-term period with VAR (1) and Granger Causality testing method, the gold volatility in current has positive self-effect of previous price according to the monthly data. When CPI rose after Finance Crisis, FED had not used tight policy to make interest rate rebound and caused U.S. government bond stayed low. Therefore the U.S. government bond price could not affect the gold price and was replaced the leading effect of Gold price by CPI. However, according to the test of daily data, the Gold price in current seems has over-reaction from previous price. Gold Volatility has positive effect with the previous U.S. government bonds volatility and negative effects with inflation and dollar index. After finance crisis, Gold price became the major leading factor of the U.S. dollar index. In the long-term period, the co-integration test was used to find the correlation among Gold volatility and multi-variations. Although the coefficient between Gold price and the variations is less than that before Financial Crisis, there is still equilibrium relationship among multiple variances.
In summary, although it is getting hard to forecast the Gold price by using U.S. dollar index and U.S. government bond under the effect of the finance crisis, we suggest the CPI is a better estimating tool to observe the change of Gold price.

並列關鍵字

Gold Price ； Financial Crisis ； Vector Autoregressive ； Granger Causality ； Cointegration

參考文獻

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