黃金、原油現貨價格與相關總體經濟變數間互動關係之研究

1970年代兩次石油危機、2008金融危機以及2010年歐債危機及2016年英國脫歐都讓金價大漲，時至今日，「黃金」依舊發揮著極為重要的腳色─避險、國家貨幣的儲備金，以維持貨幣和經濟的穩定。本研究將透過紐約黃金現貨、北海布蘭特原油現貨、美元指數、美國非農就業數據及消費者物價指數此五種時間序列變數，從1995年10月至2017年3月共258筆的月資料，利用ADF及PP單根交叉、共整合檢定、向量自我迴歸模型、衝擊反應、變異數分解等方法來研究變數彼此之間的互動關係。研究結果顯示，無論何種單根檢定，所有變數在一階差分後，均成為I(0)的定態變數，共整合檢定結果顯示變數具有共整合關係，故對原模型作誤差修正模型，得知紐約黃金現貨和北海布蘭特原油現貨有顯著的影響，紐約黃金現貨亦會受消費者物價指數顯著的影響；布蘭特原油現貨和美元指數具有雙向回饋(Feedback)關係效果存在。本研究認為原油價格上漲對黃金價格有正的顯著影響，也意味著當黃金是權益資產組合避險資產工具的一種選擇；由於消費者物價指數屬於「落後指標」，當黃金價格充分反映消費者物價指數未公布前的預期，使公布後又落後一期的數據，對黃金而言產生「消息出盡」的逆向反應。

關鍵字

黃金；原油；美元指數；消費者物價指數；單根檢定；共整合檢定；向量誤差修正模型；衝擊反應；變異數分解

並列摘要

The 1970’s two oil crises, the 2008 financial crisis, and the 2010 European debt crisis, and the 2016 Brexit, all let gold prices soar. Today “gold” still play a very important role—hedging, national currency reserves, in order to maintain monetary and economic stability. This research will be based on the five time series variables of the New York gold spot, the North Sea Brent crude oil spot, the US dollar index, the Non-farm employment data and the consumer price index. From October 1995 to March 2017 a total of 258 monthly data, using the ADF single root verification and PP single root verification, co-integration verification, vector autoregressive model, impact response, variance decomposition and other methods to study the interaction between variables. The results show that, no matter what single root test ,all variables become the stationary variables of I(0) after first-order difference, and the results show that the total integration of the test variables has the co-integration relationship ,so the vector error correction model. We found that New York gold spot and North Sea Brent crude oil spot has a significant impact, and the first one will also be significantly affected by the consumer price index. Brent crude oil and the US dollar index have a two-way feedback relationship effect. This research holds that the rise of crude oil has a positive effect on gold price, and also means that gold is a kind of asset tool which is safe from equity portfolio. As the consumer price index is a “lagging pointer”, when the price gold fully reflects the expectations of the consumer price index before it is released, the publication of the data after the release of a period of time, to the gold to produce a “news” reverse reaction.

並列關鍵字

Gold ； Crude oil ； Consumer price index ； Unit root test ； Co-integration ； Verification ； Vector error correction model ； Impact response ； Variance Decomposition

參考文獻

王光輝，2016，《黃金現貨價格波動對於美國S&P 500 股價指數之波動的影響分析》，臺北市：國立中正大學財務金融所在職專班碩士論文。

陳育凱，2012，《金價、油價、美元指數與S&P500指數關聯性分析-金融風暴的衝擊》，臺北市：國立中正大學財務金融所碩士論文。

簡月娥、2012，《多空市場下黃金報酬率影響因素之分析》，臺北市：朝陽科技大學財務金融所碩士論文

Chua and Woodward. (1982). Gold as an Inflation Hedge: A Comparative Study of Six Major Industrial Countries. Journal of Business Finance & Accounting, 9(2), 191-197.

Charles Amelie and Darne Olivier. (2012). Trends and random walks in macroecomic time series: A reappraisal. Journal of Macroeconomics, 34,167-180.

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黃金、原油現貨價格與相關總體經濟變數間互動關係之研究

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