本文主旨為探討黃金價格與台灣實質經濟之間的關係為何,並藉以找出黃金價格是否為台灣經濟動向的領先指標之一。本文利用1971年到2010年的季資料,所選取的變數包含:倫敦黃金定盤價、工業生產指數、貨幣供給M2、加權平均股價指數、通貨膨脹率、實質利率及失業率,進行向量自我迴歸模型(VAR)模型及Granger因果關係檢定,藉以找出各變數之間的關係。 本文中VAR實證結果發現:倫敦黃金定盤價對於工業生產指數、貨幣供給M2、加權平均股價指數、通貨膨脹率以及實質利率有領先的關係存在,顯示出倫敦黃金定盤價可以做為預測台灣經濟動向的領先指標。而透過Granger因果關係檢定的結果則發現,倫敦黃金價格對於通貨膨脹率及實質利率有單向的因果關係存在。另外從預測誤差變異數分解的結果中發現通貨膨脹率與實質利率這兩個變數受到倫敦黃金定盤價可解釋的部分比其他的經濟變數來的大。
The purpose of this paper is to find the relation between gold price and Taiwan macroeconomic variables. We try to examine whether the gold price is one of the leading indicators of Taiwan real activity. By using the data with sampling periods from 1971 to 2010, the variables in this paper include London gold price, industrial production index, money supply variable M2, weighted average stock price index, inflation rate, real interest rates and unemployment rate. And we use VAR model and Granger Causality test to find the relations among the macroeconomic variables. The empirical result of VAR is that the London gold price leads Taiwan industrial production index, M2, weighted average stock price index, inflation rate and real interest rates. Therefore, we may suggest the London gold price is a leading indicator of Taiwan real activity. In addition, the results of Granger Causality test show Granger Causality from the London gold price to inflation rate and real interest rates. And the results of forecast error variance decomposition show that the fluctuation of the London gold price can explain inflation rate and real interest rates.