美元與黃金價格及房地產指數關聯性之研究

美元，金價與房價本身的關聯性，間接影響整體經濟、金融等環境的發展。本研究主要是利用共整合與因果關係探討研究美元，金價與房價三者之間取得的互動關鍵資訊，對於投資人在投資策略下，是否具有相當一定程度的影響。本研究所選取之樣本資料以美國房地產信託投資基金指數，世界黃金協會，美元指數，以每日收盤價計算出的實質價格為研究對象。研究期間為2018年01月02日至2020年11月06日之日資料，資料來源取自台灣經濟新報資料庫(TEJ)。本研究結果顯示，在1%顯著水準下，美元會影響金價及房價；在5%顯著水準下，金價未能影響美元卻能影響房價；在1%顯著水準下，房價會影響美元但是不能影響金價。更進一步發現，三個變數中美元影響力最大，會影響金價及房價，其次，雙向因果關係只存在於美元與房價之間。

關鍵字

美元指數；黃金價格；房地產指數；向量自我迴歸模型；因果關係

並列摘要

The correlation among U.S. dollar、gold price and housing price affect the overall economy development of financial and other environment indirectly. This research mainly uses Cointegration and Causality methodologies to investigate relationships among U.S. dollar、gold price and housing price to acquire crucial information for investors. The data of this research data collected from the MSCI US REIT index，gold price，U.S. Dollar index. Research period is from the second day January 2018 to the sixth day November 2020. The results of study show that, under 1% significant level, the U.S. dollar affects gold prices and housing price; under 5% significant level，the gold price failed to affect the U.S. dollar but could affect house prices; at 1% significant level, house price affects the U.S. dollar but cannot affect gold price. Further evidence shows that, firstly, the dollar has most powerful influence, will affect gold price and housing price. Secondly, two-way causality exists only between the dollar and house price.