台灣黃金市場、外匯市場與總體變數相互關係之研究－聯立方程式模型

An Study on the Interrelationships of Gold Market, Foreign Exchange Market and Macroeconomic Variables in Taiwan-Simultaneous Equations Models

康信鴻(Hsin-Hong Kang) ； 陳雍仁(Yung-Jen Chen)

《臺大管理論叢》 9卷2期 (1999/03) Pp. 101-135

https://doi.org/10.6226/NTURM1999.9.2.101

摘要

本文之目的乃是欲以聯立方程式模型對台灣的黃金市場、外匯市場與總體變數之相互關係作一實證研究。在聯立方程式方面，本文之實證乃是以美元匯率、台灣黃金價格與世界黃金價格作為內生變數，並以影響此三個內生變數之相關經濟因素做外生變數，然後建立聯立方程式模型，以探討黃金市場與外匯市場之互動關係。

關鍵字

黃金市場 ； 外匯市場 ； 聯立方程式 ； 黃金價格 ； 匯率

並列摘要

The main purpose of the paper is to do an empirical study on the interrelationships among gold market, foreign exchange market and macroeconomic variables in Taiwan. By treating exchange rate, Taiwan's gold price and world's gold price as endogenous variables and treating other variables which affecting exchange rate, Taiwan's gold price and world gold price as exogenous variables, the paper constructs simultaneous equations models to discuss the interactions of gold market and foreign exchange market.

並列關鍵字

Gold Market ； Foreign Exchange Market ； Simultaneous Equations Model ； Gold Price ； Exchange Rates

參考文獻

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Boughton, J. M.(1987).Test of the Performance of Reduced-Form Exchange Rate Models.Journal of International Economics.23

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

Dickey, D. A., Fuller, W. A.(1979).Distribution of the Estimators for Autoregressive Time Series with a Unit Root.Journal of the American Statistical Association.74