黃金及股市與南非幣在COVID-19金融危機後之非線性因果關係探討

本研究以黃金價格、標普500指數以及美元兌蘭特匯率做為研究標的，研究資料期間從2020年3月23日至2021年2月26日，利用非線性門檻誤差修正模型為架構，分別對在COVID-19所造成之金融危機後，黃金及股市與蘭特匯率之間的長短期非線性因果關係進行相關研究。本研究實證結果指出，第一：無論是黃金價格或是標普500指數與蘭特匯率皆存在長期的均衡非對稱共整合關係。第二：在門檻誤差修正模型因果關係檢定中，在短期互動關係上，前一期之美元兌蘭特匯率對當期標普500指數存在顯著影響力，不符合一般研究中所認為新興經濟體之匯率理應受到主要股市之影響，而符合實務中以美元兌蘭特匯率做為美國股市領先指標之一的推斷。第三：短期因果關係上，標普500指數對美元兌蘭特匯率存在單向之因果關係，符合常理中主要股市與商品貨幣之互動關係。第四：長期因果關係上，當位於門檻值之上時，標普500指數對於美元兌蘭特匯率存在領先且顯著之單向正向因果關係，但顯著程度較低；而在門檻值之下時，黃金價格及標普500指數皆對美元兌蘭特匯率存在顯著之單向正向因果關係，且皆對美元兌蘭特匯率存在領先關係。本研究藉由實證結果結論出，蘭特做為黃金出口國以及商品貨幣國家之一，長期下仍主要受到黃金價格及美國股市之影響，唯在短期對於美國股市具有一定之影響能力。

關鍵字

黃金；股價指數；南非幣；金融危機；門檻共整合模型與誤差修正模型

並列摘要

The study uses gold price , S&P500 stock index and the exchange rate of the US dollar to the Rand. The research period is between March 23, 2020 to the February 26, 2021. During the period, the data frequency is daily data. The data was divided in two group, gold price and the exchange rate of the US dollar to the Rand, and, S&P500 index and the exchange rate of the US dollar to the Rand. Using the non-linear threshold error correction model framework to study the changes in the causal interaction and the dynamic influence process between the gold price and S&P500 index to the exchange rate in the long- and short-term non-linear causality relationship. The empirical results of this study point out that first: both the gold price and the S&P 500 index and theRand exchange rate have a long-term equilibrium asymmetric co-integration relationship. Second: In the threshold error correction model causality test, in the short-term interaction relationship, the Rand exchange rate of the previous period has a significant influence on the current S&P 500 index, which is not in line with the general research on emerging economies. And is in line with the actual inference that the US dollar to Rand exchange rate is one of the leading indicators of the US stock market. Third: In terms of short-term causality, there is a one-way causal relationship between the S&P 500 Index and the Rand exchange rate, which is consistent with the interaction between major stock markets and commodity currencies in common sense. Fourth: In terms of long-term causality, when it is above the threshold, the S&P 500 index has a leading and significant one-way positive causality for the Rand exchange rate, but the significance is low; and when it’s below the threshold, both the gold price and the S&P 500 index had a significant one-way positive causality relationship with the Rand exchange rate, and both had a leading relationship with the Rand exchange rate. Based on the empirical results of this study, it is concluded that the Rand, as one of the gold exporting countries and commodity currency countries, is still mainly affected by the price of gold and the US stock market in the long run, but has a certain influence on the US stock market in the short term.