在眾多國際金融市場中，黃金是最佳的保值商品，不僅可以對抗全球經濟衰退，更是通貨膨脹最重要的避險工具之一。本文研究主要在探討利率效果是否會影響國際黃金市場報酬，資料採用1990年1月1日至2009年12月31日之國際黃金市場日報酬、交易加權美元指數日資料為匯率代表與聯邦資金利率日資料為利率代表做為觀測值，利用單根檢定、自我迴歸條件異質變異模型(ARCH)及一般化自我迴歸條件異質變異模型(GARCH)來觀察國際黃金報酬與利率效果之間的關係。 實證結果發現2003/7/1至2009/12/31這段期間，國際黃金市場報酬受報酬本身落後一期顯著影響且為正向關係，受匯率當期顯著影響且為負向關係，受利率落後三期顯著影響且為負向關係，顯示在2003/7/1至2009/12/31這段觀察期間內國際黃金市場報酬有顯著的利率效果。 2003年至2008年是金融市場上大家俗稱的大多頭，2003年之後的利率效果即為業界所稱之資金行情，與2009年之利率效果相類似，其中資金行情接下來可能會影響通貨膨脹，再加上景氣等其他因素往往又會影響各國的貨幣政策，進而影響黃金市場。當FED降息，顯示其極盡所能的在拉抬美國經濟，市場焦點此時將轉移至各國間利率差異，也將促使美元持續走軟，這也是市場上普遍認為這段期間的資金行情為日圓利差的主要原因。未來黃金市場價格的變動方向，主要取決於美元匯率的走勢，而美元匯率的變動則與美國經濟成長及聯邦準備理事會(FED)的貨幣政策等密切相關。Gold is the best hedging product among the international financial; it cannot only against global recession, mostly it’s one of the important hedging tools. This study focuses on international gold market profile that will be affected by interest rates or not. Use the daily data of international gold market profit, trade weighting U.S. Dollar Index and Federal Funds Rate to analyze, during 1st January 1990 to December 31 2009; using unit root test, Autoregressive Condition Heteroskedasticity model (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity mode (GARCH) to observe the relationship between international gold market profit and interest rate effect. This study is shown observable signification between international gold market profit and interest rate effect during July 1st 2003 to December 31 2009. The international gold market profit and itself next period is significant positive influence each other, exchange rate will influence the international gold market profit in the same period(negative), Federal funds rate will influence the international gold market profit in the next three period (negative). During July 1st 2003 to December 31 2009 this period of observation of the international gold market profit have a significant interest rate effect. It commonly known as the bull market from Year 2003 to 2008, the interest rate effect is called the capital liquidity by financial market after 2003. It’s similar to interest rate effect during Year 2009; which is may affect the capital market inflation. The phenomenon with other economy factors may also affect other countries monetary policy, there by affecting the gold market. When the Fed cut interest rates, it’s shown its doing all it can in the lift the U.S. economy, the market focus will shift to interest rate differences between other countries, but also will lead to continued dollar go weakness, which is generally considered the main reason for the Yen carry. Future change direction of gold price is depends on the trend of U.S. dollar exchange rate. The US dollar exchange rate movements will closely related on U.S. economic growth and Federal Reserve Board (FED) monetary policy.
