| 摘要: | 黃金不僅為對抗全球經濟衰退、美元貶值與通貨膨脹的重要避險工具，且為最佳的保值商品，即使在高度全球通膨及地緣政治危機時仍能維持其流動性，持有黃金可建立差異化投資組合以降低風險。本研究利用多種時間序列方法，探討2006年1月2日至2010年4月30日間台銀黃金存摺價格、國際金價、新台幣兌美元匯率、原油價格、白銀價格、台灣加權股價指數之互動關係。本研究的實證結果歸納如下： 一、各變數在ADF單根檢定下均具有單根的性質。經由一階差分後各變數皆在1%顯著水準下，拒絕時間序列有單根存在之虛無假設，顯示各序列皆為定態且具有相同整合級次I(1)。 二、Johansen共整合實證結果顯示，台銀黃金存摺價格、國際金價、新台幣兌美元匯率、原油價格、白銀價格、台灣加權股價指數等變數間具有共整合現象，存在長期穩定的均衡關係。 三、在短期除台銀黃金存摺價格本身及國際金價落後期影響最為顯著外，新台幣兌美元匯率及原油價格的影響亦為顯著。 四、各變數對台銀黃金存摺價格衝擊的影響方面，以國際金價、油價、白銀價格對其造成的影響力最大，衝擊反應屬於長期型態，長期累積則具正向效果。 五、變異數分解的實證結果，由台銀黃金存摺價格第一期變動結果可知，其自發性干擾解釋比例高達100%，之後雖呈微幅降低，但仍維持96.46%以上，顯示台銀黃金存摺價格的自發性高。在長期，國際金價、白銀價格、油價、新台幣兌美元匯率對台銀黃金存摺價格解釋力較高。 綜合以上結論，在投資台銀黃金存摺時，要留意國際金價、白銀價格、油價、新台幣兌美元匯率波動所帶來的衝擊。Gold can not only an important hedging tool to fight against global recession,the depreciation in U.S. dollar and inflation but also the best hedge commodity .Gold is able to maintain its liquidity even at times of crisis situations like high global inflation or political turbulence.Holding gold is to build a diversified portfolio to reduce risk. This research used a variety of time-series methodologies to discuss the interactive relationship between the price of gold passbook from bank of Taiwan,international price of gold, NT dollar exchange rate,oil price,silver price and the price of Taiwan weighted stock index from January 2,2006 to 2010 April 30. The empirical results of this study are summarized as follows: 1.All variables by the ADF unit root test have unit root character.By way of first-order difference in the subsequent variables are significant at the 1% level, rejected the existence of time series with single root of nothing suppose,that the sequences are all stationary state and integrated-level meeting with the same pattern I(1). 2.The empirical results of Johansen cointegration show that the cointegration of the price of gold passbook from bank of Taiwan, international price of gold, NT dollar exchange rate,oil price,silver price and the price of Taiwan weighted stock index is existing,which implies these variables have long-term stability equilibrium relationship. 3.In the short term,in addition to the price of gold passbook from bank of Taiwan and international price of gold to fall behind the circulation period are most significant,NT dollar exchange rate and oil price are also significantly affected. 4.All variables to the impact of price shocks on the gold passbook from bank of Taiwan,the international price of gold,oil price and silver price caused the greatest influence.Impulse response is long-term pattern and long-term cumulative effect is positive. 5.The empirical results of the variance decomposition, we can see changes in the first phase to the price of gold passbook from bank of Taiwan,which explains the proportion of spontaneous disturbance of up to 100%,although slightly lower after, but remained over 96.46%.The price of gold passbook from bank of Taiwan showed spontaneous high.In the long run,international price of gold,silver prices,oil prices,NT dollar exchange rate have high explanation to gold passbook from bank of Taiwan. We can conclude that the shock resulted from international price of gold,silver price,oil price and NT dollar exchange rate are necessary to note when investing in gold passbook from bank of Taiwan. |
