||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.
13.世界黃金協會(World Gold Council)，http://www.gold.org
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