臺灣博碩士論文加值系統

從古至今，黃金一直是避險、保值的資產，但在金融環境快速的變遷下，已儼然成為含有高度投機成分的金融工具，而在經歷多次的金融危機中，黃金價格屢創高峰，扮演著全球資金重要的避風港，但風雨逐漸隨時間消失殆盡，價格並未朝向價值邁進，反而持續攀升，使的黃金市場參與者，不論基於避險、投機，還是貨幣儲備等目的，皆無不緊盯黃金價格。然而，過去早已有對影響黃金價格的因素，進行廣泛的探討，但鮮少對各國的最高貨幣發行單位所扮演的角色多做著墨，因此本文目的在於探討各國中央銀行對黃金價格所帶來的衝擊情況，採用1996年1月至2011年12月的月資料，並運用時間序列分析工具，勾勒出黃金價格不為人知的面貌。
最後研究結果發現，央行黃金儲備量確實會影響黃金價格，其中可分為兩大層面，首先，在總體層面中，先進國家拋售黃金儲備於黃金市場，原因在於先進國家的貨幣已達一定的信用程度後，逐漸以外匯儲備取代。而新興國家則因為貨幣無法配合經濟發展的趨勢，需要增加黃金儲備來提高貨幣的發行準備額度；第二，國家層面的結果顯示，在新興國家中，中國、俄羅斯、中東國家等皆與黃金價格有顯著關係，而先進國家則皆不顯著。故未來在探討黃金價格之研究應將央行黃金儲備納入考量，此外，投資人可多關注上述國家是否對黃金儲備的需求大幅降低，若此跡象逐步發生，黃金市場即將掀起一股黑色旋風。

Since ancient times, gold has been the asset for avoiding risk and preserving value. However, with rapid changes in the financial environment, gold has become a highly speculative financial tool. During several financial crises, the price of gold repeatedly increased to new heights, serving as an important “safe haven” for funds worldwide. However, although these crises abated over time, the price of gold did not move toward its value, but instead, rose inexorably. Thus, all gold market participants must monitor the price closely for the purpose of hedging, speculation, or currency reserves. Widespread investigation of the factors affecting gold prices has been conducted, yet the role of the highest currency-issuing authorities around the world has seldom been discussed. Thus, this study explores the impact that the central banks of various countries have on gold prices. We adopted monthly data from January 1996 to December 2011, and applied analytical tools to time series data to illustrate the hidden conditions of gold prices.
The results of this study indicate that the value of gold reserves held by central banks affect gold prices. In addition, the results can be divided into two broad categories. First, on a macroeconomic scale, advanced countries tend to sell their gold reserves on the gold market because their currency has achieved a certain level of credibility. These countries then gradually replace their gold reserves with foreign exchange reserves. By contrast, for emerging countries, their currency cannot match economic growth trends, and gold reserves must be increased to increase reserves for currency issuing. Second, national-level results show that the economy of emerging countries China, Russia, and the Middle East are all significantly related to gold prices, whereas that for advanced countries is not significant. Therefore, future studies on gold prices should consider the gold reserves of central banks. Furthermore, investors may devote additional attention to whether the gold reserves required in the countries mentioned previously undergo significant reductions. If this occurs, the gold market is expected to experience a crisis in the near future.

目錄
謝辭 ..................................... i
摘要 ..................................... ii
Abstract ................................. iii
圖目錄 .................................... v
表目錄 .................................... vi
第一章 緒論 ............................... 1
第一節 研究動機與目的 ..................... 1
第二節 研究架構與流程 ..................... 2
第二章 文獻回顧 ........................... 4
第一節 市場因素層面 ....................... 4
第二節 政經因素層面 ....................... 8
第三節 文獻評析 ........................... 13
第三章 研究變數與方法 ....................... 14
第一節 研究變數之定義 ...................... 14
第二節 研究方法 ........................... 18
第四章 實證分析 ............................ 21
第一節 恆定性檢定 ......................... 21
第二節 共整合檢定 ......................... 24
第三節 向量誤差修正模型 .................... 28
第四節 小結 .............................. 49
第五章 研究結論與建議 ....................... 51
第一節 研究結論 ........................... 51
第二節 後續研究建議 ........................ 52
參考文獻 ................................... 53

圖目錄
圖1-1 2002~2012年黃金價格趨勢圖 (單位：USD/OZ) ............. 1
圖1-2 研究流程圖 ......................................... 3
圖2-1 1996 1月~1997 12月黃金價格趨勢圖 (單位：USD/OZ) ...... 6
圖4-1 黃金價格與Group 3原始資料趨勢圖 ...................... 35
圖4-2 金價格與Group 4原始資料趨勢圖 ........................ 39
圖4-3 黃金價格與非洲原始資料趨勢圖 .......................... 43
圖4-4 黃金價格與俄羅斯之原始資料趨勢圖 ....................... 46
圖4-5 黃金價格與中國之原始資料趨勢圖 ......................... 49

表目錄
表2-1 2001~2011年主要黃金開採國之產量 (單位：10噸) ........... 5
表2-2 2009~2011年黃金需求表 (單位：10噸) .................... 7
表2-3 文獻彙整 ............................................ 12
表3-1 變數定義 ............................................ 14
表4-1 各變數單根檢定結果 .................................... 21
表4-2 落後期數判定 ......................................... 24
表4-3 黃金價格對央行持有黃金儲備量之共整合檢定 ................. 26
表4-4 黃金價格與Group 1之VECM .............................. 29
表4-5 黃金價格與Group 2之VECM .............................. 31
表4-6 黃金價格與Group 3之VECM .............................. 33
表4-7 黃金價格與Group 4之VECM .............................. 36
表4-8 黃金價格與美國黃金儲備量之VECM ......................... 40
表4-9 黃金價格與非洲黃金儲備量之VECM ......................... 41
表4-10 黃金價格與歐洲黃金儲備量之VECM ........................ 43
表4-11 黃金價格與亞洲黃金儲備量之VECM ........................ 47

一、中文文獻

王秀香 (2012)。金融危機下影響黃金現貨價格變動因素之探討。淡江大學財務金融學系碩士論文。
伍永富 (1989)。世界與台灣金價之決定因素及預測模式之建立。淡江大學管理科學研究所碩士論文。
李映潔 (2007)。影響黃金價格因素其穩定性之研究。國立成功大學國際企業研究所碩士論文。
沈于平 (2008)。黃金價格影響因子之探討。長庚大學企業管理研究所碩士論文。
林鳴琴、施妤佩、李柏英、李杏美 (2012)。黃金價格變動與實質經濟關係之探討。財金論文叢刊 (16)，57-73。
陳淑華 (2011)。黃金價格與股價指數、石油價格及波動率指數關係之研究。逢甲大學風險管理與保險研究所碩士論文。
陳銘琦 (1990)。黃金價格時間數列模型。淡江大學管理科學研究所碩士論文。
彭國益 (2011)。黃金價格的信息與貨幣政策。國立暨南國際大學經濟學系碩士論文。
楊天立 (2001)。官方黃金準備之運用。中信通訊 (223期)，22-30。
楊瑩瑛 (2007)。黃金價格：全球要求報酬理論實證研究。雲林科技大學財務金融系碩士論文。

二、英文文獻

Abken, P. A. (1980) The economics of gold price movements. FRB Richmond Economic Review, 66(2), 3-13.
Baker, S., &; Tassel, R. (1985) Forecasting the price of gold: A fundamentalist approach. Atlantic Economic Journal, 13(4), 43-51.
Blose, L. E. (2010) Gold prices, cost of carry, and expected inflation. Journal of Economics and Business, 62(1), 35-47.
Brian, L., &; Edel, T. (2006) Seasonality, risk and return in daily comex gold and silver data 1982-2002. Applied Financial Economics, 16(4), 319-333.
Cai, J., Cheung, Y.-L., &; Wong, M. C. S. (2001) What moves the gold market? Journal of Futures Markets, 21(3), 257-278.
Capie, F., Mills, T. C., &; Wood, G. (2005) Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions and Money, 15(4), 343-352.
Christie–David, R., Chaudhry, M., &; Koch, T. W. (2000) Do macroeconomics news releases affect gold and silver prices? Journal of Economics and Business, 52(5), 405-421.
Engle, R. F., &; Granger, C. W. J. (1987) Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276.
Ghosh, D., Levin, E. J., MacMillan, P., &; Wright, R. E. (2004) Gold as an inflation hedge? Studies in Economics and Finance, 22(1), 1-25.
Granger, C. W. J. (1969) Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.
Granger, C. W. J. (1981) Some properties of time series data and their use in econometric model specification. Journal of Econometrics, 16(1), 121-130.
Granger, C. W. J. (1988) Some recent development in a concept of causality. Journal of Econometrics, 39(1-2), 199-211.
Joy, M. (2011) Gold and the us dollar: Hedge or haven? Finance Research Letters, 8(3), 120-131.
Koutsoyiannis, A. (1983) A short-run pricing model for a speculative asset, tested with data from the gold bullion market. Applied Economics, 15(5), 563-581.
Levin, E. J., Montagnoli, A., &; Wright, R. E. (2006). Short-run and long-run determinants of the price of gold: World Gold Council.
Lucey, B. M., &; Tully, E. (2006) The evolving relationship between gold and silver 1978--2002: Evidence from a dynamic cointegration analysis: A note. Applied Financial Economics Letters, 2(1), 47-53.
Melvin, M., &; Sultan, J. (1990) South african political unrest, oil prices, and the time varying risk premium in the gold futures market. Journal of Futures Markets, 10(2), 103-111.
Shafiee, S., &; Topal, E. (2010) An overview of global gold market and gold price forecasting. Resources Policy, 35(3), 178-189.
Sherman, E. J. (1983) A gold pricing model. The Journal of Portfolio Management, 9(3), 68-70.
Sjaastad, L. A. (2008) The price of gold and the exchange rates: Once again. Resources Policy, 33(2), 118-124.
Tully, E., &; Lucey, B. M. (2007) A power garch examination of the gold market. Research in International Business and Finance, 21(2), 316-325.
Zhang, Y.-J., &; Wei, Y.-M. (2010) The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 35(3), 168-177.