匯率不確定性會受到國際商品物價或國家利率所影響，匯率不確定性的資訊亦對投資人與企業有相當助益，故匯率不確定性的影響因子與避險的方式是值得更進一步的探討。本研究使用2002年第一季至2018年第四季，同時分析匯率之不確定性影響因子以及黃金作為匯率避險工具，首先透過單根檢定資料型態是否為定態以及判定模型落後期數，其次以相關係數矩陣作為設定模型認定條件的依據。實證結果發現到臺幣匯率之不確定性會主要受到石油與消費者物價指數的影響；而黃金做為匯率避險工具，其亦受到匯率不確定性的顯著影響。

The exchange rate uncertainty will not only affected by inflation or the country's interest rate. The empirical result is useful for the investors and policy makers. This study explores the uncertainty of the TWD/USD exchange rate (2002:Q1-2018:Q4) and considers the gold as a currency hedging tool. First, we check whether the data is stationary or not by using the ADF test. Second, this study employs the correlation coefficient matrix as the basis for setting the identification conditions. The empirical results show that the uncertainty of the TWD/USD exchange rate are mainly affected by the oil and inflation. Moreover, the exchange rate uncertainty accounts for a certain proportion for gold price.

目錄
第一章 緒論 5
第一節 研究背景 5
第二節 研究動機與目的 7
第三節 研究架構 8
第二章 文獻回顧 10
第一節 購買力平價假說 11
第二節 利率平價假說 13
第三節 石油價格與匯率的關聯性 16
第四節 黃金價格與匯率的關聯性 18
第三章 實證模型 20
第一節 向量自我迴歸模型 20
第二節 結構式向量自我迴歸 21
3.2.1模型認定問題 22
3.2.2落後期判定 23
第三節 ADF單根檢定 24
第四章 實證結果 25
第一節 資料與模型變數說明 26
第二節 ADF單根檢定 34
第三節 模型落後項判定 36
第四節 SVAR模型 38
4.4.1 條件假設 38
4.4.2 衝擊反應函數與變異數分解 43
第五章 結論與建議 60
第一節 結論 60
第二節 建議 62
參考文獻 63

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