臺灣博碩士論文加值系統

本研究目的在檢視我國黃金價格、匯率及通貨膨脹率的互動關係，考慮這三個變數的內生性，使用聯立方程式模型，以二階段最小平方法 (2SLS) 估計係數。使用2003年2月至2021年12月共227筆時間序列月資料為樣本，包括台灣銀行的黃金價格及台灣的匯率及通貨膨脹率。本文也檢測2008年全球金融風暴有無造成迴歸模型變數間的結構性改變。
結果發現：第一，全樣本期間黃金價格變動與匯率的變動及通貨膨脹率無顯著關聯，惟受國際黃金價格顯著正向影響；匯率變動受美國貨幣供給額變動和台灣通貨膨脹率顯著正向影響；台灣通貨膨脹率受國際收支順差反向影響，但顯著性稍弱。第二，金融風暴導致結構性的改變：(1) 對台灣金價變動之影響：台幣匯率變動之影響在金融風暴前 (2008/8前) 不顯著；風暴開始後 (2008/9至2021/12) 才有顯著正向影響，即台幣貶值使台灣金價明顯上漲。風暴前，美國利率變動有同向影響，台股指數變動有反向影響，但風暴開始後這些影響都不顯著。(2) 對台幣匯率變動之影響：通貨膨脹率之正向影響僅在風暴前至風暴結束，結束後即無顯著影響；美國貨幣供給額變動之正向影響僅在風暴期間較明顯。(3) 對通貨膨脹率之影響：台幣匯率變動之正向影響在風暴前不明顯，風暴開始後才顯著；國際收支順差只在風暴期間稍有正向影響，其他期間之影響都不顯著；風暴前台灣貨幣供給有顯著正向影響，風暴開始後影響消失，但此後轉變成美國貨幣供給變動的顯著反向影響；油價變動在風暴結束後稍有正向影響。

The purpose of this study is to examine the interactive relationship between Taiwan’s gold price, exchange rate and inflation rate, considering the endogeneity of these three variables, using the simultaneous equation model, and estimating the coefficients with the two-stage least squares method (2SLS). A total of 227 time-series monthly data from February 2003 to December 2021 are used as samples, including the gold price of the Bank of Taiwan and the exchange rate and inflation rate of Taiwan. This paper also examines whether the 2008 global financial turmoil caused structural changes among the variables of the regression model.
The study found: First, from February 2003 to December 2021, the change of gold price was not significantly related to the change of exchange rate and the inflation rate, but was positively affected by the international gold price; Taiwan's inflation rate has a significant positive effect. Taiwan's inflation rate is negatively affected by the balance of payments surplus, but the significance is slightly weaker. Second, the structural changes caused by the financial turmoil: (1) Impact on gold price changes: The impact of changes in the exchange rate of Taiwan dollar was not significant before the financial turmoil (2003/2 to 2008/8), while having a significant positive impact after the turmoil starting (2008/9 to 2021/12); that is, the depreciation of the Taiwan dollar will cause the price of gold in Taiwan to rise significantly. Before the turmoil, changes in U.S. interest rates had a positive effect, and changes in the Taiwan stock index had a negative effect, but these effects were not significant after the turmoil began. (2) Impact on the exchange rate change of Taiwan dollar: The positive impact of the inflation rate is only from before the turmoil to its end, and there is no significant impact after turmoil end; the positive impact of the change in the U.S. money supply is only obvious during the turmoil. (3) Impact on the inflation rate: The positive impact of the exchange rate change of Taiwan dollar was not obvious before the turmoil, and it was only significant after the turmoil started. The impact of the balance of payments surplus existed only slightly and positively during the turmoil, and was not significant during other periods. Before the turmoil, Taiwan's money supply had a significant positive effect, and the effect disappeared after the turmoil started, but then turned into a significantly negative effect of changes in the US money supply. The changes in oil prices had a slightly positive effect after the turmoil ended.

目錄

目錄 I
表目錄 II
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻探討 5
第一節 匯率、通貨膨脹與總體經濟的關係 5
第二節 黃金價格與匯率及其他因素的關係 14
第三節 黃金價格與通貨膨脹率的關係 20
第三章 研究方法 23
第一節 主要變數定義 23
第二節 實證模型設立 23
第四章 實證結果 30
第一節 樣本說明 30
第二節 單根檢定與變數輪廓 30
第三節 獨立迴歸式分析結果 34
第四節 聯立迴歸模式分析結果 35
第五章 結論 43
第一節 研究結論 43
第二節 研究建議 45
參考文獻 46

 
表目錄

表2-1 影響黃金價格變動的12大因素 19
表4-1 變數之Phillips-Perron單根檢定結果 31
表4-2 變數敘述統計量 32
表4-3 變數相關係數 33
表4-4 黃金價格變動、匯率變動和通貨膨脹率之迴歸分析結果：OLS估計 34
表4-5 黃金價格變動之迴歸分析：2SLS估計 39
表4-6 匯率變動之迴歸分析：2SLS估計 40
表4-7 通貨膨脹率之迴歸分析：2SLS估計 41
表4-8 金融風暴角色實證結果綜合表 42

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