黃金與白銀價格變動因素之探討

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Title:	黃金與白銀價格變動因素之探討
Other Titles:	Explore the Determinations of price movements for Gold and Silver
Authors:	林嘉怡 Lin,Jia Yi
Contributors:	王凱立 Wang, Kai-Li 高階經營管理碩士在職專班
Keywords:	共整合分析;白銀;黃金;迴歸分析模型 Cointegration;Silver;Gold;Regression analysis model
Date:	2014
Issue Date:	2015-03-23T07:16:42Z (UTC)
Abstract:	本文針對黃金與白銀價格之決定因素作分析，探討受原油價格、S&P500、恐慌指數、消費者物價指數、美國十年期公債、工業生產指數、失業率、美國聯邦資金利率等變數之影響。共整合實證結果顯示，黃金、白銀與各相關變數具有共整合關係，說明彼此存在長期穩定的均衡關係。迴歸分析結果顯示，原油價格、S&P500、消費者物價指數、美國十年期公債和工業生產指數對於黃金、白銀具顯著影響關係。實證結果發現，影響黃金與白銀的顯著性因素大致相同，然相關變數對於白銀的影響程度普遍高於黃金，本文結果提供投資人避險或套利操作的參考。 The research aims at analyzing the pricing factors for gold and silver. The variables that contribute to the pricing, which include crude oil price, S&P500 Index, VIX Index, CPI, 10-Year US Treasury Yield, Industrial Production, US unemployment rate, Federal Funds rate, are being discussed. The results of cointegration reveal that gold, silver and all relevant variables are stably in long run equilibrium. The result of regression analysis shows that the variables, such as crude oil price, S&P500 Index, CPI, 10-Year US Treasury and Industrial Production, are significant factors for the movements of gold and silver. The evidences found that significant factors influencing gold and silver are mainly identical. However, the variables influencing silver show larger magnitude than that of gold. The study provider practical implications for investor’s reference, who seeks for hedging or interest arbitrage purpose.
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