| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 105 === Financial investment analyst need to familiar with global finance dynamic information, industrial analysis, stock fundamental and news analysis, so as to propose an optimal asset allocation model. Due to the important role of gold investment on asset allocation for its value preservation and asset appreciation, this study intends to investigate the inter-relationships among gold price, US bond yield and US dollar. A total of 144 monthly observations, ranging from Jan, 2004 to Dec. 2016, are collected. Data analytical methods include unit root test, Granger causality test, and vector autoregressive model、impulse response function and forecast error variance decomposition. The empirical findings are summarized as follows:
1.The Granger causality tests show that gold price would affect US bond yield, but other variables do not show any significant causal relationships.
2.The tests of impulse response function demonstrate gold price would affect US bond yield and US dollar, whereas there is no causal relationships between US bond yield and US dollar.
3.The tests of forecast error variance decomposition have found that there are strong endogeneity in US bond yield and US dollar (approximately 99%); gold price, however, has lower endogeneity (approximately 75%). It shows gold price might be affected by US bond yield and US dollar.
Overall, long-term gold price have negative impact on US bond yield and US dollar. In other words, long-term gold price have positive impact on US bond price. The results might suggest gold price, interest rate and exchange rate could be jointly adopted in asset allocation.
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