黃金價格在 2011 年創下超越1900 美元的歷史新高，因此如何預測金價及金價的影響因子是否隨時間而改變成為更引人感興趣的議題。本研究一開始將探討黃金的合理價位，接著將1972 年至2011 年分割成七個階段，並分別探討黃金價格的影響因子。最後使用最近的金價影響因子建立預測模型，同時回測其績效。
實證結果共分三部分。首先，從1971 年12 月31 日的購買力角度來看，2011 年底的黃金價格偏高。其次本研究發現黃金價格的影響因子會隨著時間而改變。它們通常會隨世界上的重大經濟事件變化。第三是金價預測模型的樣本內及樣本外回測績效皆良好，但是如果影響因子有所改變的話其樣本外回測結果將變得比較差。

Gold price hits record high more than ＄1900 in 2011, so how to forecast gold price and whether the influence factor of gold price change over time become more interesting issues for people. The beginning of this paper tries to find out the reasonable gold price then cut the study period into 7 stages and examines the influence factor of gold price in each stage from 1972 to 2011. Finally, this research uses the recent influence factor to build a forecasting model and tests its performance.
The empirical result has three parts. First, from the view of purchasing power at December 31, 1971, gold price is too high in the end of 2011. Secondly, influence factors of gold price will change over time. They usually alter with important economic events of the world. Thirdly, the forecasting model has good performance in both in-sample and out-of-sample backtesting, but if the influence factor had changed, the performance would be worse in out-of-sample backtesting.

致謝 ......................................................................................................................................... ii
中文摘要 ................................................................................................................................ iii
英文摘要 ................................................................................................................................ iv
目錄 ......................................................................................................................................... v
圖次 ....................................................................................................................................... vii
表次 ........................................................................................................................................ ix
第一章 緒論 ............................................................................................................................ 1
第二章 黃金供需及文獻探討 ................................................................................................ 2
第一節 黃金的供給與需求 ............................................................................................ 2
第二節 美元相關討論 .................................................................................................... 6
第三節 石油相關討論 .................................................................................................... 8
第四節 通貨膨脹相關討論 ............................................................................................ 9
第五節 避險天堂相關討論 .......................................................................................... 10
第六節 小結 .................................................................................................................. 12
第三章 研究方法 .................................................................................................................. 13
第一節 樣本說明及資料來源 ...................................................................................... 13
第二節 研究期間 .......................................................................................................... 14
第三節 實證方法與績效評估準則 .............................................................................. 15
第四章 尋找黃金的合理價格 .............................................................................................. 18
第一節 經通貨膨脹還原之黃金長期均衡價格 .......................................................... 18
第二節 尋找石油與黃金的長期均衡比例 .................................................................. 20
第五章 黃金價格影響因子實證與結果分析 ...................................................................... 22
第一節 Stage1(1972-1978) ........................................................................................... 22
第二節 Stage2(1979-1985/8) ........................................................................................ 25
第三節 Stage3(1985/9-1990/7) ..................................................................................... 26
第四節 Stage4(1990/8-1997/6) ..................................................................................... 28
第五節 Stage5(1997/7-2003/2) ..................................................................................... 29
第六節 Stage6(2003/3-2008/8) ..................................................................................... 30
第七節 Stage7(2008/9-2011/12，日資料) ................................................................... 34
第八節 2011 年(2011/1-2011/12，日資料) ................................................................. 39
第九節 小結 .................................................................................................................. 42
第六章 黃金價格影響因子與金價預測模型 ...................................................................... 43
第一節 模型一模擬交易回測績效 .............................................................................. 45
第二節 模型二模擬交易回測績效 .............................................................................. 49
第七章 結論與建議 .............................................................................................................. 52
參考文獻 ............................................................................................................................... 54

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