黃金對美國通貨膨脹之避險效果

Abstract

黃金一直被認為是一種有效的通膨避險工具，因為它具有保存價值得特性。但兩千年開始十年以上的黃金牛市，但卻不見相同幅度的通膨成長，令人開始懷疑黃金的避險效果。本論文發現CAPM無法解釋黃金超額報酬，利用回歸式發現真實與非預期的通貨膨張與黃金有正相關性，證實黃金對通膨有避險效果，但預期通貨膨脹卻負相關。此外，本論文重新檢視在高通膨時時黃金價格與通膨的關係，除了發現黃金與當期通膨在長期有正相關外，預期通膨也由負轉正，隱含投資者對黃金的避險需求在高通膨時期較顯著。

Gold has long been seen as a good hedge against inflation because it acts as a store of wealth. Therefore, it is an active investment product in gold market. The bull market in gold had been lasted over a decade. This paper tests the relationship between the gold return and three kinds of inflations, actual inflation, expected inflation and unexpected inflation. We found CAPM cannot explain the gold excess return and actual and unexpected inflations are highly related to the gold return from 1982 to 2013 by regressions. It proves that gold is a tool to hedge against inflation but the coefficient of expected inflation is significantly negative. Besides, we test the relationship between inflations and gold price during the period of high inflation. We find that actual inflation is still related to the gold price in the long period and the coefficient of expected inflation turns into positive statistically, which means investors has more demand for hedging against inflation during the period of high inflation.