| Summary: | 碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 96 === The aim of this paper, differing from previous literature, is to examine whether regime changes have broken down the stability of the relationship between gold price and gold futures prices. Employing the unit root tests of Zivot and Andrews(1992) and the cointegration tests of Gregory and Hansen (1996) allowing for a structural break, the purpose of empirical evidence is to examine the long run equilibrium relationship between U.S. gold price and U.S. gold futures prices. The structural breaking timing of U.S. gold market are 1999, 2003, 2005 and 2006. Besides, the variance decomposition of forecast errors are used to assess the relative importance of U.S. gold price and U.S. gold futures price shocks to the volatility of other variables in the system. Result of study finds the reason of structure change in American gold market are violent fluctuation of international oil price and the decision that all around the world Central Bank reduce gold stock quantity.
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