一般而言，在降息期間或是在金融市場因風險增大時而導致利率走低的情況下，美國公債及黃金商品皆被投資人視為是絕佳的避險工具，因此傾向產生同步上揚的情形。但在2020年新冠肺炎疫情全球擴散的影響下，竟然出現美國公債及黃金商品雙雙被拋售套現的情況，因此本論文意欲探討在不同期間下，此兩項資產的連動關係。本論文研究期間為2005年1月1日至2020年4月30日，主要運用時間序列及計量模型探討美國長短期公債之殖利率、零息債券價格及實質利率與黃金期貨價格在整體期間與升降息期間的關聯性，利用單根檢定、共整合檢定、向量自我迴歸模型、Granger因果關係分析、衝擊反應函數分析等計量方法進行實證研究。結果發現短期美國公債之殖利率、零息債券價格在整體期間及2015年升息期間皆會單向影響黃金期貨，而長短期美國公債之實質利率在任何期間也呈現單向影響黃金期貨價格。此外，在2019年的降息期間，長期的美國公債實質利率對於黃金期貨價格的解釋力相較其他時期為高。

In general, during the period of interest rate cuts or when the financial market is subject to lower interest rates due to increased risks, U.S. Treasury bonds and gold commodities are regarded by investors as excellent hedging instruments, so their prices tend to rise simultaneously. However, under the influence of the global spread of the COVID-19 in 2020, there have been cases where both US Treasury bonds and gold commodities have been dumped and cashed out. Therefore, this thesis intends to explore the linkage between these two assets in different periods. The research period of this thesis is from January 1, 2005 to April 30, 2020. It mainly uses time series and econometric models to discuss the interactions of the yield rate, zero-coupon bond price and real interest rate of U.S. long- and short-term government bonds, and the gold futures price in the overall period. The correlation between periods of rising and falling interest rates is empirically studied using econometric methods such as unit root test, cointegration test, vector autoregressive model, Granger causality analysis, and impulse response function analysis. It was found that the yield of short-term U.S. Treasury bonds and the price of zero-coupon bonds will unidirectionally affect gold futures price and the real interest rate of long- and short-term U.S. Treasury bonds will also unidirectionally affect the price of gold futures in any period. In addition, during the 2019 rate cut period, the long-term real interest rate of US Treasury bonds has a higher explanatory power for gold futures prices than in other periods.

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國內文獻及專書
1.陳旭昇（2009），『時間序列分析-總體經濟與財務金融之應用』，東華書局
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4.蔡宇凱（2015），美國公債殖利率、股市預期益本比及黃金隱含報酬率之探討，國立交通大學經營管理研究所碩士論文
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