本研究主要在探討新台幣兌美元匯率、油價、金價、利率之關聯性，並利用適當的計量模型來預測匯率。以1998年～2007年的月資料為研究樣本，利用共整合檢定及向量誤差修正模型（Vector Error Correction Model, VECM）來釐清變數間彼此之互動情形，以供投資人決策及學術研究參考。

研究結果發現，新台幣兌美元匯率、金價、油價、美元利率及台幣利率存在共整合關係。在VECM模型中，觀察出匯率受本身前期與前期台幣利率波動影響，且係數為負，表示台幣利率提高將導致台幣升值。匯率受油價、金價及美元利率之影響較不顯著。由Granger因果關係檢定得知，台幣利率與匯率彼此存在雙向回饋關係，美元利率單向領先台幣利率，台幣利率單向領先金價，油價單向領先美元利率且不受其他變數影響。

This thesis analyzes the relationship of exchange rate (TWD/USD), oil price, gold price, and real interest rate over the 1998-2007 period, and use appropriate structural model to forecast exchange rate. Using co-integration test and vector error correction model (VECM) approaches, this paper attempts to shed light into the correlation among the variables, expecting to provide investors and researchers with useful reference for their strategies of investment and research plans.

Results are presented to show that exchange rate (TWD/USD), gold price, oil price, US real interest rate, and TW real interest rate are co-integrated. From VECM, the findings suggest that movements of TW real interest rate have negative effects on movements of exchange rate. From the Granger causality test, we find that bidirectional causality existing between exchange rate and TW real interest rate, unidirectional causality running from US real interest rate to TW real interest rate, unidirectional causality running from TW real interest rate to gold price, and unidirectional causality running from oil price to US real interest rate.

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