本研究利用多種時間序列方法，探討2004/1－2014/01間S＆P500股價指數、黃金價格、石油價格與恐慌指數、利率(3個月LIBOR)、美國公債長短期債券利差彼此間相互關係，研究結果發現：
一、運用Johansen共整合檢定結果發現，僅有石油價格與恐慌指數、利率(3
個月LIBOR)、債券利差之間存在長期穩定均衡關係。
二、Granger因果關係實證發現，利率(3個月LIBOR)單向地領先黃金價格與
石油價格。
三、衝擊反應分析得知，S＆P500股價指數受自身衝擊反應較為強烈且持續，
面對其他變數衝擊反應並不強烈；黃金價格及石油價格除受自身衝擊反應
較為強烈且持續，面對來自利率(3個月LIBOR)的衝擊也有較強烈反應。
四、變異數分解的實證結果，觀察出S＆P500股價指數外生性強，除自身外以
債券利差對其解釋力較大；黃金價格外生性強，除自身外以利率(3個月
LIBOR)對其解釋力較大；石油價格外生性不強，除自身外以利率(3個月
LIBOR)對其解釋力較大。
綜合以上結論，得知恐慌指數、利率(3個月LIBOR)及利差對S＆P500股價指數無明確預測性，但若是投資黃金與石油兩樣商品，則可用利率(3個月LIBOR)走勢當作重要參考指標。

First, the Johansen cointegration test helps find that there exists a relationship of long-run stable equilibrium among oil prices ,volatility Index,3-month libor and U.S. government bond yield spreads.
Second, from the Granger causality test, we find that unidirectional causality runs from 3-month libor to gold prices and oil prices.
Third, according to the impulse response, S&P500 stock price index has been more easily affected continuously by itself and less influenced by other variables. In addi¬tion, gold prices as well as oil prices have been more affected by itself continuously and 3-month libor.
Lastly, when based on the Variance Decomposition, S&P500 stock price index is more exogenous and U.S. government bond yield spreads account for a relatively large per-centage of the forecast error variance in S&P500 stock price index. Apart from this, alt-hough gold prices are more exogenous and oil prices have been more easily affected by other variables，3-month libor account for a relatively large percentage of the forecast error variance in gold and oil prices.
From the argument one can concluded that it is difficult for us to predict S&P500 stock price index by using volatility index, 3-month libor and U.S. government bond yield spreads. However, we could use 3-month libor as an important reference indica¬tor on in-vesting in commodities such as gold and oil.

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