本研究欲探討世界主要貨幣與黃金價格之間的關係。除了匯率與金價之間的關係外，本文也試圖去研究貨幣的強弱勢對於一國貨幣與黃金價格之間的關係是否有影響。本研究所採用1991年一月至2002年十二月的黃金現貨價格、美元有效匯率指數與歐元有效匯率指數為樣本。實證結果如下：
1. 在美元強勢時期及美元弱勢時期，美元匯率與金價的相關係數皆為負，相反地，在歐元弱勢時期及歐元強勢時期，歐元匯率與金價的相關係數皆為正。
2. 本研究指出美元匯率與黃金價格存在共整合關係，同樣地，歐元匯率與黃金價格存在共整合關係。
3. 在美元強勢時期，美元匯率領先黃金價格，同樣地，在歐元強勢時期，歐元匯率領先黃金價格。
4. 在美元強勢時期，美元匯率對黃金價格有負向的影響，同樣地，在歐元強勢時期，歐元匯率對黃金價格有負向的影響。
5. 黃金價格對美元有負向的影響，但是對歐元有正向的影響。

This research is trying to investigate the relationship between the major currencies and the price of gold. In addition to investigating the relationship between exchange rate and the price of gold, we will try to study the influence of strength of currency on this relationship as well in this research. The spot gold price data and effective exchange rate index data of the euro and the U.S. dollar consist of monthly observations from January 1991 through December 2002.
The empirical results are listed as follows:
1. The correlation coefficients between the U.S. dollar and the price of gold of the strong dollar period and the weak dollar period are both negative; on the contrary, the correlation coefficients between the euro and the price of gold of the weak euro period and the strong euro periods are both positive.
2. This research shows that the U.S. dollar and the price of gold are cointegrated. Similarly, the euro and the price of gold are also cointegrated.
3. During the strong dollar period, the real exchange rate of the U.S. dollar Granger-causes the price of gold. During the strong euro period, the real exchange rate of the euro also Granger-causes the price of gold.
4. The U.S. dollar has a negative effect on the price of gold during the strong dollar period. Also, the euro has a negative effect on the price of gold during the strong euro period.
5. The price of gold has a negative effect on the U.S. dollar but a positive one on the euro.

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