本研究主要探討美國量化寬鬆政策對於美元指數、原油和黃金彼此影響的關係。並進一步探討在油金多空時期，彼此影響的關係是否會被改變。本研究所使用的資料為樣本期2009/01/02到2016/01/04的美元指數、石油價格和黃金指數共1,743筆日資料。再將樣本切分成兩時期，分析油金多頭時期和空頭時期，這期間包含了美國聯準會實施QE（Quantitive Easing）政策。之後，本研究方法採用雙變量GARCH模型探討美元對油金的影響，以進一步分析不同階段的QE政策下，美元對國際油價與金價的影響差異。由雙變量GARCH模型進行分析之實證結果所知，在油金多頭時期，油價對金價有較大的正向顯著影響關係。且金價對油價在油金多頭時期，也是有較大的正向顯著影響關係。但金價對油價在油金空頭時期則無顯著的影響。在油金空頭時期，美元對金價有較大的負向關係。最後，美元對原油無論在任何時候都無顯著的影響。 The resarch examaines the impacts of US quantitative easing policy on the oil and gold prices over peried from January 2009 to January 2016. Morvover, we divided the index of gold, and oil into the bull-bear market for analysing how impact between these indeies under QE policy. The samples include the three kinds of time series data - U.S dollar, oil price and gold price which is daily data, 1743 totally. In this research, the mothdology we used is multivariate GARCH model to analysis the data included whole period of QE policy and compared bear-bull mearkt of gold, oil price. The results show that under the bull-market of oil and gold, oil price have statisticaly positive relationship in gold price. Otherwise, gold price still has same positvie relastionsiop with oil price. However, in the bear market, the gold price did not have any statistcal relationship in oil price while U.S. dollar price has strongly nagative relationsip in gold price. Finally, there is no any relationship between U.S. dollor price and oil prices neither of bull and bear market.
