本研究首先利用單根檢定作定態檢定及以Johansen模型檢定共整合關係，進而以建構誤差修正模式進行巿場間交互作用的分析。從日資料的實證結果可以發現黃金、白銀長期下具有共整合關係兩者間具有長期均衡關係。誤差修正模型方面，黃金和白銀的短期價格受其前期價格之調整有顯著影響。就長期而言，黃金與白銀主要是黃金朝長期均衡關係在調整。而以聯立方程模型分析得知，原油價格對黃金、白銀價格，如同預期的有顯著的正向影響。美元指數則是存在顯著的反向關係。在通貨膨脹率方面雖然如預期如同石油價格有其正向關係，但並不顯著。
This paper analyses the long run relationship between gold and silver prices.In order to establish the existence of a long-run relationship we first establish the order of integration of the variables through the use the unit root test and cointegration methods. Further use error correction model which analysis to the interaction between the market to construct. The error correction model, gold and silver prices in the short term subject to pre-price adjustments have a significant effect. The long term, gold in the adjustment towards long-run equilibrium relationship.
Simultaneous equation model analysis showed that the oil price of gold and sil-ver prices have a significant positive impact. The dollar index is a significant reverse impact. In the inflation, as the price of oil has its positive impact, but not significantly.
