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題名 比特幣與黃金價格關係
The Price Relationship Between Bitcoin and Gold
作者 陳世昌
Chen, Shi-Chang
貢獻者 鄭旭高
Cheng, Hsu-Kao
陳世昌
Chen, Shi-Chang
關鍵詞 比特幣
黃金
避險資產
金融科技
投資行為
政策影響
數位經 濟
市場波動
地緣政治風險
Bitcoin
Gold
Safe-haven Assets
Financial Technology
Investment behavior
Policy Impact
Digital economy
Market volatility
Geopolitical risk
日期 2025
上傳時間 1-Sep-2025 15:21:30 (UTC+8)
摘要 在金融科技的浪潮與資訊透明化的推動下，投資知識的普及正悄然改變全球金融市場的面貌。金融產品的多樣性從黃金等傳統實體資產延伸至比特幣等虛擬資產，促使投資者重新審視避險資產的角色與價值。2025年，美國總統唐納德·川普宣布建立「美國戰略比特幣儲備」，為加密貨幣市場帶來深遠變革，將比特幣推向避險資產的討論前沿，與黃金的穩固地位形成鮮明對比。本研究聚焦比特幣與黃金在經濟與地緣政治動盪中的避險表現，探討其價格波動、投資者偏好及市場間的交互影響，並分析川普政策如何為加密貨幣注入新的市場動能。 透過近年來的市場數據，結合全球黃金需求結構與比特幣的交易特性，本研究剖析兩者在危機中的表現差異。黃金憑藉其歷史積澱，長期作為避險的基石；比特幣則因數位化特性與市場新契機，展現出獨特的吸引力。研究運用統計分析，探索價格背後的驅動因素與資產間的動態關係，試圖揭示數位經濟時代避險資產的演變軌跡。類似地，歷史上黃金曾在金融危機中屹立不搖，而比特幣如今正試圖在數位浪潮中尋找立足之地。本研究希望為理解虛擬與實體資產的競爭與共存提供線索，並為金融市場的未來發展增添一抹思考。
Amid the wave of financial technology and the drive for greater information transparency, the popularization of investment knowledge is quietly transforming the global financial landscape. The diversity of financial products has expanded from traditional physical assets like gold to virtual assets like Bitcoin, prompting investors to re-examine the role and value of safe-haven assets. In 2025, U.S. President Donald Trump announced the establishment of the “U.S. Strategic Bitcoin Reserve,” which brought about profound changes in the cryptocurrency market and pushed Bitcoin to the forefront of discussions about safe-haven assets, creating a stark contrast to the established status of gold. This study focuses on the safe-haven performance of Bitcoin and gold during economic and geopolitical turmoil, exploring their price volatility, investor preferences, and interactions within the market. It also analyzes how Trump’s policies inject new market momentum into the cryptocurrency sector. By leveraging recent market data and combining the global demand structure for gold with Bitcoin’s trading characteristics, this study examines the differences in their performance during crises. Gold, with its historical significance, has long served as a cornerstone of hedging, while Bitcoin, driven by its digital nature and new market opportunities, shows unique appeal. The research employs statistical analysis to explore the driving forces behind prices and the dynamic relationships between assets, aiming to reveal the evolution of safe-haven assets in the digital economy era. Historically, gold has remained resilient during financial crises, and today, Bitcoin is trying to find its place amid the digital wave. This study seeks to provide insights into the competition and coexistence of virtual and physical assets and to offer a thoughtful perspective on the future development of financial markets.
參考文獻 Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1–22. https://doi.org/10.1002/jae.659 Batten, J. A., Ciner, C., & Lucey, B. M. (2010). The macroeconomic determinants of volatility in precious metals markets. Resources Policy, 35(2), 65–71. https://doi.org/10.1016/j.resourpol.2009.12.002 Baur, D. G., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar – A replication and extension. Finance Research Letters, 25, 103-110. https://doi.org/10.1016/j.frl.2017.10.012 Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898. https://doi.org/10.1016/j.jbankfin.2010.01.015 Bollerslev, T. (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics, 69(3), 542–547. https://doi.org/10.2307/1925546 Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192–198. https://doi.org/10.1016/j.frl.2016.09.025 Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B (Methodological), 37(2), 149–192. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x Cheah, E.-T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32–36. https://doi.org/10.1016/j.econlet.2015.02.029 Demarta, S., & McNeil, A. J. (2005). The t copula and related copulas. International Statistical Review, 73(1), 111–129. https://doi.org/10.1111/j.1751-5823.2005.tb00254.x Dyhrberg, A. H. (2016). Bitcoin, gold and the dollar: A GARCH volatility analysis. Finance Research Letters, 16, 85–92. https://doi.org/10.1016/j.frl.2015.10.008 Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350. https://doi.org/10.1198/073500102288618487 Fortune, J. N. (1987). The inflation rate of interest and the demand for money. Journal of Money, Credit and Banking, 19(1), 1–8. https://doi.org/10.2307/1992240 Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424–438. https://doi.org/10.2307/1912791 Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio diversification with virtual currency: Evidence from Bitcoin. International Review of Financial Analysis, 63, 431–437. https://doi.org/10.1016/j.irfa.2018.03.004 Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580. https://doi.org/10.2307/2938278 Jorion, P. (2007). Value at risk: The new benchmark for managing financial risk (3rd ed.). McGraw-Hill. Klein, T., Pham Thu, H., & Walther, T. (2018). Bitcoin is not the new gold: A comparison of volatility, correlation, and portfolio performance. International Review of Financial Analysis, 59, 105–116. https://doi.org/10.1016/j.irfa.2018.07.010 Koenker, R., & Bassett, G., Jr. (1978). Regression quantiles. Econometrica, 46(1), 33–50. https://doi.org/10.2307/1913643 Levin, E. J., & Wright, R. E. (2006). Short-run and long-run determinants of the price of gold. World Gold Council. https://www.gold.org/goldhub/research/short-run-and-long-run-determinants-price-gold MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13–39. https://www.jstor.org/stable/2729691 Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36(4), 394–419. https://doi.org/10.1086/294632 Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821–852. https://doi.org/10.1111/j.1467-937X.2005.00353.x Selmi, R., Mensi, W., Hammoudeh, S., & Bouoiyour, J. (2018). Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Economics, 74, 787–801. https://doi.org/10.1016/j.eneco.2018.07.007 Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis, 63, 322–330. https://doi.org/10.1016/j.irfa.2019.01.002 Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. https://doi.org/10.2307/1912017 Sjaastad, L. A. (2008). The price of gold and the exchange rates: Once again. Resources Policy, 33(2), 118–124. https://doi.org/10.1016/j.resourpol.2007.10.002 Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1–2), 225–250. https://doi.org/10.1016/0304-4076(94)01616-8BBC News. (2021, September 7). El Salvador becomes first country to adopt Bitcoin as legal tender. Retrieved June 6, 2025, from https://www.bbc.com/news/world-latin-america-58466587 Tsay, R. S. (2010). Analysis of financial time series (3rd ed.). Wiley. https://doi.org/10.1002/9780470644553 Investing.com. (n.d.). Bitcoin historical prices. Retrieved June 6, 2025, from https://hk.investing.com/crypto/bitcoin Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Retrieved June 6, 2025, from https://bitcoin.org/bitcoin.pdf People’s Bank of China. (2021). Progress of research & development of e-CNY in China. Retrieved June 6, 2025, from http://www.pbc.gov.cn/en/3688110/3688172/4157443/4293696/index.html People’s Bank of China. (2021). E-CNY: Objectives, principles, and inclusion considerations. Retrieved June 6, 2025, from http://www.pbc.gov.cn/en/3688110/3688172/4157443/4293701/index.html People’s Bank of China. (2021). Theories and practices of exploring China's e-CNY. Retrieved June 6, 2025, from http://www.pbc.gov.cn/en/3688110/3688172/4157443/4293702/index.html People’s Bank of China. (2022). Pilot results of digital yuan transactions. Retrieved June 6, 2025, from http://www.pbc.gov.cn/en/3688110/3688172/4157443/4293703/index.html Reuters. (2025, March 8). Trump signs executive order establishing strategic Bitcoin reserve. Retrieved June 6, 2025, from https://www.reuters.com/world/us/trump-signs-order-strategic-bitcoin-reserve-2025-03-08/ Tesla, Inc. (2021, February 8). Tesla buys $1.5 billion in Bitcoin. Retrieved June 6, 2025, from https://www.sec.gov/Archives/edgar/data/1318605/000119312521028498/d954918d8k.htm U.S. Department of the Treasury. (2023). U.S. holdings of Bitcoin. Retrieved June 6, 2025, from https://home.treasury.gov/news/press-releases/jy0456 U.S. Securities and Exchange Commission. (2021, October 15). SEC approves first Bitcoin futures ETF. Retrieved June 6, 2025, from https://www.sec.gov/news/press-release/2021-206 World Gold Council. (n.d.). Gold prices. Retrieved June 6, 2025, from https://www.gold.org/goldhub/data/gold-prices
描述 碩士
國立政治大學
應用經濟與社會發展英語碩士學位學程(IMES)
112266005
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112266005
資料類型 thesis
dc.contributor.advisor 鄭旭高zh_TW
dc.contributor.advisor Cheng, Hsu-Kaoen_US
dc.contributor.author (Authors) 陳世昌zh_TW
dc.contributor.author (Authors) Chen, Shi-Changen_US
dc.creator (作者) 陳世昌zh_TW
dc.creator (作者) Chen, Shi-Changen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Sep-2025 15:21:30 (UTC+8)-
dc.date.available 1-Sep-2025 15:21:30 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2025 15:21:30 (UTC+8)-
dc.identifier (Other Identifiers) G0112266005en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/159146-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 應用經濟與社會發展英語碩士學位學程(IMES)zh_TW
dc.description (描述) 112266005zh_TW
dc.description.abstract (摘要) 在金融科技的浪潮與資訊透明化的推動下，投資知識的普及正悄然改變全球金融市場的面貌。金融產品的多樣性從黃金等傳統實體資產延伸至比特幣等虛擬資產，促使投資者重新審視避險資產的角色與價值。2025年，美國總統唐納德·川普宣布建立「美國戰略比特幣儲備」，為加密貨幣市場帶來深遠變革，將比特幣推向避險資產的討論前沿，與黃金的穩固地位形成鮮明對比。本研究聚焦比特幣與黃金在經濟與地緣政治動盪中的避險表現，探討其價格波動、投資者偏好及市場間的交互影響，並分析川普政策如何為加密貨幣注入新的市場動能。 透過近年來的市場數據，結合全球黃金需求結構與比特幣的交易特性，本研究剖析兩者在危機中的表現差異。黃金憑藉其歷史積澱，長期作為避險的基石；比特幣則因數位化特性與市場新契機，展現出獨特的吸引力。研究運用統計分析，探索價格背後的驅動因素與資產間的動態關係，試圖揭示數位經濟時代避險資產的演變軌跡。類似地，歷史上黃金曾在金融危機中屹立不搖，而比特幣如今正試圖在數位浪潮中尋找立足之地。本研究希望為理解虛擬與實體資產的競爭與共存提供線索，並為金融市場的未來發展增添一抹思考。zh_TW
dc.description.abstract (摘要) Amid the wave of financial technology and the drive for greater information transparency, the popularization of investment knowledge is quietly transforming the global financial landscape. The diversity of financial products has expanded from traditional physical assets like gold to virtual assets like Bitcoin, prompting investors to re-examine the role and value of safe-haven assets. In 2025, U.S. President Donald Trump announced the establishment of the “U.S. Strategic Bitcoin Reserve,” which brought about profound changes in the cryptocurrency market and pushed Bitcoin to the forefront of discussions about safe-haven assets, creating a stark contrast to the established status of gold. This study focuses on the safe-haven performance of Bitcoin and gold during economic and geopolitical turmoil, exploring their price volatility, investor preferences, and interactions within the market. It also analyzes how Trump’s policies inject new market momentum into the cryptocurrency sector. By leveraging recent market data and combining the global demand structure for gold with Bitcoin’s trading characteristics, this study examines the differences in their performance during crises. Gold, with its historical significance, has long served as a cornerstone of hedging, while Bitcoin, driven by its digital nature and new market opportunities, shows unique appeal. The research employs statistical analysis to explore the driving forces behind prices and the dynamic relationships between assets, aiming to reveal the evolution of safe-haven assets in the digital economy era. Historically, gold has remained resilient during financial crises, and today, Bitcoin is trying to find its place amid the digital wave. This study seeks to provide insights into the competition and coexistence of virtual and physical assets and to offer a thoughtful perspective on the future development of financial markets.en_US
dc.description.tableofcontents CHAPTER 1.INTRODUCTION 1 1.1 Background of the Study 1 1.2 Motivation and Significance 5 1.3 Research Purpose 8 1.4 Research Questions 9 1.5Research Limitations 10 CHAPTER 2. LITERATURE REVIEW 12 2.1 Theoretical Foundations of Factors Influencing Gold Prices 12 2.1.1 Macroeconomic Factors 12 2.1.2 Geopolitical Risks 13 2.1.3 Market Supply and Demand 13 2.1.4 Literature Gap 14 2.2 Characteristics of the Bitcoin Market and Related Studies 15 2.2.1 Price Volatility 15 2.2.2 Market Variables 15 2.2.3 Policy and Regulatory Impacts 16 2.2.4 Literature Gap 16 2.3 Comparison of Bitcoin and Gold as Safe-Haven Assets 17 2.3.1 Similarities 17 2.3.2 Differences 20 2.3.3 Policy Impacts 24 2.4 Correlation Between Cryptocurrency and Traditional Precious Metals Markets 25 CHAPTER 3. RESEARCH METHODOLOGY 27 3.1 Research Design 27 3.2 Data Sources and Collection Methods 29 3.2.1 Bitcoin Data 29 3.2.2 Gold Data 30 3.2.3 Market Control Variables 30 3.2.4 Crisis Events and Structural Break Data 31 3.2.5 Data Processing 31 3.2.6 Data Cleaning and Processing Procedures 32 3.3 Variable Definitions and Measurements 36 3.3.1 Bitcoin Prices and Market Variables 36 3.3.2 Gold Price Variables 36 3.3.3 Variables and Measurements in Time-Varying Parameter Analysis 37 3.4 Analytical Methods 38 3.4.1 Statistical Models 38 3.4.2 Hypothesis Testing Methods 45 3.5 Research Hypotheses 49 CHAPTER 4. DATA ANALYSIS AND RESULTS 52 4.1 Descriptive Statistical Analysis 52 4.2 Correlation Analysis Between Bitcoin and Gold Prices 55 4.2.1 Static Correlation Analysis 55 4.2.2 Dynamic Correlation Analysis 56 4.3 Model Results and Interpretation 56 4.3.1 Granger Causality Tests 56 4.3.2 Impulse Response Function (IRF) Analysis 57 4.3.3 Macroeconomic Variable Control Analysis 58 4.3.4 Policy Breakpoint Analysis 59 4.3.5 Visualization of Macroeconomic Variables and Structural Breakpoints 61 4.3.6 Analysis of Safe-Haven Performance During Crisis Events 63 4.3.7 Impact of Control Variables 66 4.3.8 Copula-Based Dependence Analysis 67 4.4 Hypothesis Testing and Robustness Analysis 70 4.4.1 Robustness of Granger Causality Tests 70 4.4.2 Quantile Regression Analysis 72 4.4.3 Structural Breakpoint Tests 72 4.4.4 Research Limitations and Future Directions 73 4.4.5 Hypothesis Testing and Student-t GARCH Analysis 74 4.4.6 Time-Varying Parameter Vector Autoregression (TVP-VAR) Analysis 77 CHAPTER 5. CONCLUSION 79 5.1 Research Conclusions 79 5.1.1 Hypothesis H1: Safe-Haven Function Comparison 79 5.1.2 Hypothesis H2: Diversification Potential and Correlation 80 5.1.3 Hypothesis H3: Policy Breakpoint Impact 80 5.1.4 Hypothesis H4: Policy Impact on Volatility Dynamics 81 5.2 Research Contributions 82 5.2.1 Academic Contributions 82 5.2.2 Practical Contributions 83 5.3 Policy and Practical Implications 83 5.4 Research Limitations and Future Directions 85 REFERENCES 88zh_TW
dc.format.extent 3521993 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112266005en_US
dc.subject (關鍵詞) 比特幣zh_TW
dc.subject (關鍵詞) 黃金zh_TW
dc.subject (關鍵詞) 避險資產zh_TW
dc.subject (關鍵詞) 金融科技zh_TW
dc.subject (關鍵詞) 投資行為zh_TW
dc.subject (關鍵詞) 政策影響zh_TW
dc.subject (關鍵詞) 數位經 濟zh_TW
dc.subject (關鍵詞) 市場波動zh_TW
dc.subject (關鍵詞) 地緣政治風險zh_TW
dc.subject (關鍵詞) Bitcoinen_US
dc.subject (關鍵詞) Golden_US
dc.subject (關鍵詞) Safe-haven Assetsen_US
dc.subject (關鍵詞) Financial Technologyen_US
dc.subject (關鍵詞) Investment behavioren_US
dc.subject (關鍵詞) Policy Impacten_US
dc.subject (關鍵詞) Digital economyen_US
dc.subject (關鍵詞) Market volatilityen_US
dc.subject (關鍵詞) Geopolitical risken_US
dc.title (題名) 比特幣與黃金價格關係zh_TW
dc.title (題名) The Price Relationship Between Bitcoin and Golden_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1–22. https://doi.org/10.1002/jae.659 Batten, J. A., Ciner, C., & Lucey, B. M. (2010). The macroeconomic determinants of volatility in precious metals markets. Resources Policy, 35(2), 65–71. https://doi.org/10.1016/j.resourpol.2009.12.002 Baur, D. G., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar – A replication and extension. Finance Research Letters, 25, 103-110. https://doi.org/10.1016/j.frl.2017.10.012 Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898. https://doi.org/10.1016/j.jbankfin.2010.01.015 Bollerslev, T. (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics, 69(3), 542–547. https://doi.org/10.2307/1925546 Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192–198. https://doi.org/10.1016/j.frl.2016.09.025 Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B (Methodological), 37(2), 149–192. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x Cheah, E.-T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32–36. https://doi.org/10.1016/j.econlet.2015.02.029 Demarta, S., & McNeil, A. J. (2005). The t copula and related copulas. 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