本文利用GARCH 模型探討不動產指數、股價指數、匯率、利率、原油期貨等金融資產報酬與風險對黃金期貨報酬與風險之傳遞效果。實證結果發現，黃金期貨受貨幣政策恆常效果之影響，因利率反映寬鬆或緊縮貨幣政策，導致投資人對通貨膨脹率上升或下降之預期，是以黃金期貨當期報酬率受利率前期報酬率之負向影響，利率變動具黃金期貨價格發現之功能；黃金期貨當期波動性則受自身與股價指數前期波動性之正向影響，亦受不動產指數與匯率前期波動性之負向影響，黃金期貨除可規避匯率風險外，因不動產指數隱含通貨膨脹風險，顯示黃金期貨亦可規避通貨膨脹風險，是以黃金得做為匯率與通貨膨脹之避險工具，提供投資人投資或避險決策之參考。

This paper employs the generalized autoregressive conditional hetroskedasticity (GARCH) model to investigate the transmission mechanism of return and risk from real estate index, stock index, exchange rates, interest rates and crude oil futures to gold futures. The empirical results indicate that the one-period lagged return of interest rate is negatively and significantly influence on the return of gold futures. The gold futures can be used to hedge the inflation risk because the interest rate implies the monetary policies with inflation or deflation. The interest rate has a function of the price discovery for gold futures. In addition, the volatility of gold futures is positively and significantly influenced by the one-period lagged volatility of stock index and itself and negatively and significantly influenced by the one-period lagged volatility of real estate index and exchange rate, nevertheless, the one-period lagged volatility of interest rate and crude oil futures can not significantly influence on the volatility of gold futures. These findings confirm the gold futures can be used to hedge the risk from inflation and exchange rate.