宏观经济对国际黄金市场低频波动的影响研究——基于Spline-GARCH模型的分析

发布时间：2017-12-26 20:24

本文关键词：宏观经济对国际黄金市场低频波动的影响研究——基于Spline-GARCH模型的分析　出处：《国际金融研究》2014年09期 　论文类型：期刊论文

【摘要】：本文采用Spline-GARCH模型分离出国际黄金市场的低频波动,放宽了传统波动模型非条件波动的常数限制,通过构造与宏观经济指标具有相同数据频率的低频波动数据,结合事件窗口分析黄金市场低频波动与宏观经济波动的关系。研究发现,宏观经济波动通过风险传染能够引起国际黄金市场的低频波动,两者之间的波动呈正相关,金融危机的发生使其相关程度提高;金融危机发生后CPI变动、工业生产指数下降、美元指数上升以及失业率上升是国际黄金市场低频波动加剧的原因,其中美元指数上升影响最大,而美元指数和失业率下降使低频波动下降。在黄金市场步入熊市之际,本文运用前沿性计量模型首次分离出黄金现货市场的低频波动,研究结论对黄金市场管理与投资具有重要的参考价值。
[Abstract]:This paper isolated low frequency fluctuation of the international gold market by using the Spline-GARCH model, to relax the traditional model of non conditional volatility volatility constant limit, low frequency fluctuations and macroeconomic indicators data by constructing data with the same frequency, the relationship with the event window analysis of gold market low frequency fluctuations and macroeconomic fluctuation. The study found that the fluctuation of macro economy through the risk of infection can cause the low frequency fluctuation of the international gold market, volatility is positively the relationship between the two, the occurrence of financial crisis makes the relevant improvement; after the financial crisis of CPI, changes in industrial production fell, the dollar index rose and the unemployment rate rise is the reason of increasing the low frequency fluctuation of the international gold market. The biggest impact of rising dollar index, while the dollar index and the unemployment rate fell to low frequency wave decline. When the gold market entered bear market, this paper first used the frontier econometric model to separate the low frequency volatility of gold spot market for the first time. The conclusion has important reference value for gold market management and investment.
【作者单位】：华南农业大学经济管理学院;
【基金】：中国国家留学基金公派访问学者项目(201208440325)资助
【分类号】：F831.54;F224
【正文快照】： 引言近年来,黄金价格剧烈波动引起各国货币当局和全球投资者的广泛关注。近十几年以来,黄金市场曾迎来了一轮超级大牛市,从1999年8月的252美元/盎司波动上涨至2011年9月的1920美元/盎司,最大升幅达662%。此后,随着美国经济的逐渐复苏及美元的走强,黄金价格呈现出波动下跌趋势,

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