国际黄金价格影响因素实证研究

发布时间：2018-02-11 06:46

本文关键词： 黄金价格美元指数通货膨胀率 VAR回归　出处：《广东外语外贸大学》2016年硕士论文　论文类型：学位论文

【摘要】：黄金作为曾经的货币,财富的象征,在人类的经济发展史上有着重要意义,其价格变化因素也是众多学者的研究对象。为了分析影响黄金价格的因素,本文首先分析了黄金的三大属性:商品属性、货币属性、投资避险属性。其次由黄金的这三大属性出发分析影响黄金的各个因素。并将这些因素大致划分成宏观侧面和微观层面的因素。最终,选定美元指数、美国消费者物价指数、道琼斯工业指数、WTI指数、以及美国联邦利率和加权马歇尔K值作为影响黄金价格变量,并同黄金价格建立实证分析模型,分别建立了三个阶段的VAR模型进行研究,最终证实没有一个因素能够在全阶段对黄金价格产生持续性重大影响;美元指数和美国CPI指数只在第一阶段对黄金价格产生重大影响;联邦基准利率只在第三阶段对金价产生重大影响;而从长期来看,石油价格,股票市场以及流动性指标并不会对金价产生直接重大的影响。
[Abstract]:Gold, as a former currency and symbol of wealth, is of great significance in the history of human economic development, and its price change factors have also been studied by many scholars. This paper first analyzes the three attributes of gold: commodity attribute, currency attribute, Secondly, starting from these three attributes of gold, we analyze the factors that affect gold. Then we divide these factors into macro and micro factors. Finally, we select the dollar index and the US consumer price index. The Dow Jones Industrial Index (WTI), the United States Federal interest rate and the weighted Marshall K value are used as variables to influence the gold price, and an empirical analysis model is established with the gold price, and three stages of VAR model are established. Finally, it is proved that none of the factors can have a sustained and significant impact on the gold price in the whole stage, while the dollar index and the CPI index of the United States only have a significant impact on the gold price in the first stage. Benchmark federal interest rates will only have a major impact on gold prices in the third phase; in the long run, oil prices, stock markets and liquidity measures will not have a direct impact on gold prices.
【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F831.54

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