黄金和白银比价分析
发布时间：2018-08-26 11:10
【摘要】：金银比价是指同一时期内黄金价格与白银价格的比值,金银比价的波动反应了黄金与白银两者之间内在关系的变动。黄金、白银作为贵金属均曾充作本位货币,关于金银比价的讨论由来已久,而现在市场上亦存有大量金银之间的套利投资,因此金银比价问题是一个既具有历史意义又具有现实价值的课题。本文通过对黄金与白银历史价格的实证研究,发现两者之间存在长期稳定的协整关系,进一步研究发现金银比价表现出长期的平稳性,由此推出金银比价符合均值回归规律,并以此为基础利用金银比价,设计出对金银的投资策略。 在实证分析方面,本文从影响金银比价波动的因素着手设计实证模型,选取变量进行普通最小二乘估计,实证结果表明：其一,白银和黄金的金融属性使得两者对美国的货币政策非常敏感,但白银因其市场深度等原因,受美联储货币政策的冲击更大,因此表现出金银比价受到美国狭义货币量M1的负向影响。其二,本文发现因为白银表现出更强的商品属性,使得实体经济和白银总存量对金银比价的影响也非常显著,前者表现为负向影响,后者表现为正向影响。其三,金银比价受到黄金和白银各自的交易量的影响,表现出明显的量价配合的基本规律。在此之后,本文设计了简单的金银比价投资交易策略,并使用近期数据,验证了金银比价交易策略的可行性,投资结果显示,若严格遵守设置的投资阈值,灵活的应用投资策略进行投资,是有机会获得正收益的。最后,本文结合实证模型和交易实务模型给出了,有关金银比价交易策略的投资建议,投资者应该根据货币政策变化、实体经济运行、白银总存量的变化调整金银比价均值回归线的预期,由此可以增大获利概率。
[Abstract]:The ratio of gold to silver is the ratio of gold price to silver price in the same period. The fluctuation of gold and silver price reflects the change of the internal relationship between gold and silver. Gold and silver were used as standard currencies as precious metals. There has been a long discussion about the price of gold and silver, and there are also a lot of arbitrage investments between gold and silver in the market. Therefore, the price of gold and silver is a topic of historical significance and practical value. Based on the empirical study on the historical price of gold and silver, this paper finds that there is a long-term stable cointegration relationship between the two, and further studies show that the gold and silver prices show a long-term stability, and the gold and silver prices conform to the law of mean regression. On the basis of this, the investment strategy of gold and silver is designed by using the price of gold and silver. In the aspect of empirical analysis, this paper designs an empirical model from the factors that affect the fluctuation of gold and silver price, and selects variables to carry out the ordinary least square estimation. The empirical results show that: first, The financial attributes of silver and gold make them very sensitive to the monetary policy of the United States. However, due to reasons such as the depth of the market, silver is more affected by the monetary policy of the Federal Reserve. As a result, gold and silver prices are negatively affected by American narrow money volume M1. Secondly, it is found that the real economy and the total stock of silver also have a significant impact on the gold and silver prices because silver has a stronger commodity property. The former shows a negative effect, while the latter shows a positive effect. Thirdly, the gold and silver ratio is influenced by the trading volume of gold and silver, which shows the basic law of coordination of volume and price. After that, this paper designs a simple investment strategy of gold and silver price, and uses recent data to verify the feasibility of the strategy. The investment results show that, if the investment threshold is strictly followed, A flexible investment strategy offers an opportunity for positive returns. Finally, combined with empirical model and transaction practice model, this paper gives out the investment suggestion of gold and silver price trading strategy, investors should according to the change of monetary policy, real economy operation. The change of total stock of silver and gold adjusts the expectation of average regression of gold and silver, which can increase the probability of profit.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54
本文编号：2204690
[Abstract]:The ratio of gold to silver is the ratio of gold price to silver price in the same period. The fluctuation of gold and silver price reflects the change of the internal relationship between gold and silver. Gold and silver were used as standard currencies as precious metals. There has been a long discussion about the price of gold and silver, and there are also a lot of arbitrage investments between gold and silver in the market. Therefore, the price of gold and silver is a topic of historical significance and practical value. Based on the empirical study on the historical price of gold and silver, this paper finds that there is a long-term stable cointegration relationship between the two, and further studies show that the gold and silver prices show a long-term stability, and the gold and silver prices conform to the law of mean regression. On the basis of this, the investment strategy of gold and silver is designed by using the price of gold and silver. In the aspect of empirical analysis, this paper designs an empirical model from the factors that affect the fluctuation of gold and silver price, and selects variables to carry out the ordinary least square estimation. The empirical results show that: first, The financial attributes of silver and gold make them very sensitive to the monetary policy of the United States. However, due to reasons such as the depth of the market, silver is more affected by the monetary policy of the Federal Reserve. As a result, gold and silver prices are negatively affected by American narrow money volume M1. Secondly, it is found that the real economy and the total stock of silver also have a significant impact on the gold and silver prices because silver has a stronger commodity property. The former shows a negative effect, while the latter shows a positive effect. Thirdly, the gold and silver ratio is influenced by the trading volume of gold and silver, which shows the basic law of coordination of volume and price. After that, this paper designs a simple investment strategy of gold and silver price, and uses recent data to verify the feasibility of the strategy. The investment results show that, if the investment threshold is strictly followed, A flexible investment strategy offers an opportunity for positive returns. Finally, combined with empirical model and transaction practice model, this paper gives out the investment suggestion of gold and silver price trading strategy, investors should according to the change of monetary policy, real economy operation. The change of total stock of silver and gold adjusts the expectation of average regression of gold and silver, which can increase the probability of profit.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54
【共引文献】
相关硕士学位论文 前4条
1 王益虹;黄金价格与美元汇率走势关系的实证研究[D];浙江大学;2013年
2 刘建伟;黄金价格波动因素的实证分析[D];云南大学;2013年
3 时晓萌;美元汇率对黄金价格的影响研究[D];辽宁大学;2014年
4 张勇;国际黄金价格的影响因素研究[D];西南财经大学;2014年
，本文编号：2204690
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