基于货币和投资属性的黄金价格研究

发布时间：2018-05-18 19:40

本文选题：黄金价格 + 货币　；参考：《安徽财经大学》2012年硕士论文

【摘要】：黄金是同时具有商品属性、货币属性和投资属性的资产。自2005年以来,黄金价格大幅上涨,从427美元/盎司上涨至1500美元/盎司。黄金价格波动受多重因素影响,但黄金的货币属性和投资属性在其中起着主导作用,国际汇率、利率、通货膨胀、股票及债券市场走势、石油价格都会影响黄金价格走势,本文正是从这个视角来探究黄金价格变动的内在规律。本文在回顾国内外关于黄金价格的理论和实证研究基础上,吸取前人研究成果,首先简要介绍了国际货币体系的演变和黄金的货币属性、全球主要的黄金市场和黄金的投资属性。随后,选取过去五年来相关数据,根据黄金的货币属性,以购买力平价理论作指导,从相对购买力和绝对购买力两个角度出发,采用相关性检验、ADF检验、Granger因果关系检验、协整等方法研究了美元指数、通货膨胀、油价与黄金价格的联系；根据黄金的投资属性,从投资成本角度,在替代效应和无套利假设基础上,探讨了道琼斯股票价格指数、美国国债收益率与与黄金价格的联系。综合以上研究成果,建立了黄金价格形成模型并进行实证检验。得出黄金价格与美元指数、美国通货膨胀率、利率、原油价格、道琼斯股票价格指数之间存在长期协整关系。最后,以Markowitz证券组合理论为指导,采用相关市场的实际数据,通过构建模拟组合的方法,证明在投资组合中配置一定比例的黄金,可以有效的提高投资收益、降低投资风险,建议提高黄金在我国国际储备中的比重。
[Abstract]:Gold is an asset with commodity, currency and investment attributes. Gold has risen sharply since 2005, from $427 an ounce to $1500 an ounce. Gold price fluctuations are affected by many factors, but the monetary and investment attributes of gold play a leading role. International exchange rates, interest rates, inflation, stock and bond market trends, and oil prices all affect the trend of gold prices. This article is from this angle of view to explore the inherent law of gold price changes. On the basis of reviewing the theoretical and empirical studies on gold price at home and abroad and drawing on the previous research results, this paper first briefly introduces the evolution of the international monetary system and the monetary property of gold. The world's main gold market and the investment attributes of gold. Then, according to the monetary property of gold and the theory of purchasing power parity (PPP), using the correlation test ADF test and Granger causality test based on the relative purchasing power and absolute purchasing power, we select the relevant data in the past five years. The cointegration method studies the relationship between the dollar index, inflation, oil price and gold price, and discusses the Dow Jones stock price index from the perspective of investment cost, substitution effect and no arbitrage hypothesis. The relationship between Treasury yields and gold prices. Based on the above research results, a gold price formation model is established and tested empirically. There is a long-term cointegration relationship between gold prices and the dollar index, U.S. inflation, interest rates, crude oil prices, and the Dow Jones Stock Price Index. Finally, under the guidance of Markowitz portfolio theory and using the actual data of relevant markets, it is proved that the allocation of a certain proportion of gold in the portfolio can effectively increase the investment return and reduce the investment risk through the method of constructing simulated portfolio. It is suggested to increase the proportion of gold in China's international reserves.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.94

【参考文献】