基于脉冲响应函数的国内黄金期货价格变动的影响因素分析
发布时间:2018-10-15 08:44
【摘要】:2007年9月11日,黄金期货合约获得中国证监会的批准在上海期货交易所上市发行;于2008年1月9日,正式在上海期货交易所上市交易。至此,我国的黄金市场摆脱了先前只存在单一的黄金现货品种的现状,进而完善了我国黄金市场体系和黄金价格的形成机制,形成了以黄金期、现货市场并存共同发展的市场结构,加快了我国黄金市场、金融市场的结合,加强了中国在国际黄金市场上的话语权,有利于黄金生产经营和加工企业在期货市场进行投资达到套期保值、规避市场风险、提高风险管理水平、增强市场竞争力。黄金期货合约的发行同时也充分近年来体现了黄金期货市场特有的投资功能正在被广大投资者接受。然而,近几年来,我国黄金期货价格走势偏高、波动幅度偏大,反映出我国黄金期货市场存在一定的不稳定性,同时体现了我国黄金期货市场存在一些其他负面效应。因此,了解影响我国的黄金期货价格波动的各种影响因素,充分认识我国的黄金期货市场在我国社会主义政治制度以及经济环境下的不同表现形式,进而了解我国黄金期货的价格的形成机制具有相当高地理论价值和现实意义。 本文主要采用了VAR模型、脉冲响应函数、方差分解、Granger因果关系检验和协整检验(Johansen和ADF检验)等方法,对我国黄金期货价格及其影响因素进行实证分析研究。检验结果证实,美元指数、石油价格对上海黄金期货的影响是滞后的;而上海黄金现货价格和大宗商品价格当期就对黄金期货市场价格产生影响。这反映了我国的黄金期货市场对国际信息的灵敏度不及国内信息,这同中国的社会制度、对外贸易政策和东方人对黄金的价值投资观念息息相关。鉴于此,我国有关部门应当进一步实施有利于黄金期货市场运行的政策措施,促进黄金期货市场乃至整个黄金行业的快速发展。
[Abstract]:On September 11, 2007, the gold futures contract was approved by China Securities Regulatory Commission (CSRC) to be listed and issued on the Shanghai Futures Exchange. On January 9, 2008, the gold futures contract was officially listed and traded on the Shanghai Futures Exchange. At this point, the gold market in our country has got rid of the fact that there was only a single gold spot variety in the past, thus perfecting the gold market system and the forming mechanism of gold prices in China, thus forming a golden period. The market structure in which the spot market coexists and develops together speeds up the integration of China's gold market and financial market, and strengthens China's voice in the international gold market. It is beneficial for gold production and processing enterprises to invest in futures market to hedge, to avoid market risk, to improve risk management level and to enhance market competitiveness. The issuance of gold futures contracts in recent years also fully reflects the unique investment function of the gold futures market is being accepted by the majority of investors. However, in recent years, the price of gold futures in China is on the high side and the range of fluctuation is on the high side, which reflects the existence of instability in the gold futures market in China and some other negative effects in the gold futures market of our country at the same time. Therefore, we should understand the various factors that affect the fluctuation of gold futures price in China, and fully understand the different manifestations of China's gold futures market under the socialist political system and economic environment. It is of great theoretical value and practical significance to understand the formation mechanism of gold futures price in China. In this paper, VAR model, impulse response function, variance decomposition, Granger causality test and cointegration test (Johansen and ADF test) are used to analyze the gold futures price and its influencing factors. The results confirm that the impact of the dollar index and oil prices on Shanghai gold futures is lagging, while spot and commodity prices in Shanghai have an impact on gold futures prices in the current period. This reflects that the sensitivity of China's gold futures market to international information is less than that of domestic information, which is closely related to China's social system, foreign trade policy and oriental value investment in gold. In view of this, the relevant departments of our country should further implement the policies and measures conducive to the operation of the gold futures market and promote the rapid development of the gold futures market and even the whole gold industry.
【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】:F832.54;F224
本文编号:2271990
[Abstract]:On September 11, 2007, the gold futures contract was approved by China Securities Regulatory Commission (CSRC) to be listed and issued on the Shanghai Futures Exchange. On January 9, 2008, the gold futures contract was officially listed and traded on the Shanghai Futures Exchange. At this point, the gold market in our country has got rid of the fact that there was only a single gold spot variety in the past, thus perfecting the gold market system and the forming mechanism of gold prices in China, thus forming a golden period. The market structure in which the spot market coexists and develops together speeds up the integration of China's gold market and financial market, and strengthens China's voice in the international gold market. It is beneficial for gold production and processing enterprises to invest in futures market to hedge, to avoid market risk, to improve risk management level and to enhance market competitiveness. The issuance of gold futures contracts in recent years also fully reflects the unique investment function of the gold futures market is being accepted by the majority of investors. However, in recent years, the price of gold futures in China is on the high side and the range of fluctuation is on the high side, which reflects the existence of instability in the gold futures market in China and some other negative effects in the gold futures market of our country at the same time. Therefore, we should understand the various factors that affect the fluctuation of gold futures price in China, and fully understand the different manifestations of China's gold futures market under the socialist political system and economic environment. It is of great theoretical value and practical significance to understand the formation mechanism of gold futures price in China. In this paper, VAR model, impulse response function, variance decomposition, Granger causality test and cointegration test (Johansen and ADF test) are used to analyze the gold futures price and its influencing factors. The results confirm that the impact of the dollar index and oil prices on Shanghai gold futures is lagging, while spot and commodity prices in Shanghai have an impact on gold futures prices in the current period. This reflects that the sensitivity of China's gold futures market to international information is less than that of domestic information, which is closely related to China's social system, foreign trade policy and oriental value investment in gold. In view of this, the relevant departments of our country should further implement the policies and measures conducive to the operation of the gold futures market and promote the rapid development of the gold futures market and even the whole gold industry.
【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】:F832.54;F224
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