关于黄金定价的一些研究

发布时间：2019-04-02 21:24

【摘要】：黄金，作为一种特殊的大宗商品，具有商品、货币和投资避险的多重属性。它已经跨越政治制度、种族文化、经济发展程度，好比一条金色的血脉，贯穿于整个人类的历史。黄金不仅被用做饰品业、工业和现代高新技术产业的重要原材料，也被用作重要的国际支付手段和财富储备载体；不仅被投资者当作危机时候资金的避风港，也被视为规避通货膨胀风险的投资工具。此外，黄金还是反映市场风险溢价水平的重要指标，并通过影响资产定价的风险溢价水平，来影响资本市场其他资产的价格。因此，黄金是非常重要的一类金融产品，对其进行定价研究具有重要的理论和实际意义。正是因为黄金具有多重属性，其价格决定机制较一般普通商品更为复杂，不仅仅是简单的黄金商品供求决定机制，还包括黄金的财富储值、投资、投机等货币、避险属性共同作用的结果。从我们对黄金资产定价多年的研究来看，我们认为影响黄金的因素较多，且在不同的宏观经济周期时期，其主要的驱动变量会有漂移。因此，本文的研究思路是从黄金的大宗商品、货币和投资避险等多个角度来研究黄金的定价模型，并提出几个具有理论意义和实际用途的黄金定价模型。具体而言，本文仔细梳理了过去学者研究黄金的文献，按黄金的大宗商品、货币以及投资避险三大属性，黄金市场及黄金定价，黄金对货币体系影响的顺序回顾了过去学者对于黄金研究的成果。并在前人的基础上，引入一些新的金融指标和资产价格（比如：美国国债CDS利差，通胀保护债券TIPS、加权马歇尔K值等）来研究黄金的定价模型，通过研究发现：这些新的宏观指标和资产价格能更有效的反映相关的宏观、市场因子对黄金价格的影响和驱动作用，为今后的学者研究黄金定价提供一些可供参考的资料，同时也有利于国内相关投资机构进行黄金交易。本文的主要研究结果包括如下：在金融危机期间，本文综合考虑黄金的大宗商品、货币和投资避险属性，将黄金价值分解为：大宗商品基准价值、基于汇率的“隐性货币价值”、主权国家信用违约的风险溢价，并分别以大宗商品CRB指数、美元指数和美国国债CDS利差作为代理变量对其进行定价研究。从黄金的大宗商品、货币以及投资避险属性出发，提出黄金的三因素定价模型，研究表明：美元指数USDX负向驱动黄金价格，大宗商品指数CRB、美国国债指数CDS正向驱动黄金价格；其中美元指数滞后一阶、美国国债CDS利差滞后二阶的价格信息对黄金价格影响非常显著。通过研究实际利率与黄金价格走势，我们发现实际利率预期较实际利率本身更能影响黄金的价格走势，我们用美国国债利率与通货膨胀率之差来测度实际利率，用通胀保护债券TIPS收益率来测度实际利率预期，并通过大样本实证研究得出实际利率预期的确对黄金价格产生非常明显的负向影响，同时还为后来的研究者提供了一种通过黄金价格走势反推隐含实际利率预期的思路。我们还发现近十年来黄金的商品需求在逐步下行，投资需求在不断攀升，而各国央行投放的过量流动性是黄金投资需求持续上升的根本原因。在文章中，我们通过构造加权马歇尔K值来测度全球流动性，，并通过对加权马歇尔K值和黄金价格的实证研究得出结论：流动性是决定长期黄金价格走势的重要因素。此外，本文还研究了黄金在国际货币体系变迁中的地位的变化，以及未来国际货币体系变革过程中黄金可能发挥的作用。文中将国际货币体系变革分为国际货币体系改良以及国际货币体系改革两种情况，并分别探讨了这两种情况下黄金地位的变化以及其价格可能出现的走势。最后需要陈述的是，本文的写作以及博士学位的攻读也是作者对资产定价理论认识的逐步转变和深化过程。作者最初研究的是衍生产品定价，因此更多的偏向于无套利分析方法。但随着对资产定价的理论研究的深入，特别是本轮金融危机以来对资产定价理论的反思，笔者意识到很多资产定价需要跳出无套利分析方法，更多的和宏观经济结合，以避免未来再次出现类似次贷危机的情况。因此，本论文的写作，其实也是隐含着作者从“无套利分析方法”向“一般均衡思想”的一种思维意识的转化。
[Abstract]:Gold, as a special commodity, has multiple attributes of commodity, currency and investment risk. It has crossed the political system, the ethnic culture and the degree of economic development, like a golden blood vessel, which runs through the whole human history. The gold is not only used as an important raw material for the decoration industry, the industry and the modern high-tech industry, but also is used as an important international payment means and a wealth reserve carrier; not only is the investors as the safe haven of the funds at the time of the crisis, but also is regarded as an investment tool for avoiding the risk of inflation. In addition, it also reflects the important index of the market risk premium level, and influences the price of other assets in the capital market by influencing the risk premium level of the asset pricing. Therefore, gold is a very important kind of financial product, and it has important theoretical and practical significance for its pricing research. It is because gold has multiple attributes, its price determination mechanism is more complex than the general common commodity, not only is the simple gold commodity supply and demand decision mechanism, but also includes the gold's wealth storage, investment, speculation and other currencies, the risk-safe attribute common effect knot From our research on the price of gold assets for many years, we think that the factors that affect the gold are more, and in different macro-economic periods, the main driving variables will have a drift. Therefore, the research idea of this paper is to study the pricing model of gold from a number of angles, such as the commodity, currency and investment risk aversion of gold, and put forward several gold pricing models with both theoretical and practical applications. In particular, the paper carefully reviews the literature of the gold in the past scholars, the gold market and the gold price, the influence of gold on the monetary system, the gold market and the gold price, and the influence of the gold on the monetary system. On the basis of the predecessors, some new financial indicators and asset prices (such as the CDS interest of the U.S. national debt, the TIPS of the inflation protection bond, the weighted Marshall K value, etc.) are introduced to study the pricing model of the gold. It is found that these new macro-indicators and asset prices can more effectively reflect the influence and driving effect of the related macro-and market factors on the gold price, provide some reference materials for the future scholars to study the gold price, and also benefit the domestic relevant investment institutions to make yellow. Gold trade. The main research results in this paper The following are the following: during the financial crisis, the article comprehensively considers the commodity, currency and investment risk-avoiding attribute of gold, and the gold value is decomposed into the commodity benchmark value, the "hidden monetary value" based on the exchange rate, the credit default of the sovereign state, The risk premium is to be entered by the commodity CRB index, the dollar index, and the U.S. national debt CDS profit as the proxy variable, respectively. The paper puts forward three-factor pricing model of gold from the commodity, currency and investment risk-avoiding attribute of the gold. The research shows that the US dollar index USDX will drive the gold price in the negative direction, the commodity index CRB and the US national debt index CDS are driving the gold price in the forward direction, and the dollar is the dollar. The first order of the number, the price information of the second-order price of the CDS of the United States Treasury Bond is the golden price shadow. The response is very significant. By studying the real interest rate and the gold price trend, we find that the real interest rate is expected to influence the price trend of the gold more than the real interest rate per se, and we use the difference between the interest rate of the United States and the inflation rate To measure the real interest rate, measure the real interest rate expectation with the inflation protection bond, TIPS yield, and get the real interest rate through the large sample empirical study, and the real interest rate is expected to have a very good effect on the gold price It has a clear negative effect, and also provides an implicit reality for later researchers to reverse-push through the gold price trend The idea of interest rate is expected. We have also found that the demand for gold in the last decade is declining, and the demand for investment is rising, and the excess liquidity of central banks is the demand for gold investment. In the article, we measure the global liquidity by constructing the weighted Marshall K value, and draw a conclusion through an empirical study of the weighted Marshall K value and the gold price: liquidity is a decision for long-term gold In addition, the paper also studies the change of the status of gold in the change of the international monetary system, and the change of the international monetary system in the future. In this paper, the change of the international monetary system is divided into two cases: the improvement of the international monetary system and the reform of the international monetary system. At the end of the paper, the author's writing and the study of his doctoral degree are also the author's interest in the asset pricing. The step-by-step transformation and deepening process of cognition. The author first studied the pricing of derivative products and therefore However, with the deep study of the theory of asset pricing, especially the reflection on the theory of asset pricing since the current financial crisis, the author is aware that many asset pricing needs to jump out of no-arbitrage analysis Methods, more and macro-economic integration to avoid future In this paper, the author's writing, in fact, is an implicit author from the "no-arbitrage analysis method" to the "general equal" 【学位授予单位】：电子科技大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F831.54;F713.35;F224

【引证文献】