国际黄金跨市场联动分析与风险度量研究

发布时间：2018-03-25 06:01

本文选题：黄金市场　切入点：格兰杰因果检验　出处：《暨南大学》2013年硕士论文

【摘要】：近几十年来，在国际上政治军事纷争、通货膨胀与物价高企、金融危机爆发、工业技术飞速发展的大背景下，黄金作为避险保值工具和替代性金融资产，，其价格在一轮轮的牛市中推涨。黄金市场在很大程度上影响了国际金融市场的运转，因此具有重要的研究意义。本文首先在第一、二章回顾前人对黄金市场的研究成果及概述国际黄金市场基本情况。第三章分析了黄金价格波动的影响因素，主要分为内部与外部因素。内部因素为黄金的供需关系，外部因素包括外汇市场、证券市场、大宗商品市场、地缘政治局势、通货膨胀与货币利率政策、金融危机与经济环境等。第四章首先通过格兰杰因果关系检验、建立VAR模型及脉冲响应与方差分析等动态经济学计量方法研究了黄金市场与其他金融市场的联动关系。实证研究表明，金融危机后，金价波动单方向引起石油价格的波动，而金价与美元指数之间是相互作用的；来自石油价格和美元指数的扰动能够使黄金价格立即做出不同程度的响应。然后通过格兰杰因果关系检验、协整检验、建立VEC模型及脉冲响应与方差分析实证研究了国内外黄金市场间的价格引导关系。研究发现，伦敦金价单方向引导上海黄金现货和黄金期货价格，上海现货黄金价格单方向引导上海期货黄金价格，且三个黄金市场存在长期均衡关系。第五章首先运用GARCH类模型研究了黄金市场的波动特征，检验了黄金市场收益率具有一般金融资产所具有的尖峰厚尾分布，波动时变性与聚集性，非对称效应（正的冲击比负的冲击对金价波动的影响更大）以及收益与风险正相关等特征。随后运用基于GARCH类模型的VaR方法来度量黄金市场的风险，实证研究发现GJR VaR GED模型可以很好的度量黄金市场的风险并可以有效应用到黄金市场的风险监控管理中。
[Abstract]:In recent decades, against the background of international political and military disputes, high inflation and high prices, the outbreak of the financial crisis and the rapid development of industrial technology, gold has been used as a hedge against risk and as an alternative financial asset. The gold market affects the operation of the international financial market to a great extent, so it is of great significance to research. In the first and second chapters of this paper, we review the previous researches on the gold market and summarize the basic situation of the international gold market. In chapter three, we analyze the influencing factors of the fluctuation of gold price. Internal and external factors are the supply and demand relationship of gold. External factors include foreign exchange market, securities market, commodity market, geopolitical situation, inflation and monetary interest rate policy. Financial crisis and economic environment. In chapter 4, by Granger causality test, we establish VAR model and dynamic econometric methods such as impulse response and variance analysis to study the linkage between gold market and other financial markets. The fluctuation of gold price in one direction causes the fluctuation of oil price, while the price of gold interacts with the dollar index. Disturbances from oil prices and dollar indices enable gold prices to respond to varying degrees immediately. Then the Granger causality test, cointegration test, VEC model and impulse response and variance analysis are established to study the price-leading relationship between domestic and foreign gold markets. It is found that London gold prices guide Shanghai gold spot and gold futures prices in one direction. Shanghai spot gold price unidirectional guide Shanghai futures gold price, and the three gold markets have long-term equilibrium relationship. In the fifth chapter, we use GARCH model to study the volatility of gold market, and test that the return rate of gold market has the sharp and thick tail distribution of general financial assets, volatility variability and agglomeration. The asymmetric effect (the positive impact is greater than the negative impact on the gold price volatility) and the positive correlation between the return and the risk. Then the VaR method based on the GARCH model is used to measure the risk of the gold market. The empirical study shows that GJR / VaR / GED model can measure the risk of gold market and can be effectively applied to the risk monitoring and management of gold market.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.94;F224;O211.67

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