我国黄金市场的价格影响因素及波动性特征研究

发布时间：2018-06-04 04:07

本文选题：黄金价格 + 格兰杰检验　；参考：《湖北大学》2013年硕士论文

【摘要】：马克思说过：“货币天然不是金银,金银天然是货币。”黄金一直以来都是财富的象征,并且肩负着货币的职能。20世纪70年代,随着布雷顿森林体系的崩溃,黄金退出了国际货币体系的历史舞台,但是其货币属性并未消失。在通货膨胀、物价高涨、国际地缘政治复杂的情况下,投资黄金是对抗通胀、避险保值的有效工具,是经济萧条时期的避风港。近年来,黄金价格一路高涨,尤其是2008年以后,受国际金融危机、美国多次启动量化宽松政策势等影响,黄金价格屡创新高,出现了大幅波动。因此准确地把握黄金价格走势与波动特征是十分有必要的,是进行黄金投资的焦点问题。本文结合定性和定量两种方法研究了我国的黄金市场。首先,运用定性地方法分析了影响黄金价格的一系列因素。然后对影响我国黄金价格的因素做了实证分析。根据格兰杰因果检验,得出美元指数、石油价格与我国黄金价格之间有着单向因果关系,通胀率、上证综合指数与黄金价格之间不存在格兰杰因果关系。接着从黄金价格收益率方面对我国黄金市场定量地做了实证研究,并与伦敦市场的黄金价格波动进行了对比,来分析我国黄金市场存在的问题。采用GARCH族模型来分析黄金市场收益率的波动特征,得出我国黄金市场价格日收益率序列平稳且具有“尖峰厚尾”性质和波动的集聚性特征,以及外部冲击引起黄金市场的波动影响时间会比较长,持久性特征明显；我国黄金市场存在非对称效应,即利好消息对黄金市场的冲击比利空消息对黄金市场的冲击的波动程度要大；并且我国黄金市场的均衡收益水平为负,市场风险较伦敦市场来说要大。基于上述分析的结果,我国黄金市场起步比较晚,相关功能有待完善。本文试图提出几点黄金投资建议,合理引导投资者行为,避免非理性的投机行为对市场造成过度的冲击。
[Abstract]:Marx said: "Monetary nature is not gold and silver, gold and silver nature is money." Gold has always been the symbol of wealth, and it shoulders the function of currency. With the collapse of Bretton Woods system, gold withdrew from the historical stage of the international monetary system, but its monetary property did not disappear. Under the circumstances of inflation, high prices and complicated international geopolitics, gold investment is an effective tool to fight inflation and hedge against risk, and is a safe haven during the economic depression. In recent years, the gold price keeps rising, especially after 2008, under the influence of the international financial crisis, the United States has launched quantitative easing policy for many times, the gold price has repeatedly reached new high, appeared the big fluctuation. Therefore, it is necessary to accurately grasp the trend and fluctuation of gold price, which is the focus of gold investment. Combining qualitative and quantitative methods, this paper studies the gold market in China. Firstly, a series of factors affecting gold price are analyzed by qualitative method. Then it makes an empirical analysis on the factors that affect the gold price in China. According to the Granger causality test, it is concluded that there is a one-way causal relationship between the US dollar index, oil price and China's gold price, and there is no Granger causality relationship between the inflation rate, the Shanghai Composite Index and the gold price. Then the paper makes an empirical study on the gold market in China from the perspective of gold price return and compares it with the gold price fluctuation in London to analyze the problems existing in China's gold market. The GARCH family model is used to analyze the volatility characteristics of gold market yield, and it is obtained that the daily return sequence of gold market in China is stable and has the characteristics of "peak and thick tail" and agglomeration of volatility. Besides, the volatility of gold market caused by external shocks will be longer and the lasting characteristics are obvious. There are asymmetric effects in China's gold market. That is, the impact of the good news on the gold market is large, and the equilibrium return level of China's gold market is negative, and the market risk is greater than that of the London market. Based on the above analysis results, China's gold market started relatively late, the relevant functions need to be improved. This paper attempts to put forward several gold investment suggestions to guide investors' behavior reasonably and avoid excessive impact of irrational speculation on the market.
【学位授予单位】：湖北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54

【参考文献】