我国黄金价格的时序建模与相关性分析
发布时间：2018-10-09 16:51
【摘要】：黄金既是贵金属，又是硬通货，它能保证投资者的资产不会被通货膨胀侵蚀，而且投资黄金不易像投资股票和房地产那样会遭遇市场崩盘，因而黄金投资深受人们的喜爱，研究黄金价格的走势也就更有了实际意义。通过对黄金价格收益率分布特征的分析，本文首先采用非对称的GARCH模型——TGARCH模型来拟合2007年1月1日至2013年4月30日之间的黄金价格日收益率，进而通过该模型对黄金价格未来10期的取值进行了短期预测，实证研究表明该模型在短期预测方面有较强的实用价值。然后，本文运用Copula函数理论分别探讨了上证指数、人民币与美元的汇率、货币发行量、GDP对黄金价格的影响，给出了它们之间的一致性测度和尾部相关关系。最后，本文利用2003年1月至2013年5月之间的月度数据，通过多变量时间序列模型——VAR模型拟合了黄金价格及其影响因素之间的关系，并基于该模型分析了黄金价格如何受各因素的影响及未来的可能走势。本文研究表明，黄金价格未来短期或中长期的取值都很难达到2011年经多年暴涨之后的历史最高水平。造成黄金价格下跌的原因有很多，如全球经济回暖弱化了黄金的避险需求，美国经济回暖、美国宽松货币政策的结束导致美元走强，从而引发以美元计价的黄金价格下跌，另外黄金ETF大幅减仓，也引发投资者跟风抛出，，引发黄金恐慌性下跌。人民币对美元汇率持续走强影响国内金价走低。综上，估计未来相当长一段时间的走势也不容乐观。
[Abstract]:Gold is both a precious metal and a hard currency. It guarantees that investors' assets will not be eroded by inflation, and that investing in gold is not as vulnerable to market collapse as it is in stocks and real estate, so gold investment is popular. Study the trend of gold price also has practical meaning more. Based on the analysis of the distribution characteristics of gold price yield, this paper first uses the asymmetric GARCH model, TGARCH model, to fit the daily return rate of gold price between January 1, 2007 and April 30, 2013. Furthermore, the model is used to predict the value of gold price in the next 10 periods. The empirical study shows that the model has strong practical value in short-term forecasting. Then, using the theory of Copula function, this paper discusses the influence of Shanghai Stock Exchange Index, RMB / US dollar exchange rate, and the amount of currency issue on the gold price, and gives the consistency measure and tail correlation between them. Finally, using the monthly data from January 2003 to May 2013, the paper uses the multivariable time series model, VAR model, to fit the relationship between gold price and its influencing factors. Based on the model, the paper analyzes how the gold price is affected by various factors and the possible trend in the future. This paper shows that gold prices in the short or long term are difficult to reach the highest level in 2011 after years of soaring. There are many reasons for the fall in gold prices. For example, the global economic rebound has weakened the demand for gold safe havens, the US economy has recovered, and the end of US loose monetary policy has led to a stronger dollar, which has triggered a fall in the dollar-denominated gold price. In addition, gold ETF sharply reduced positions, but also triggered investors to follow the trend to sell, triggered a panic fall in gold. The renminbi continued to strengthen against the dollar, affecting the domestic gold price lower. In summary, it is estimated that the trend for a long period of time in the future is not optimistic.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54;F224;O211.61
本文编号：2260062
[Abstract]:Gold is both a precious metal and a hard currency. It guarantees that investors' assets will not be eroded by inflation, and that investing in gold is not as vulnerable to market collapse as it is in stocks and real estate, so gold investment is popular. Study the trend of gold price also has practical meaning more. Based on the analysis of the distribution characteristics of gold price yield, this paper first uses the asymmetric GARCH model, TGARCH model, to fit the daily return rate of gold price between January 1, 2007 and April 30, 2013. Furthermore, the model is used to predict the value of gold price in the next 10 periods. The empirical study shows that the model has strong practical value in short-term forecasting. Then, using the theory of Copula function, this paper discusses the influence of Shanghai Stock Exchange Index, RMB / US dollar exchange rate, and the amount of currency issue on the gold price, and gives the consistency measure and tail correlation between them. Finally, using the monthly data from January 2003 to May 2013, the paper uses the multivariable time series model, VAR model, to fit the relationship between gold price and its influencing factors. Based on the model, the paper analyzes how the gold price is affected by various factors and the possible trend in the future. This paper shows that gold prices in the short or long term are difficult to reach the highest level in 2011 after years of soaring. There are many reasons for the fall in gold prices. For example, the global economic rebound has weakened the demand for gold safe havens, the US economy has recovered, and the end of US loose monetary policy has led to a stronger dollar, which has triggered a fall in the dollar-denominated gold price. In addition, gold ETF sharply reduced positions, but also triggered investors to follow the trend to sell, triggered a panic fall in gold. The renminbi continued to strengthen against the dollar, affecting the domestic gold price lower. In summary, it is estimated that the trend for a long period of time in the future is not optimistic.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54;F224;O211.61
【参考文献】
相关期刊论文 前10条
1 杨叶;;黄金价格和石油价格的联动分析[J];黄金;2007年02期
2 潘贵豪;胡乃联;刘焕中;李国清;;基于ARMA-GARCH模型的黄金价格实证分析[J];黄金;2010年01期
3 彭潇熟;张德生;王若星;陈聪;;国际黄金价格具有外生变量的GARCH预测模型[J];黄金;2011年01期
4 任仙玲;张世英;;基于核估计及多元阿基米德Copula的投资组合风险分析[J];管理科学;2007年05期
5 张良贵;王立勇;;预期通胀和货币流动性对黄金价格影响——以沪金价格走势为例的分析[J];价格理论与实践;2011年10期
6 李楠;;黄金价格决定因素研究[J];经济研究导刊;2009年36期
7 温博慧;陈杰;;国内外黄金价格互动关系的分阶段实证研究——以中国上海和英国伦敦黄金市场为例[J];华北金融;2008年11期
8 曹野;;基于GARCH族模型的黄金价格收益率及波动性研究[J];价值工程;2012年02期
9 李家林;;长期黄金价格影响因素实证分析[J];生产力研究;2009年14期
10 李莹;高岩;范丽亚;张凤霞;张凡龙;;基于支持向量回归机的黄金价格短期预测[J];数学的实践与认识;2011年24期
本文编号：2260062
本文链接：https://www.wllwen.com/jingjilunwen/fangdichanjingjilunwen/2260062.html
