金融危机期间黄金价格的影响因素研究

发布时间：2018-06-29 19:58

本文选题：黄金 + 金融危机　；参考：《管理评论》2012年03期

【摘要】：作为一种特殊的大宗商品,黄金具有商品、货币和避险的多重属性。在2007年开始的金融危机中,黄金表现出了较强的货币和避险属性,而过去的研究很少有涉及到其避险属性。本文就当前货币体系下的黄金定价问题,综合考虑了黄金的大宗商品、货币和避险属性,将黄金价值分解为: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USDX和美国国债CDS利差等资产价格作为代理变量对其进行定价研究。基于向量自回归(VAR)模型的研究表明: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;其中大宗商品指数CRB滞后一阶、美元指数USDX滞后一阶、美国国债CDS利差滞后二阶价格信息对黄金价格的影响最显著。
[Abstract]:As a special commodity, gold has multiple attributes of commodity, currency and hedging. In the financial crisis that began in 2007, gold showed strong currency and hedging property, while previous studies rarely involved its hedging property. This paper took into account the gold pricing problem in the current monetary system. The value of the commodity, currency and hedging is divided into the value of the gold, the "recessive monetary value" based on the exchange rate, the risk premium of the sovereign state credit default, and the pricing of the asset prices as the proxy variables, such as the commodity CRB index, the dollar index USDX and the CDS spreads of the United States Treasury bonds. The study of the regression (VAR) model shows that the dollar index USDX negative driving gold price, the commodity index CRB and the US Treasury index CDS are driving the gold price positively; the commodity index CRB lagged the first order, the dollar index USDX lagged the first order, and the two order price information of the US Treasury CDS spreads lagged behind the gold price most significantly.
【作者单位】：电子科技大学经济与管理学院;
【分类号】：F831.54;F224

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