基于时变分位点相协回归的黄金价格与美元指数联动性研究

发布时间：2018-03-03 10:54

本文选题：黄金　切入点：美元指数　出处：《中国科学技术大学》2017年硕士论文　论文类型：学位论文

【摘要】：布雷顿森林体系之后,黄金的货币职能逐渐的弱化,但其商品和金融的属性逐渐突出,并因其保值功能而成为了各个国家的央行的重要外汇储备,引发各国金融调控监管等部门对于黄金价格走势的关注,另外,黄金因为价值稳定且流动性高,成为了投资者重点关注的投资标的。黄金价格的变动与美元汇率的变动有较大的关系,一方面是因为黄金主要由美元计价,直接受美元影响较大,另外一方面,因为黄金和美元都有避险功能,具备相互替代的作用,使得二者存在相依关系。尤其近日,特朗普强势政策存疑,黄金价格和美元的关系再次引起市场参与者的关注。黄金价格和美元之间联动关系的研究一直非常重要,已有文献大多基于线性相关系数、Granger因果关系检验和Copula模型等进行分析。本文则基于分位点相协测度对上述相依关系进行实证研究,在分位点相协回归模型的基础上,构建了时变分位点相协回归模型和局部多项式方法给出了黄金价格和美元指数之间的上尾和下尾的时变相依关系,并进一步的针对金融危机背景下的黄金价格和美元指数的相依关系以及黄金价格和各国美元名义汇率的相依关系进行了研究。针对长时段的黄金价格和美元指数相依关系的实证结果证明,在大部分时间,黄金价格和美元指数都存在负相关关系,然而,在发生非常事件的特殊时期,二者的下尾和上尾相依系数会明显大于1,即美元与黄金价格呈现正向关系,如政治格局变换、战争爆发和经济大波动等时期,这一点在不同的分位点水平上都得到了相同的结论。另外,本文还结合相应的政治和经济背景对黄金价格和美元指数的相关关系的结构性变化进行了原因分析。本文还选取了金融危机这一特殊事件作为背景进行重点研究,发现在正常时期,黄金与美元指数和各国的美元名义汇率在极端尾部是负相关的。但在金融危机期间由于投资者的风险厌恶程度增加,这一关系发生改变,两者在极端尾部处将表现出强的正相关,即在极端市场的情况下美元汇率和黄金价格是同涨同跌的。另外,我们还发现这种危机期间的正相关在极端市场的情况下更明显,市场相对平稳时这种正相关趋于消失。本文的研究结果为投资者改善金融危机期间利用黄金对冲美元提供了依据,对政府政策的设立也具备一定的参考价值,对于投资者把握黄金的走势和风险度量具备一定的参考意义。目前来看,战争的影响因素较大,但是由于主.战国家是美国本身,因此无法构成美元和黄金价格呈现正向相关关系的基础,另外,由于美国的军费开支预期较大,人们包括各国中央政府对美元的信心大概率会下行,因此,结合本篇研究结果,预计美元指数下降概率较大,黄金价格上涨趋势可持续。
[Abstract]:After the Bretton Woods system, the monetary function of gold gradually weakened, but its commodity and financial attributes gradually prominent, and because of its preservation function, became the central bank of each country's important foreign exchange reserves. It has aroused concern about the trend of gold prices in various countries, such as financial regulation and regulation. In addition, because of its stable value and high liquidity, Gold price changes have a greater relationship with changes in the exchange rate of the US dollar. On the one hand, gold is mainly valued in US dollars, which is directly influenced by US dollars. On the other hand, Because gold and the dollar are both safe havens and a substitute for each other, they are dependent on each other. Especially in recent days, Trump's strong policy has been in doubt. The relationship between the price of gold and the dollar has once again attracted the attention of market participants. The study of the linkage between gold prices and the dollar has been very important. Most of the literatures are based on linear correlation coefficient Granger causality test and Copula model. In this paper, a time-varying locus coincident regression model and a local polynomial method are constructed to give the time-dependent relationships between the upper and lower tail of the gold price and the dollar index. Furthermore, the dependence of gold price and dollar index under the background of financial crisis and the dependence of gold price and nominal exchange rate of various countries are studied. The empirical results of dependent relationships prove that, For most of the time, there is a negative correlation between the gold price and the dollar index. However, in the special period of the extraordinary event, the dependency coefficient between the bottom end and the upper end of the gold price is obviously greater than 1, that is, the dollar and the gold price show a positive relationship. Such as the political pattern changes, the outbreak of war and economic fluctuations, and so on, this point at different loci level has reached the same conclusion. This paper also analyzes the structural changes of the correlation between gold price and the dollar index in the light of the corresponding political and economic background. This paper also selects the special event of financial crisis as the background to carry on the key research. It was found that in normal times gold was negatively correlated with the dollar index and the nominal exchange rate of the dollar at the extreme end. But that relationship changed during the financial crisis as investors' risk aversion increased. There is a strong positive correlation between the two at the extreme end, that is, in extreme markets, where the dollar and gold prices rise and fall. In addition, we find that the positive correlation during this crisis is more pronounced in extreme markets. This positive correlation tends to disappear when the market is relatively stable. The results of this paper provide a basis for investors to use gold to hedge US dollars during the financial crisis, and also have a certain reference value for the establishment of government policies. It is of certain reference significance for investors to grasp the trend of gold and measure the risks. At present, the factors of the war are relatively large, but because the war country is the United States itself, Therefore, it is impossible to form the basis for the positive correlation between the dollar and gold prices. In addition, because the US military expenditure is expected to be large, people, including the central governments of various countries, will have a large probability that confidence in the US dollar will decline. Therefore, combined with the results of this study, Expected dollar index decline probability is big, the gold price rises the trend to be sustainable.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F831.54;F837.12

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