美元汇率、中国股市对黄金价格影响的实证分析

发布时间：2018-01-01 15:42

本文关键词：美元汇率、中国股市对黄金价格影响的实证分析　出处：《山东大学》2014年硕士论文　论文类型：学位论文

【摘要】：进入二十一世纪以来,黄金价格经历了大幅波动,先后从世纪初的200多美元/盎司一路狂飙到1920美元/盎司的历史最高点,又在2013年6月下跌到1180美元/盎司,创造了32年以来的最大跌幅。黄金价格的剧烈波动,不仅导致了众多中小投资者损失惨重,同时也进一步加剧了金融市场的不稳定性。在这一形势下,黄金价格的未来趋势将如何变动,再次成为了众多金融投资者和学术界研究的热点。本文也从两个方面对黄金价格进行了研究：一是黄金价格的影响因素；而是黄金价格的未来变化。首先,黄金价格的影响因素众多,影响程度在不同时期内也不一样,本文将其分为三类：长期影响因素、中期影响因素和短期影响因素。在长期内,黄金价格主要由存储量决定；在中期内,黄金价格主要受供求关系的影响；而在短期内,影响金价变动的因素较多,主要有美元汇率、石油价格、股票市场、国际形势等。本文对三个时期内各影响因素的作用机制分别给出了理论分析,并选取美元汇率、中国股票市场两个因素为代表,利用协整检验对两因素与黄金价格之间的长期均衡关系进行了实证分析,发现：美元汇率与黄金价格之间存在着长期的均衡关系,中国股市与黄金价格之间的长期均衡关系不明显。其次,在分析黄金价格影响因素的基础上,本文利用1986-2014年之间黄金价格的时间序列数据对未来六个月的黄金价格走势进行了预测。以往在利用ARMA时间序列模型进行预测过程中,只考虑了时间序列本身包含的信息,而未能充分考虑到影响因素未来变化的影响,导致预测结果不理想。本文在传统ARMA模型的基础上,充分考虑到美元汇率对黄金价格的重要影响,建立了组合时间序列预测模型,对未来金价进行了预测,结果显示黄金价格在未来短期内会出现上升,并据此结果对投资机构和国家分别给出了可行性的建议。
[Abstract]:Since twenty-first Century, the price of gold has experienced a sharp fluctuation, from the beginning of the century the $more than 200 / ounce soared to $1920 / ounce, the highest point in history, and in June 2013 fell to 1180 U.S. dollars / ounce, creating the largest decline in 32 years. Sharp fluctuations in the price of gold, not only led to a large number of small and medium-sized investors suffered heavy losses, but also exacerbated the instability of financial markets. In this situation, how the future trend of the price of gold will change, a large number of financial investors and once again become a hot academic research. This paper from the two aspects of the price of gold has been studied: one is the influence factors of the price of gold; future but changes in the price of gold.
First of all, there are many factors affecting the price of gold, the influence degree in different periods are not the same, this paper will be divided into three categories: long-term factors, factors influencing factors and the short-term effect of interim. In the long term, the price of gold is mainly determined by the amount of storage; in the medium term, the price of gold is mainly affected by the relationship between supply and demand; but in the short term, there are many factors that affect the price changes, mainly the dollar exchange rate, oil price, stock market, international situation. The mechanism of the three periods of each factor were analyzed in theory, and the selection of the dollar, China stock market two factors represented by using cointegration test the long-term equilibrium relationship between the two factors and the price of gold has carried on the empirical analysis, found that there is a long-term equilibrium relationship between the dollar and gold price, between the stock market and long-term China gold price The equilibrium relationship is not obvious.
Secondly, based on the analysis of factors affecting the gold price, this paper uses the time series data of 1986-2014 years between the price of gold for the future trend of the six months the price of gold was predicted. In the past, the use of ARMA time series model in the prediction process, only consider the time series itself contains information, but failed to give full consideration to the impact of the influence factors of future changes, the forecasting results are not ideal. Based on the traditional ARMA model, considering the important influence of the dollar exchange rate on the price of gold, a combination of time series forecasting model, to predict the future price of gold, gold prices rise results show that in the near future, and according to the results the investment institutions and countries are given suggestions.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F837.12;F832.51;F832.54

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