黄金价格波动因素的实证分析

发布时间：2018-04-20 20:37

本文选题：黄金价格 + 波动因素　；参考：《云南大学》2013年硕士论文

【摘要】：黄金自古以来就是财富的象征。自上世纪70年代“双挂钩”的布雷顿森林体系瓦解以来,黄金价格波动剧烈。黄金被越来越多的国际金商、各国央行和商业银行、黄金ETF和个人投资者作为重要的资产组合之一。黄金的商品、货币和金融的三重属性决定了黄金价格波动因素的多样性与复杂性。本文在对黄金三重属性的分析基础上,分别从国际地缘政治、国际经济形势、国际金融形势和国际投资市场四个层面分析各因素对黄金价格的传导机制。本文发现：(1)国际地缘政治出现不稳定预期,黄金的货币非负债性和投资避险属性将会推动金价上升。(2)美国经济形势不乐观时,美国物价和货币量出现大幅波动,黄金价格趋于上升。(3)美国金融形势不稳定时,美元承压,而以美元标价的黄金价格则上涨。(4)国际投资市场中的资金分布,影响着黄金投资工具的价格。这四层因素层次分明而又相互影响。因此,个人投资者在分析黄金影响因素时,要注意哪个层次的因素起主导作用。在实证分析中,本文选取黄金价格作为被解释变量,选取构造的十国加权马歇尔K值、美国失业率及美国消费者价格指数同比增长率来作为解释变量。本文对各变量进行平稳性检验、并对回归加过的残差进行协整性检验,最后构建VAR模型,从而得出各解释变量能够对黄金价格产生一定影响的结论。
[Abstract]:Gold has been a symbol of wealth since ancient times. Gold prices have fluctuated sharply since the collapse of the double-linked Bretton Woods system in the 1970s. Gold is being used by a growing number of international gold traders, central banks and commercial banks, gold ETF and individual investors as one of the important asset portfolios. The commodity, currency and finance of gold determine the diversity and complexity of gold price fluctuation factors. Based on the analysis of the triple attribute of gold, this paper analyzes the transmission mechanism of each factor to gold price from four aspects: international geopolitics, international economic situation, international financial situation and international investment market. This paper finds that: 1) International geopolitical instability is expected, and gold's currency non-debt and risk-averse nature will promote gold's rise. (2) when the US economic situation is not optimistic, US prices and currency volume fluctuate substantially. Gold prices tend to rise.) when U.S. financial conditions are unstable, the dollar comes under pressure, while dollar-denominated gold prices rise. 4) the distribution of funds in international investment markets affects the price of gold investment vehicles. These four layers of factors are clearly stratified and interact with each other. Therefore, individual investors should pay attention to which level of factors play a leading role in the analysis of gold influencing factors. In the empirical analysis, this paper selects gold price as explained variable, ten countries weighted Marshall K value, American unemployment rate and American consumer price index growth rate as explanatory variables. In this paper, the stability of each variable is tested, and the residual value added by regression is tested by cointegration test. Finally, the VAR model is constructed, and the conclusion is drawn that each explanatory variable can influence the gold price to a certain extent.
【学位授予单位】：云南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.54

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