【摘要】：黃金，作為一種特殊的大宗商品，具有商品、貨幣和投資避險的多重屬性。它已經(jīng)跨越政治制度、種族文化、經(jīng)濟發(fā)展程度，好比一條金色的血脈，貫穿于整個人類的歷史。黃金不僅被用做飾品業(yè)、工業(yè)和現(xiàn)代高新技術產(chǎn)業(yè)的重要原材料，也被用作重要的國際支付手段和財富儲備載體；不僅被投資者當作危機時候資金的避風港，也被視為規(guī)避通貨膨脹風險的投資工具。此外，黃金還是反映市場風險溢價水平的重要指標，并通過影響資產(chǎn)定價的風險溢價水平，來影響資本市場其他資產(chǎn)的價格。因此，黃金是非常重要的一類金融產(chǎn)品，對其進行定價研究具有重要的理論和實際意義。 正是因為黃金具有多重屬性，其價格決定機制較一般普通商品更為復雜，不僅僅是簡單的黃金商品供求決定機制，還包括黃金的財富儲值、投資、投機等貨幣、避險屬性共同作用的結果。從我們對黃金資產(chǎn)定價多年的研究來看，我們認為影響黃金的因素較多，且在不同的宏觀經(jīng)濟周期時期，其主要的驅動變量會有漂移。因此，本文的研究思路是從黃金的大宗商品、貨幣和投資避險等多個角度來研究黃金的定價模型，并提出幾個具有理論意義和實際用途的黃金定價模型。 具體而言，本文仔細梳理了過去學者研究黃金的文獻，按黃金的大宗商品、貨幣以及投資避險三大屬性，黃金市場及黃金定價，黃金對貨幣體系影響的順序回顧了過去學者對于黃金研究的成果。并在前人的基礎上，引入一些新的金融指標和資產(chǎn)價格（比如：美國國債CDS利差，通脹保護債券TIPS、加權馬歇爾K值等）來研究黃金的定價模型，通過研究發(fā)現(xiàn)：這些新的宏觀指標和資產(chǎn)價格能更有效的反映相關的宏觀、市場因子對黃金價格的影響和驅動作用，為今后的學者研究黃金定價提供一些可供參考的資料，同時也有利于國內(nèi)相關投資機構進行黃金交易。本文的主要研究結果包括如下： 在金融危機期間，本文綜合考慮黃金的大宗商品、貨幣和投資避險屬性，將黃金價值分解為：大宗商品基準價值、基于匯率的“隱性貨幣價值”、主權國家信用違約的風險溢價，并分別以大宗商品CRB指數(shù)、美元指數(shù)和美國國債CDS利差作為代理變量對其進行定價研究。從黃金的大宗商品、貨幣以及投資避險屬性出發(fā)，提出黃金的三因素定價模型，研究表明：美元指數(shù)USDX負向驅動黃金價格，大宗商品指數(shù)CRB、美國國債指數(shù)CDS正向驅動黃金價格；其中美元指數(shù)滯后一階、美國國債CDS利差滯后二階的價格信息對黃金價格影響非常顯著。 通過研究實際利率與黃金價格走勢，我們發(fā)現(xiàn)實際利率預期較實際利率本身更能影響黃金的價格走勢，我們用美國國債利率與通貨膨脹率之差來測度實際利率，用通脹保護債券TIPS收益率來測度實際利率預期，并通過大樣本實證研究得出實際利率預期的確對黃金價格產(chǎn)生非常明顯的負向影響，同時還為后來的研究者提供了一種通過黃金價格走勢反推隱含實際利率預期的思路。 我們還發(fā)現(xiàn)近十年來黃金的商品需求在逐步下行，投資需求在不斷攀升，而各國央行投放的過量流動性是黃金投資需求持續(xù)上升的根本原因。在文章中，我們通過構造加權馬歇爾K值來測度全球流動性，，并通過對加權馬歇爾K值和黃金價格的實證研究得出結論：流動性是決定長期黃金價格走勢的重要因素。 此外，本文還研究了黃金在國際貨幣體系變遷中的地位的變化，以及未來國際貨幣體系變革過程中黃金可能發(fā)揮的作用。文中將國際貨幣體系變革分為國際貨幣體系改良以及國際貨幣體系改革兩種情況，并分別探討了這兩種情況下黃金地位的變化以及其價格可能出現(xiàn)的走勢。 最后需要陳述的是，本文的寫作以及博士學位的攻讀也是作者對資產(chǎn)定價理論認識的逐步轉變和深化過程。作者最初研究的是衍生產(chǎn)品定價，因此更多的偏向于無套利分析方法。但隨著對資產(chǎn)定價的理論研究的深入，特別是本輪金融危機以來對資產(chǎn)定價理論的反思，筆者意識到很多資產(chǎn)定價需要跳出無套利分析方法，更多的和宏觀經(jīng)濟結合，以避免未來再次出現(xiàn)類似次貸危機的情況。因此，本論文的寫作，其實也是隱含著作者從“無套利分析方法”向“一般均衡思想”的一種思維意識的轉化。
[Abstract]:Gold, as a special commodity, has multiple attributes of commodity, currency and investment risk. It has crossed the political system, the ethnic culture and the degree of economic development, like a golden blood vessel, which runs through the whole human history. The gold is not only used as an important raw material for the decoration industry, the industry and the modern high-tech industry, but also is used as an important international payment means and a wealth reserve carrier; not only is the investors as the safe haven of the funds at the time of the crisis, but also is regarded as an investment tool for avoiding the risk of inflation. In addition, it also reflects the important index of the market risk premium level, and influences the price of other assets in the capital market by influencing the risk premium level of the asset pricing. Therefore, gold is a very important kind of financial product, and it has important theoretical and practical significance for its pricing research. It is because gold has multiple attributes, its price determination mechanism is more complex than the general common commodity, not only is the simple gold commodity supply and demand decision mechanism, but also includes the gold's wealth storage, investment, speculation and other currencies, the risk-safe attribute common effect knot From our research on the price of gold assets for many years, we think that the factors that affect the gold are more, and in different macro-economic periods, the main driving variables will have a drift. Therefore, the research idea of this paper is to study the pricing model of gold from a number of angles, such as the commodity, currency and investment risk aversion of gold, and put forward several gold pricing models with both theoretical and practical applications. In particular, the paper carefully reviews the literature of the gold in the past scholars, the gold market and the gold price, the influence of gold on the monetary system, the gold market and the gold price, and the influence of the gold on the monetary system. On the basis of the predecessors, some new financial indicators and asset prices (such as the CDS interest of the U.S. national debt, the TIPS of the inflation protection bond, the weighted Marshall K value, etc.) are introduced to study the pricing model of the gold. It is found that these new macro-indicators and asset prices can more effectively reflect the influence and driving effect of the related macro-and market factors on the gold price, provide some reference materials for the future scholars to study the gold price, and also benefit the domestic relevant investment institutions to make yellow. Gold trade. The main research results in this paper The following are the following: during the financial crisis, the article comprehensively considers the commodity, currency and investment risk-avoiding attribute of gold, and the gold value is decomposed into the commodity benchmark value, the "hidden monetary value" based on the exchange rate, the credit default of the sovereign state, The risk premium is to be entered by the commodity CRB index, the dollar index, and the U.S. national debt CDS profit as the proxy variable, respectively. The paper puts forward three-factor pricing model of gold from the commodity, currency and investment risk-avoiding attribute of the gold. The research shows that the US dollar index USDX will drive the gold price in the negative direction, the commodity index CRB and the US national debt index CDS are driving the gold price in the forward direction, and the dollar is the dollar. The first order of the number, the price information of the second-order price of the CDS of the United States Treasury Bond is the golden price shadow. The response is very significant. By studying the real interest rate and the gold price trend, we find that the real interest rate is expected to influence the price trend of the gold more than the real interest rate per se, and we use the difference between the interest rate of the United States and the inflation rate To measure the real interest rate, measure the real interest rate expectation with the inflation protection bond, TIPS yield, and get the real interest rate through the large sample empirical study, and the real interest rate is expected to have a very good effect on the gold price It has a clear negative effect, and also provides an implicit reality for later researchers to reverse-push through the gold price trend The idea of interest rate is expected. We have also found that the demand for gold in the last decade is declining, and the demand for investment is rising, and the excess liquidity of central banks is the demand for gold investment. In the article, we measure the global liquidity by constructing the weighted Marshall K value, and draw a conclusion through an empirical study of the weighted Marshall K value and the gold price: liquidity is a decision for long-term gold In addition, the paper also studies the change of the status of gold in the change of the international monetary system, and the change of the international monetary system in the future. In this paper, the change of the international monetary system is divided into two cases: the improvement of the international monetary system and the reform of the international monetary system. At the end of the paper, the author's writing and the study of his doctoral degree are also the author's interest in the asset pricing. The step-by-step transformation and deepening process of cognition. The author first studied the pricing of derivative products and therefore However, with the deep study of the theory of asset pricing, especially the reflection on the theory of asset pricing since the current financial crisis, the author is aware that many asset pricing needs to jump out of no-arbitrage analysis Methods, more and macro-economic integration to avoid future In this paper, the author's writing, in fact, is an implicit author from the "no-arbitrage analysis method" to the "general equal" 【學位授予單位】：電子科技大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F831.54;F713.35;F224

【引證文獻】

相關博士學位論文 前1條

1 游宗君;中國黃金市場微觀結構研究[D];西南財經(jīng)大學;2013年

相關碩士學位論文 前2條

1 王益虹;黃金價格與美元匯率走勢關系的實證研究[D];浙江大學;2013年

2 劉建偉;黃金價格波動因素的實證分析[D];云南大學;2013年

本文編號：2452935