本文選題：黃金價格 + 格蘭杰檢驗��； 參考：《湖北大學》2013年碩士論文

【摘要】：馬克思說過：“貨幣天然不是金銀,金銀天然是貨幣�！秉S金一直以來都是財富的象征,并且肩負著貨幣的職能。20世紀70年代,隨著布雷頓森林體系的崩潰,黃金退出了國際貨幣體系的歷史舞臺,但是其貨幣屬性并未消失。在通貨膨脹、物價高漲、國際地緣政治復雜的情況下,投資黃金是對抗通脹、避險保值的有效工具,是經濟蕭條時期的避風港。近年來,黃金價格一路高漲,尤其是2008年以后,受國際金融危機、美國多次啟動量化寬松政策勢等影響,黃金價格屢創(chuàng)新高,出現了大幅波動。因此準確地把握黃金價格走勢與波動特征是十分有必要的,是進行黃金投資的焦點問題。 本文結合定性和定量兩種方法研究了我國的黃金市場。首先,運用定性地方法分析了影響黃金價格的一系列因素。然后對影響我國黃金價格的因素做了實證分析。根據格蘭杰因果檢驗,得出美元指數、石油價格與我國黃金價格之間有著單向因果關系,通脹率、上證綜合指數與黃金價格之間不存在格蘭杰因果關系。接著從黃金價格收益率方面對我國黃金市場定量地做了實證研究,并與倫敦市場的黃金價格波動進行了對比,來分析我國黃金市場存在的問題。采用GARCH族模型來分析黃金市場收益率的波動特征,得出我國黃金市場價格日收益率序列平穩(wěn)且具有“尖峰厚尾”性質和波動的集聚性特征,以及外部沖擊引起黃金市場的波動影響時間會比較長,持久性特征明顯；我國黃金市場存在非對稱效應,即利好消息對黃金市場的沖擊比利空消息對黃金市場的沖擊的波動程度要大；并且我國黃金市場的均衡收益水平為負,市場風險較倫敦市場來說要大。 基于上述分析的結果,我國黃金市場起步比較晚,相關功能有待完善。本文試圖提出幾點黃金投資建議,合理引導投資者行為,避免非理性的投機行為對市場造成過度的沖擊。
[Abstract]:Marx said: "Monetary nature is not gold and silver, gold and silver nature is money." Gold has always been the symbol of wealth, and it shoulders the function of currency. With the collapse of Bretton Woods system, gold withdrew from the historical stage of the international monetary system, but its monetary property did not disappear. Under the circumstances of inflation, high prices and complicated international geopolitics, gold investment is an effective tool to fight inflation and hedge against risk, and is a safe haven during the economic depression. In recent years, the gold price keeps rising, especially after 2008, under the influence of the international financial crisis, the United States has launched quantitative easing policy for many times, the gold price has repeatedly reached new high, appeared the big fluctuation. Therefore, it is necessary to accurately grasp the trend and fluctuation of gold price, which is the focus of gold investment. Combining qualitative and quantitative methods, this paper studies the gold market in China. Firstly, a series of factors affecting gold price are analyzed by qualitative method. Then it makes an empirical analysis on the factors that affect the gold price in China. According to the Granger causality test, it is concluded that there is a one-way causal relationship between the US dollar index, oil price and China's gold price, and there is no Granger causality relationship between the inflation rate, the Shanghai Composite Index and the gold price. Then the paper makes an empirical study on the gold market in China from the perspective of gold price return and compares it with the gold price fluctuation in London to analyze the problems existing in China's gold market. The GARCH family model is used to analyze the volatility characteristics of gold market yield, and it is obtained that the daily return sequence of gold market in China is stable and has the characteristics of "peak and thick tail" and agglomeration of volatility. Besides, the volatility of gold market caused by external shocks will be longer and the lasting characteristics are obvious. There are asymmetric effects in China's gold market. That is, the impact of the good news on the gold market is large, and the equilibrium return level of China's gold market is negative, and the market risk is greater than that of the London market. Based on the above analysis results, China's gold market started relatively late, the relevant functions need to be improved. This paper attempts to put forward several gold investment suggestions to guide investors' behavior reasonably and avoid excessive impact of irrational speculation on the market.
【學位授予單位】：湖北大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.54

【參考文獻】

相關期刊論文 前10條

1 傅瑜;近期黃金價格波動的實證研究[J];產業(yè)經濟研究;2004年01期

2 葉莉;周硯青;;中國黃金市場價格影響因素的實證研究[J];河北工業(yè)大學學報(社會科學版);2010年04期

3 鄭秀君;劉建強;;我國黃金市場文獻綜述、市場結構及發(fā)展前景[J];改革與戰(zhàn)略;2010年05期

4 楊葉;;黃金價格和石油價格的聯(lián)動分析[J];黃金;2007年02期

5 鄭秀田;;基于GARCH-M模型的黃金市場風險與收益關系研究[J];黃金;2008年05期

6 潘貴豪;胡乃聯(lián);劉煥中;李國清;;基于ARMA-GARCH模型的黃金價格實證分析[J];黃金;2010年01期

7 陳楊林;向東進;;基于波動率模型的世界黃金價格實證分析[J];決策與信息(財經觀察);2008年09期

8 宋逢明,江婕;中國股票市場波動性特性的實證研究[J];金融研究;2003年04期

9 張海波;郭玲;;中國黃金市場的現狀及發(fā)展趨勢分析[J];蘭州大學學報(社會科學版);2009年01期

10 張曉榮;我國黃金市場化改革中交易制度的探討[J];生產力研究;2003年03期

，

本文編號：1975827