我国黄金价格影响因素实证研究
摘要
兼具商品属性和金融属性于一身的黄金在20世纪70年代之前价格一直比较稳定,由于不再与美元挂钩,其价格就开始发生剧烈的变动,由70年代初的30美元每盎司一直涨到2011年1900美元每盎司,巨大的价差引起各方广泛关注。此外,由于黄金的特殊性,也使得国内外诸多学者对黄金价格的变动进行实证和理论研究。我国从最近几年以来,不论是黄金产量还是黄金需求量都处于世界前列,因而对我国黄金价格影响因素的研究就具有一定的理论和实践意义。
本文从黄金的发展状况出发,重点研究了国际金价和国内金价的影响因素,并对我国黄金价格影响因素进行了实证研究。
本文共分五章,第一章是绪论,主要介绍了研究的背景、思路、研究方法以及创新点等。第二章在分析了国际金价和国内金价关系的基础上了,引出国际金价的定价机制以及国内黄金市场的发展状况,进而分析国内的研究现状。第三章主要是国际金价和国内金价影响因素的理论分析,综合国内外的相关研究,黄金价格主要和黄金的供求、美元、石油、CPI、宏观经济状况以及一些其他的因素有关。第四章主要针对我国黄金价格影响因素所做的实证研究,通过分析选取合适的指标,先对指标进行ADF检验、共线性检验、Granger因果检验,然后选取合适的指标建立VAR模型,继而对模型进行平稳性检验,以确定模型的准确性。第五章是结论和建议,实证研究表明国内黄金价格除受到自身价格的影响之外,还同汇率、外汇储备、GDP以及企业家景气信心指数有关。通过对这四个指标的Granger因果检验,我们能够进一步确认这些指标和黄金价格之间是否具有直接的因果关系。本章在最后针对我国不具备黄金定价权的问题,分析了国际国内的条件,为我国谋求黄金定价权提出了自己的建议。
本文通过对我国黄金价格影响因素的实证研究,确定了影响我国黄金价格的几个主要因素,同时对我国黄金话语权也给出了相应的建议。由于黄金价格影响因素的复杂性,再加上我国的特殊国情,本文的研究还有待进一步的深入。此外,本文还对今后的研究方向做了一些展望,例如我国黄金储备的比例问题,以及如何更好的规范和发展我国的黄金市场,为我国谋求黄金定价权提供更有利的条件。
The gold price which contains double attributes-a commodity as well as a currency was relatively stable before1970s.Because it was no longer bound up with US dollar,its price was dramaticly changed,from$30per ounce in the early1970s to$1900per ounce.Many people were interested of the gold price-why its price changed so much. In addition, due to the particularity of gold, many domestic and foreign scholars did empirical and theoretical researches on the change of the gold price.From the last few years,for China,not only the gold output but also the gold demand are both the first in the world.So,researching the factors influencing gold price in China has certain theoretical and practical significance.
This article proceeds with the background of development situation of gold and focuses on international and domestic factors which influence gold price.And we do a empirical study what factors influence gold price in China.
There are five parts in this article. The first chapter is introduction which is mainly about background, research ideas, methods and innovation. Based on the relationship of international gold price and domestic gold price,the second chapter introduces the international pricing mechanism as well as the development of the domestic gold market situation, and analyzes the domestic present situation. The third chapter is the theoretical analysis that is mainly about the factors influencing the international gold price and domestic gold price.From the studies at home and abroad, the gold price is relevant to gold supply and demand, US dollar, oil, CPI, macroeconomic conditions and some other factors. Aiming at factors influencing gold price,the fourth chapter does a empirical research.Through the analysis,we select the appropriate index.First we examine these indexes with a ADF test, a colinearity test and the Granger causality test, and then select the appropriate index to build the VAR model.At last we test stationarity of the model in order to detennine the accuracy of the model.The last chapter is conclusion and suggestion.The empirical research shows that the domestic price of gold is relevant to not only its own price but also the exchange rate, foreign exchange reserve, GDP and entrepreneurs confidence index. According to the four indexes of the Granger causality test, we can furtherly confirm a direct causal relationship between these indexes and the gold price. In the last of this chapter, because our country does not have the gold pricing problems, we analyse the international and domestic conditions.and give some own proposal to seek gold pricing power for our country
Based on the empirical study on the factors affecting the gold price,we determine several major factors impacting on China's gold price,at the same time to our country gold discourse we also give the corresponding suggestions. Due to the complexity of the factors affecting the gold price and the special national condition of our country, we have to do a further study. In addition, the research gives a direction of further study,for example, the gold reserve ratio problems in China, and how to better the standardization and development of China's gold market.All of this,the purpose is providing more favorable conditions for our country to seek the pricing power to gold.
本文从黄金的发展状况出发,重点研究了国际金价和国内金价的影响因素,并对我国黄金价格影响因素进行了实证研究。
本文共分五章,第一章是绪论,主要介绍了研究的背景、思路、研究方法以及创新点等。第二章在分析了国际金价和国内金价关系的基础上了,引出国际金价的定价机制以及国内黄金市场的发展状况,进而分析国内的研究现状。第三章主要是国际金价和国内金价影响因素的理论分析,综合国内外的相关研究,黄金价格主要和黄金的供求、美元、石油、CPI、宏观经济状况以及一些其他的因素有关。第四章主要针对我国黄金价格影响因素所做的实证研究,通过分析选取合适的指标,先对指标进行ADF检验、共线性检验、Granger因果检验,然后选取合适的指标建立VAR模型,继而对模型进行平稳性检验,以确定模型的准确性。第五章是结论和建议,实证研究表明国内黄金价格除受到自身价格的影响之外,还同汇率、外汇储备、GDP以及企业家景气信心指数有关。通过对这四个指标的Granger因果检验,我们能够进一步确认这些指标和黄金价格之间是否具有直接的因果关系。本章在最后针对我国不具备黄金定价权的问题,分析了国际国内的条件,为我国谋求黄金定价权提出了自己的建议。
本文通过对我国黄金价格影响因素的实证研究,确定了影响我国黄金价格的几个主要因素,同时对我国黄金话语权也给出了相应的建议。由于黄金价格影响因素的复杂性,再加上我国的特殊国情,本文的研究还有待进一步的深入。此外,本文还对今后的研究方向做了一些展望,例如我国黄金储备的比例问题,以及如何更好的规范和发展我国的黄金市场,为我国谋求黄金定价权提供更有利的条件。
The gold price which contains double attributes-a commodity as well as a currency was relatively stable before1970s.Because it was no longer bound up with US dollar,its price was dramaticly changed,from$30per ounce in the early1970s to$1900per ounce.Many people were interested of the gold price-why its price changed so much. In addition, due to the particularity of gold, many domestic and foreign scholars did empirical and theoretical researches on the change of the gold price.From the last few years,for China,not only the gold output but also the gold demand are both the first in the world.So,researching the factors influencing gold price in China has certain theoretical and practical significance.
This article proceeds with the background of development situation of gold and focuses on international and domestic factors which influence gold price.And we do a empirical study what factors influence gold price in China.
There are five parts in this article. The first chapter is introduction which is mainly about background, research ideas, methods and innovation. Based on the relationship of international gold price and domestic gold price,the second chapter introduces the international pricing mechanism as well as the development of the domestic gold market situation, and analyzes the domestic present situation. The third chapter is the theoretical analysis that is mainly about the factors influencing the international gold price and domestic gold price.From the studies at home and abroad, the gold price is relevant to gold supply and demand, US dollar, oil, CPI, macroeconomic conditions and some other factors. Aiming at factors influencing gold price,the fourth chapter does a empirical research.Through the analysis,we select the appropriate index.First we examine these indexes with a ADF test, a colinearity test and the Granger causality test, and then select the appropriate index to build the VAR model.At last we test stationarity of the model in order to detennine the accuracy of the model.The last chapter is conclusion and suggestion.The empirical research shows that the domestic price of gold is relevant to not only its own price but also the exchange rate, foreign exchange reserve, GDP and entrepreneurs confidence index. According to the four indexes of the Granger causality test, we can furtherly confirm a direct causal relationship between these indexes and the gold price. In the last of this chapter, because our country does not have the gold pricing problems, we analyse the international and domestic conditions.and give some own proposal to seek gold pricing power for our country
Based on the empirical study on the factors affecting the gold price,we determine several major factors impacting on China's gold price,at the same time to our country gold discourse we also give the corresponding suggestions. Due to the complexity of the factors affecting the gold price and the special national condition of our country, we have to do a further study. In addition, the research gives a direction of further study,for example, the gold reserve ratio problems in China, and how to better the standardization and development of China's gold market.All of this,the purpose is providing more favorable conditions for our country to seek the pricing power to gold.
引文
[1]Dooley Isard.Taylor.Exchange rates.country specific shocks and gold[J].Appied finacial ecomics,1995,(5):121-129.
[2]Larry A, Fabio S. The price of gold and the exchange rate [J] Journal of International Money and Finance,1996,15:879~897.
[3]Stephen Harmston.Gold as a store of value[R].The World Gold Counci,1998.
[4]Christie-David, R.Chaudry.M,anf Koch.T.W.Do macroeconomic news releases affect gold and silver prices[J].Journal of Economics and Business,2000(52),405-421.
[5]Chow,Ying Foon.Arbitrage,risk premium,anf cointegration tests of the efficiency of futures markets [J]. Journey of BusinessFinance& Accounting,2001,28(5-6):693-713.
[6]Graham Smith.The Price of Gold and Stock Price Indices for The United State[R].World Gold Couneil,2001.
[7]Steven C.Kennedy.A Historical Review:American Gold Market[R].The World Council,2002(1)
[8]Graham Smith.Tests of the Random Walk Hypothesis for London Gold Prices[J]. Applied Economics Letters,2002.9(10).
[9]Colin Lawrece.Why is Gold Different from other Asset?An Empirical Investigation[R].World Gold Council,2003(4).
[10]Forrest Capie,Terenc C Mills,and Geoffrey Wood.Gold as a hedge against the US dollar[R].The World Gold Counci,2004.
[11]Ramaprasad Bhar& Shigeyuki Hamori.Information Flow between Price Change and Trading Volume in Gold Futures Contracts[J].International Journal of Business and Economics, 2004,3(1):45-56.
[12]David Ranson, H C Wrainwright& Co.Economics.Inflation protection:Why gold works better than "linkers"[R].World Gold Council report,2005(11).
[13]Xiao Qing,Eleanor X,Fung Hung Gay.Cross-market linkages between US and Japanese precious metals futures trading[J]. Journal of International Financial Markets,Institutions and Money,2005,15(2):107-124.
[14]Eric J Levin,Robert E Wright. Short-run and Long-run Determinants of the Price of Gold[R].World Gold Council Research Study,2006,32.
[15]Edel Tully.Brian M Luccy.A power GARCH examination of the gold market[J].Research in International Business and Finance.June,2007,Vol.21:316-325.
[16]Larry A. Sjaastad, The price of gold and the exchange rates:Once again[J].Resources Policy, 2008,33(2):118-124.
[17]A.G.Malliaris, Mary Malliaris, Time Series and Neural Networks Comparison on Gold, Oil and the Euro[C].Proceedings of International Joint Conference on Neural Networks, Atlanta, Georgia, USA, June 14-19,2009:1961-1967.
[18]Zhang Jinliang, Tang Mingming, Tao Mingxin, Effects Simulation of International Gold Prices on Crude Oil Prices based on WBNNK Model [C].2009 ISECS International Colloquium on Computing,Communication,Control and Management,2009:459-464.
[19]Laurence E.Blose.Gold Prices.Cost of Carry,and Expected Inflation[J].Jounal of Economics and Business,2010,62:35-47.
[20]Juan Carlos Artigas,Linking global money supply to gold and to future inflation[R].World Gold Council Gold Report,2010.
[21]张宏颖,马艳华,于萍.世界黄金价格变化趋势及影响因素[J].工业技术经济,1999,18(3)：63-65
[22]胡乃联,宋鑫.自适应过滤模型在黄金价格预测中应用[J].黄金,1999(5)
[23]博韬.国际黄金价格巨幅波动的原因剖析与走势预测[J].国际金融研究,1999(11)
[24]李战杰.黄金价格的影响因素[J].重庆商学院学报,2002(4)
[25]杨柳勇,史震涛.黄金价格的长期决定因素分析[J].统计研究,2004(6)
[26]傅瑜.近期黄金价格波动的实证研究[J].产业经济研究,2004,1：30-40
[27]胡恩同.黄金的双重属性与其价格决定机制[J].黄金科学技术,2005.10.30
[28]章程.黄金价格和¨美元的相关性分析[N].金融时报,2006.09,15
[29]范思琦,孙黎,白岩.影响黄金价格因素及应对策略[J].黄金,2006(12)
[30]张莹,胥莉,陈宏民.石油与黄金产业价格联动关系研究[J].财经问题研究,2007,7：35-39
[31]杨叶.黄金价格和石油价格的联动分析[J].黄金,2007.02.28
[32]易祖琼.黄金价格的短期影响因素分析[J].商业文化财经视点,2008(1)：45-46
[33]谭惠文,谢志超.黄金期货的投资价值分析[J].期货日报,2008.1.21
[34]刘曙光,胡再勇.黄金价格的长期决定因素稳定性分析[J].世界经济研究,2008(2)：35-41.
[35]周华林.黄金价格影响因素的实证分析[J].重庆交通大学学报(社科版),2008,8(6)：42-46
[36]刘洪君.浅谈黄金价格[J].黄金科学技术,2009,17(1)：60-63
[37]李楠.黄金价格决定因素研究[J],2009,36：79-80
[38]李家林.长期黄金价格影响因素实证分析[J].生产力研究,2009(14)：48—50.
[39]梁维全.黄金价格波动的影响因素的实证研究[J].中国证券期货,2009,5：48-51
[40]张次兰,郇红艳.石油价格与黄金价格的实证分析[J].黄金市场,2009,3：50-51
[41]谢朝阳.国际黄金价格长期变迁中的美元因素分析[J].中国流通经济,2010(8)
[42]邱红,李肖钰.影响黄金价格的因素分析[J].尔方企业文化,2010,2：86
[43]翟敏,华仁海.国内外黄金市场的关联研究[J].产业经济研究,2006(2)：30-35.
[44]张捷.英美黄金市场的发展及对我国黄金市场发展的建议[J].全球瞭望,2007(6)
[45]郑仕,林斌.人民币汇率变动对国际黄金价格的影响[J].黄金,2007(07)：4-6.
[46]郑秀田.基于GARCH-M模型的黄金市场风险与收益关系研究[J].黄金,2008,29(5)：4-7
[47]温博慧,陈杰.国内外黄金价格互动关系的分阶段实证研究-以中国上海和英国伦敦黄金市场为例[J].华北金融,2008(11)
[48]杜见喧,王静.国内外黄金期货价格关系的实证分析[J].商场现代化(中旬刊),2009(3)
[49]温博慧,罗止清.国内外黄金价格的波动性与互动关系研究[J].金融发展研究,2009(6)
[50]温博慧.黄金价格波动性及其演化：以上海和伦敦市场为例[J].商业研究.2010(1)：9-13.
[51]俞海莲.浅谈中国个人黄金投资的问题[J].黄金,2007,(12)：6.
[52]卜小玲.对中国个人黄金投资品种的分析和研究[J].北京工商大学学报：社会科学版,2006,(6)：73.
[53]陈方妮.黄金价格波动因素及未来走向[J].时代金融(下旬)2011(2)
[54]易丹辉.数据分析与Eviews应用[M].北京：中国统计出版社,2002.
[55]http://www.world gold council.com
[56]http://www.cngold.org.cn
[57]http://www.pbc.gov.cn
[58]http://www.stats.gov.cn
[59]http://www.sge.sh/publish/sge/
[60]http://finance.sina.com.cn/nmetal/
[2]Larry A, Fabio S. The price of gold and the exchange rate [J] Journal of International Money and Finance,1996,15:879~897.
[3]Stephen Harmston.Gold as a store of value[R].The World Gold Counci,1998.
[4]Christie-David, R.Chaudry.M,anf Koch.T.W.Do macroeconomic news releases affect gold and silver prices[J].Journal of Economics and Business,2000(52),405-421.
[5]Chow,Ying Foon.Arbitrage,risk premium,anf cointegration tests of the efficiency of futures markets [J]. Journey of BusinessFinance& Accounting,2001,28(5-6):693-713.
[6]Graham Smith.The Price of Gold and Stock Price Indices for The United State[R].World Gold Couneil,2001.
[7]Steven C.Kennedy.A Historical Review:American Gold Market[R].The World Council,2002(1)
[8]Graham Smith.Tests of the Random Walk Hypothesis for London Gold Prices[J]. Applied Economics Letters,2002.9(10).
[9]Colin Lawrece.Why is Gold Different from other Asset?An Empirical Investigation[R].World Gold Council,2003(4).
[10]Forrest Capie,Terenc C Mills,and Geoffrey Wood.Gold as a hedge against the US dollar[R].The World Gold Counci,2004.
[11]Ramaprasad Bhar& Shigeyuki Hamori.Information Flow between Price Change and Trading Volume in Gold Futures Contracts[J].International Journal of Business and Economics, 2004,3(1):45-56.
[12]David Ranson, H C Wrainwright& Co.Economics.Inflation protection:Why gold works better than "linkers"[R].World Gold Council report,2005(11).
[13]Xiao Qing,Eleanor X,Fung Hung Gay.Cross-market linkages between US and Japanese precious metals futures trading[J]. Journal of International Financial Markets,Institutions and Money,2005,15(2):107-124.
[14]Eric J Levin,Robert E Wright. Short-run and Long-run Determinants of the Price of Gold[R].World Gold Council Research Study,2006,32.
[15]Edel Tully.Brian M Luccy.A power GARCH examination of the gold market[J].Research in International Business and Finance.June,2007,Vol.21:316-325.
[16]Larry A. Sjaastad, The price of gold and the exchange rates:Once again[J].Resources Policy, 2008,33(2):118-124.
[17]A.G.Malliaris, Mary Malliaris, Time Series and Neural Networks Comparison on Gold, Oil and the Euro[C].Proceedings of International Joint Conference on Neural Networks, Atlanta, Georgia, USA, June 14-19,2009:1961-1967.
[18]Zhang Jinliang, Tang Mingming, Tao Mingxin, Effects Simulation of International Gold Prices on Crude Oil Prices based on WBNNK Model [C].2009 ISECS International Colloquium on Computing,Communication,Control and Management,2009:459-464.
[19]Laurence E.Blose.Gold Prices.Cost of Carry,and Expected Inflation[J].Jounal of Economics and Business,2010,62:35-47.
[20]Juan Carlos Artigas,Linking global money supply to gold and to future inflation[R].World Gold Council Gold Report,2010.
[21]张宏颖,马艳华,于萍.世界黄金价格变化趋势及影响因素[J].工业技术经济,1999,18(3)：63-65
[22]胡乃联,宋鑫.自适应过滤模型在黄金价格预测中应用[J].黄金,1999(5)
[23]博韬.国际黄金价格巨幅波动的原因剖析与走势预测[J].国际金融研究,1999(11)
[24]李战杰.黄金价格的影响因素[J].重庆商学院学报,2002(4)
[25]杨柳勇,史震涛.黄金价格的长期决定因素分析[J].统计研究,2004(6)
[26]傅瑜.近期黄金价格波动的实证研究[J].产业经济研究,2004,1：30-40
[27]胡恩同.黄金的双重属性与其价格决定机制[J].黄金科学技术,2005.10.30
[28]章程.黄金价格和¨美元的相关性分析[N].金融时报,2006.09,15
[29]范思琦,孙黎,白岩.影响黄金价格因素及应对策略[J].黄金,2006(12)
[30]张莹,胥莉,陈宏民.石油与黄金产业价格联动关系研究[J].财经问题研究,2007,7：35-39
[31]杨叶.黄金价格和石油价格的联动分析[J].黄金,2007.02.28
[32]易祖琼.黄金价格的短期影响因素分析[J].商业文化财经视点,2008(1)：45-46
[33]谭惠文,谢志超.黄金期货的投资价值分析[J].期货日报,2008.1.21
[34]刘曙光,胡再勇.黄金价格的长期决定因素稳定性分析[J].世界经济研究,2008(2)：35-41.
[35]周华林.黄金价格影响因素的实证分析[J].重庆交通大学学报(社科版),2008,8(6)：42-46
[36]刘洪君.浅谈黄金价格[J].黄金科学技术,2009,17(1)：60-63
[37]李楠.黄金价格决定因素研究[J],2009,36：79-80
[38]李家林.长期黄金价格影响因素实证分析[J].生产力研究,2009(14)：48—50.
[39]梁维全.黄金价格波动的影响因素的实证研究[J].中国证券期货,2009,5：48-51
[40]张次兰,郇红艳.石油价格与黄金价格的实证分析[J].黄金市场,2009,3：50-51
[41]谢朝阳.国际黄金价格长期变迁中的美元因素分析[J].中国流通经济,2010(8)
[42]邱红,李肖钰.影响黄金价格的因素分析[J].尔方企业文化,2010,2：86
[43]翟敏,华仁海.国内外黄金市场的关联研究[J].产业经济研究,2006(2)：30-35.
[44]张捷.英美黄金市场的发展及对我国黄金市场发展的建议[J].全球瞭望,2007(6)
[45]郑仕,林斌.人民币汇率变动对国际黄金价格的影响[J].黄金,2007(07)：4-6.
[46]郑秀田.基于GARCH-M模型的黄金市场风险与收益关系研究[J].黄金,2008,29(5)：4-7
[47]温博慧,陈杰.国内外黄金价格互动关系的分阶段实证研究-以中国上海和英国伦敦黄金市场为例[J].华北金融,2008(11)
[48]杜见喧,王静.国内外黄金期货价格关系的实证分析[J].商场现代化(中旬刊),2009(3)
[49]温博慧,罗止清.国内外黄金价格的波动性与互动关系研究[J].金融发展研究,2009(6)
[50]温博慧.黄金价格波动性及其演化：以上海和伦敦市场为例[J].商业研究.2010(1)：9-13.
[51]俞海莲.浅谈中国个人黄金投资的问题[J].黄金,2007,(12)：6.
[52]卜小玲.对中国个人黄金投资品种的分析和研究[J].北京工商大学学报：社会科学版,2006,(6)：73.
[53]陈方妮.黄金价格波动因素及未来走向[J].时代金融(下旬)2011(2)
[54]易丹辉.数据分析与Eviews应用[M].北京：中国统计出版社,2002.
[55]http://www.world gold council.com
[56]http://www.cngold.org.cn
[57]http://www.pbc.gov.cn
[58]http://www.stats.gov.cn
[59]http://www.sge.sh/publish/sge/
[60]http://finance.sina.com.cn/nmetal/