【摘要】：金銀比價(jià)是指同一時(shí)期內(nèi)黃金價(jià)格與白銀價(jià)格的比值,金銀比價(jià)的波動(dòng)反應(yīng)了黃金與白銀兩者之間內(nèi)在關(guān)系的變動(dòng)。黃金、白銀作為貴金屬均曾充作本位貨幣,關(guān)于金銀比價(jià)的討論由來已久,而現(xiàn)在市場(chǎng)上亦存有大量金銀之間的套利投資,因此金銀比價(jià)問題是一個(gè)既具有歷史意義又具有現(xiàn)實(shí)價(jià)值的課題。本文通過對(duì)黃金與白銀歷史價(jià)格的實(shí)證研究,發(fā)現(xiàn)兩者之間存在長(zhǎng)期穩(wěn)定的協(xié)整關(guān)系,進(jìn)一步研究發(fā)現(xiàn)金銀比價(jià)表現(xiàn)出長(zhǎng)期的平穩(wěn)性,由此推出金銀比價(jià)符合均值回歸規(guī)律,并以此為基礎(chǔ)利用金銀比價(jià),設(shè)計(jì)出對(duì)金銀的投資策略。 在實(shí)證分析方面,本文從影響金銀比價(jià)波動(dòng)的因素著手設(shè)計(jì)實(shí)證模型,選取變量進(jìn)行普通最小二乘估計(jì),實(shí)證結(jié)果表明：其一,白銀和黃金的金融屬性使得兩者對(duì)美國(guó)的貨幣政策非常敏感,但白銀因其市場(chǎng)深度等原因,受美聯(lián)儲(chǔ)貨幣政策的沖擊更大,因此表現(xiàn)出金銀比價(jià)受到美國(guó)狹義貨幣量M1的負(fù)向影響。其二,本文發(fā)現(xiàn)因?yàn)榘足y表現(xiàn)出更強(qiáng)的商品屬性,使得實(shí)體經(jīng)濟(jì)和白銀總存量對(duì)金銀比價(jià)的影響也非常顯著,前者表現(xiàn)為負(fù)向影響,后者表現(xiàn)為正向影響。其三,金銀比價(jià)受到黃金和白銀各自的交易量的影響,表現(xiàn)出明顯的量?jī)r(jià)配合的基本規(guī)律。在此之后,本文設(shè)計(jì)了簡(jiǎn)單的金銀比價(jià)投資交易策略,并使用近期數(shù)據(jù),驗(yàn)證了金銀比價(jià)交易策略的可行性,投資結(jié)果顯示,若嚴(yán)格遵守設(shè)置的投資閾值,靈活的應(yīng)用投資策略進(jìn)行投資,是有機(jī)會(huì)獲得正收益的。最后,本文結(jié)合實(shí)證模型和交易實(shí)務(wù)模型給出了,有關(guān)金銀比價(jià)交易策略的投資建議,投資者應(yīng)該根據(jù)貨幣政策變化、實(shí)體經(jīng)濟(jì)運(yùn)行、白銀總存量的變化調(diào)整金銀比價(jià)均值回歸線的預(yù)期,由此可以增大獲利概率。
[Abstract]:The ratio of gold to silver is the ratio of gold price to silver price in the same period. The fluctuation of gold and silver price reflects the change of the internal relationship between gold and silver. Gold and silver were used as standard currencies as precious metals. There has been a long discussion about the price of gold and silver, and there are also a lot of arbitrage investments between gold and silver in the market. Therefore, the price of gold and silver is a topic of historical significance and practical value. Based on the empirical study on the historical price of gold and silver, this paper finds that there is a long-term stable cointegration relationship between the two, and further studies show that the gold and silver prices show a long-term stability, and the gold and silver prices conform to the law of mean regression. On the basis of this, the investment strategy of gold and silver is designed by using the price of gold and silver. In the aspect of empirical analysis, this paper designs an empirical model from the factors that affect the fluctuation of gold and silver price, and selects variables to carry out the ordinary least square estimation. The empirical results show that: first, The financial attributes of silver and gold make them very sensitive to the monetary policy of the United States. However, due to reasons such as the depth of the market, silver is more affected by the monetary policy of the Federal Reserve. As a result, gold and silver prices are negatively affected by American narrow money volume M1. Secondly, it is found that the real economy and the total stock of silver also have a significant impact on the gold and silver prices because silver has a stronger commodity property. The former shows a negative effect, while the latter shows a positive effect. Thirdly, the gold and silver ratio is influenced by the trading volume of gold and silver, which shows the basic law of coordination of volume and price. After that, this paper designs a simple investment strategy of gold and silver price, and uses recent data to verify the feasibility of the strategy. The investment results show that, if the investment threshold is strictly followed, A flexible investment strategy offers an opportunity for positive returns. Finally, combined with empirical model and transaction practice model, this paper gives out the investment suggestion of gold and silver price trading strategy, investors should according to the change of monetary policy, real economy operation. The change of total stock of silver and gold adjusts the expectation of average regression of gold and silver, which can increase the probability of profit.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.54

【共引文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前4條

1 王益虹;黃金價(jià)格與美元匯率走勢(shì)關(guān)系的實(shí)證研究[D];浙江大學(xué);2013年

2 劉建偉;黃金價(jià)格波動(dòng)因素的實(shí)證分析[D];云南大學(xué);2013年

3 時(shí)曉萌;美元匯率對(duì)黃金價(jià)格的影響研究[D];遼寧大學(xué);2014年

4 張勇;國(guó)際黃金價(jià)格的影響因素研究[D];西南財(cái)經(jīng)大學(xué);2014年

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本文編號(hào)：2204690