【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(xiǎn)的多重屬性。它已經(jīng)跨越政治制度、種族文化、經(jīng)濟(jì)發(fā)展程度，好比一條金色的血脈，貫穿于整個(gè)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(shù)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(cái)富儲(chǔ)備載體；不僅被投資者當(dāng)作危機(jī)時(shí)候資金的避風(fēng)港，也被視為規(guī)避通貨膨脹風(fēng)險(xiǎn)的投資工具。此外，黃金還是反映市場風(fēng)險(xiǎn)溢價(jià)水平的重要指標(biāo)，并通過影響資產(chǎn)定價(jià)的風(fēng)險(xiǎn)溢價(jià)水平，來影響資本市場其他資產(chǎn)的價(jià)格。因此，黃金是非常重要的一類金融產(chǎn)品，對(duì)其進(jìn)行定價(jià)研究具有重要的理論和實(shí)際意義。 正是因?yàn)辄S金具有多重屬性，其價(jià)格決定機(jī)制較一般普通商品更為復(fù)雜，不僅僅是簡單的黃金商品供求決定機(jī)制，還包括黃金的財(cái)富儲(chǔ)值、投資、投機(jī)等貨幣、避險(xiǎn)屬性共同作用的結(jié)果。從我們對(duì)黃金資產(chǎn)定價(jià)多年的研究來看，我們認(rèn)為影響黃金的因素較多，且在不同的宏觀經(jīng)濟(jì)周期時(shí)期，其主要的驅(qū)動(dòng)變量會(huì)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(xiǎn)等多個(gè)角度來研究黃金的定價(jià)模型，并提出幾個(gè)具有理論意義和實(shí)際用途的黃金定價(jià)模型。 具體而言，本文仔細(xì)梳理了過去學(xué)者研究黃金的文獻(xiàn)，按黃金的大宗商品、貨幣以及投資避險(xiǎn)三大屬性，黃金市場及黃金定價(jià)，黃金對(duì)貨幣體系影響的順序回顧了過去學(xué)者對(duì)于黃金研究的成果。并在前人的基礎(chǔ)上，引入一些新的金融指標(biāo)和資產(chǎn)價(jià)格（比如：美國國債CDS利差，通脹保護(hù)債券TIPS、加權(quán)馬歇爾K值等）來研究黃金的定價(jià)模型，通過研究發(fā)現(xiàn)：這些新的宏觀指標(biāo)和資產(chǎn)價(jià)格能更有效的反映相關(guān)的宏觀、市場因子對(duì)黃金價(jià)格的影響和驅(qū)動(dòng)作用，為今后的學(xué)者研究黃金定價(jià)提供一些可供參考的資料，同時(shí)也有利于國內(nèi)相關(guān)投資機(jī)構(gòu)進(jìn)行黃金交易。本文的主要研究結(jié)果包括如下： 在金融危機(jī)期間，本文綜合考慮黃金的大宗商品、貨幣和投資避險(xiǎn)屬性，將黃金價(jià)值分解為：大宗商品基準(zhǔn)價(jià)值、基于匯率的“隱性貨幣價(jià)值”、主權(quán)國家信用違約的風(fēng)險(xiǎn)溢價(jià)，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(duì)其進(jìn)行定價(jià)研究。從黃金的大宗商品、貨幣以及投資避險(xiǎn)屬性出發(fā)，提出黃金的三因素定價(jià)模型，研究表明：美元指數(shù)USDX負(fù)向驅(qū)動(dòng)黃金價(jià)格，大宗商品指數(shù)CRB、美國國債指數(shù)CDS正向驅(qū)動(dòng)黃金價(jià)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(jià)格信息對(duì)黃金價(jià)格影響非常顯著。 通過研究實(shí)際利率與黃金價(jià)格走勢，我們發(fā)現(xiàn)實(shí)際利率預(yù)期較實(shí)際利率本身更能影響黃金的價(jià)格走勢，我們用美國國債利率與通貨膨脹率之差來測度實(shí)際利率，用通脹保護(hù)債券TIPS收益率來測度實(shí)際利率預(yù)期，并通過大樣本實(shí)證研究得出實(shí)際利率預(yù)期的確對(duì)黃金價(jià)格產(chǎn)生非常明顯的負(fù)向影響，同時(shí)還為后來的研究者提供了一種通過黃金價(jià)格走勢反推隱含實(shí)際利率預(yù)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(dòng)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(gòu)造加權(quán)馬歇爾K值來測度全球流動(dòng)性，，并通過對(duì)加權(quán)馬歇爾K值和黃金價(jià)格的實(shí)證研究得出結(jié)論：流動(dòng)性是決定長期黃金價(jià)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(jià)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(xué)位的攻讀也是作者對(duì)資產(chǎn)定價(jià)理論認(rèn)識(shí)的逐步轉(zhuǎn)變和深化過程。作者最初研究的是衍生產(chǎn)品定價(jià)，因此更多的偏向于無套利分析方法。但隨著對(duì)資產(chǎn)定價(jià)的理論研究的深入，特別是本輪金融危機(jī)以來對(duì)資產(chǎn)定價(jià)理論的反思，筆者意識(shí)到很多資產(chǎn)定價(jià)需要跳出無套利分析方法，更多的和宏觀經(jīng)濟(jì)結(jié)合，以避免未來再次出現(xiàn)類似次貸危機(jī)的情況。因此，本論文的寫作，其實(shí)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(shí)的轉(zhuǎn)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(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F831.54;F713.35;F224

【引證文獻(xiàn)】

相關(guān)博士學(xué)位論文 前1條

1 游宗君;中國黃金市場微觀結(jié)構(gòu)研究[D];西南財(cái)經(jīng)大學(xué);2013年

相關(guān)碩士學(xué)位論文 前2條

1 王益虹;黃金價(jià)格與美元匯率走勢關(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

本文編號(hào)：2452935