本文選題：黃金價(jià)格 + 格蘭杰檢驗(yàn)��； 參考：《湖北大學(xué)》2013年碩士論文

【摘要】：馬克思說(shuō)過(guò)：“貨幣天然不是金銀,金銀天然是貨幣。”黃金一直以來(lái)都是財(cái)富的象征,并且肩負(fù)著貨幣的職能。20世紀(jì)70年代,隨著布雷頓森林體系的崩潰,黃金退出了國(guó)際貨幣體系的歷史舞臺(tái),但是其貨幣屬性并未消失。在通貨膨脹、物價(jià)高漲、國(guó)際地緣政治復(fù)雜的情況下,投資黃金是對(duì)抗通脹、避險(xiǎn)保值的有效工具,是經(jīng)濟(jì)蕭條時(shí)期的避風(fēng)港。近年來(lái),黃金價(jià)格一路高漲,尤其是2008年以后,受?chē)?guó)際金融危機(jī)、美國(guó)多次啟動(dòng)量化寬松政策勢(shì)等影響,黃金價(jià)格屢創(chuàng)新高,出現(xiàn)了大幅波動(dòng)。因此準(zhǔn)確地把握黃金價(jià)格走勢(shì)與波動(dòng)特征是十分有必要的,是進(jìn)行黃金投資的焦點(diǎn)問(wèn)題。 本文結(jié)合定性和定量?jī)煞N方法研究了我國(guó)的黃金市場(chǎng)。首先,運(yùn)用定性地方法分析了影響黃金價(jià)格的一系列因素。然后對(duì)影響我國(guó)黃金價(jià)格的因素做了實(shí)證分析。根據(jù)格蘭杰因果檢驗(yàn),得出美元指數(shù)、石油價(jià)格與我國(guó)黃金價(jià)格之間有著單向因果關(guān)系,通脹率、上證綜合指數(shù)與黃金價(jià)格之間不存在格蘭杰因果關(guān)系。接著從黃金價(jià)格收益率方面對(duì)我國(guó)黃金市場(chǎng)定量地做了實(shí)證研究,并與倫敦市場(chǎng)的黃金價(jià)格波動(dòng)進(jìn)行了對(duì)比,來(lái)分析我國(guó)黃金市場(chǎng)存在的問(wèn)題。采用GARCH族模型來(lái)分析黃金市場(chǎng)收益率的波動(dòng)特征,得出我國(guó)黃金市場(chǎng)價(jià)格日收益率序列平穩(wěn)且具有“尖峰厚尾”性質(zhì)和波動(dòng)的集聚性特征,以及外部沖擊引起黃金市場(chǎng)的波動(dòng)影響時(shí)間會(huì)比較長(zhǎng),持久性特征明顯；我國(guó)黃金市場(chǎng)存在非對(duì)稱效應(yīng),即利好消息對(duì)黃金市場(chǎng)的沖擊比利空消息對(duì)黃金市場(chǎng)的沖擊的波動(dòng)程度要大；并且我國(guó)黃金市場(chǎng)的均衡收益水平為負(fù),市場(chǎng)風(fēng)險(xiǎn)較倫敦市場(chǎng)來(lái)說(shuō)要大。 基于上述分析的結(jié)果,我國(guó)黃金市場(chǎng)起步比較晚,相關(guān)功能有待完善。本文試圖提出幾點(diǎn)黃金投資建議,合理引導(dǎo)投資者行為,避免非理性的投機(jī)行為對(duì)市場(chǎng)造成過(guò)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(xué)位授予單位】：湖北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.54

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