本文選題：黃金　切入點：美元指數(shù)　出處：《中國科學(xué)技術(shù)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：布雷頓森林體系之后,黃金的貨幣職能逐漸的弱化,但其商品和金融的屬性逐漸突出,并因其保值功能而成為了各個國家的央行的重要外匯儲備,引發(fā)各國金融調(diào)控監(jiān)管等部門對于黃金價格走勢的關(guān)注,另外,黃金因為價值穩(wěn)定且流動性高,成為了投資者重點關(guān)注的投資標的。黃金價格的變動與美元匯率的變動有較大的關(guān)系,一方面是因為黃金主要由美元計價,直接受美元影響較大,另外一方面,因為黃金和美元都有避險功能,具備相互替代的作用,使得二者存在相依關(guān)系。尤其近日,特朗普強勢政策存疑,黃金價格和美元的關(guān)系再次引起市場參與者的關(guān)注。黃金價格和美元之間聯(lián)動關(guān)系的研究一直非常重要,已有文獻大多基于線性相關(guān)系數(shù)、Granger因果關(guān)系檢驗和Copula模型等進行分析。本文則基于分位點相協(xié)測度對上述相依關(guān)系進行實證研究,在分位點相協(xié)回歸模型的基礎(chǔ)上,構(gòu)建了時變分位點相協(xié)回歸模型和局部多項式方法給出了黃金價格和美元指數(shù)之間的上尾和下尾的時變相依關(guān)系,并進一步的針對金融危機背景下的黃金價格和美元指數(shù)的相依關(guān)系以及黃金價格和各國美元名義匯率的相依關(guān)系進行了研究。針對長時段的黃金價格和美元指數(shù)相依關(guān)系的實證結(jié)果證明,在大部分時間,黃金價格和美元指數(shù)都存在負相關(guān)關(guān)系,然而,在發(fā)生非常事件的特殊時期,二者的下尾和上尾相依系數(shù)會明顯大于1,即美元與黃金價格呈現(xiàn)正向關(guān)系,如政治格局變換、戰(zhàn)爭爆發(fā)和經(jīng)濟大波動等時期,這一點在不同的分位點水平上都得到了相同的結(jié)論。另外,本文還結(jié)合相應(yīng)的政治和經(jīng)濟背景對黃金價格和美元指數(shù)的相關(guān)關(guān)系的結(jié)構(gòu)性變化進行了原因分析。本文還選取了金融危機這一特殊事件作為背景進行重點研究,發(fā)現(xiàn)在正常時期,黃金與美元指數(shù)和各國的美元名義匯率在極端尾部是負相關(guān)的。但在金融危機期間由于投資者的風險厭惡程度增加,這一關(guān)系發(fā)生改變,兩者在極端尾部處將表現(xiàn)出強的正相關(guān),即在極端市場的情況下美元匯率和黃金價格是同漲同跌的。另外,我們還發(fā)現(xiàn)這種危機期間的正相關(guān)在極端市場的情況下更明顯,市場相對平穩(wěn)時這種正相關(guān)趨于消失。本文的研究結(jié)果為投資者改善金融危機期間利用黃金對沖美元提供了依據(jù),對政府政策的設(shè)立也具備一定的參考價值,對于投資者把握黃金的走勢和風險度量具備一定的參考意義。目前來看,戰(zhàn)爭的影響因素較大,但是由于主.戰(zhàn)國家是美國本身,因此無法構(gòu)成美元和黃金價格呈現(xiàn)正向相關(guān)關(guān)系的基礎(chǔ),另外,由于美國的軍費開支預(yù)期較大,人們包括各國中央政府對美元的信心大概率會下行,因此,結(jié)合本篇研究結(jié)果,預(yù)計美元指數(shù)下降概率較大,黃金價格上漲趨勢可持續(xù)。
[Abstract]:After the Bretton Woods system, the monetary function of gold gradually weakened, but its commodity and financial attributes gradually prominent, and because of its preservation function, became the central bank of each country's important foreign exchange reserves. It has aroused concern about the trend of gold prices in various countries, such as financial regulation and regulation. In addition, because of its stable value and high liquidity, Gold price changes have a greater relationship with changes in the exchange rate of the US dollar. On the one hand, gold is mainly valued in US dollars, which is directly influenced by US dollars. On the other hand, Because gold and the dollar are both safe havens and a substitute for each other, they are dependent on each other. Especially in recent days, Trump's strong policy has been in doubt. The relationship between the price of gold and the dollar has once again attracted the attention of market participants. The study of the linkage between gold prices and the dollar has been very important. Most of the literatures are based on linear correlation coefficient Granger causality test and Copula model. In this paper, a time-varying locus coincident regression model and a local polynomial method are constructed to give the time-dependent relationships between the upper and lower tail of the gold price and the dollar index. Furthermore, the dependence of gold price and dollar index under the background of financial crisis and the dependence of gold price and nominal exchange rate of various countries are studied. The empirical results of dependent relationships prove that, For most of the time, there is a negative correlation between the gold price and the dollar index. However, in the special period of the extraordinary event, the dependency coefficient between the bottom end and the upper end of the gold price is obviously greater than 1, that is, the dollar and the gold price show a positive relationship. Such as the political pattern changes, the outbreak of war and economic fluctuations, and so on, this point at different loci level has reached the same conclusion. This paper also analyzes the structural changes of the correlation between gold price and the dollar index in the light of the corresponding political and economic background. This paper also selects the special event of financial crisis as the background to carry on the key research. It was found that in normal times gold was negatively correlated with the dollar index and the nominal exchange rate of the dollar at the extreme end. But that relationship changed during the financial crisis as investors' risk aversion increased. There is a strong positive correlation between the two at the extreme end, that is, in extreme markets, where the dollar and gold prices rise and fall. In addition, we find that the positive correlation during this crisis is more pronounced in extreme markets. This positive correlation tends to disappear when the market is relatively stable. The results of this paper provide a basis for investors to use gold to hedge US dollars during the financial crisis, and also have a certain reference value for the establishment of government policies. It is of certain reference significance for investors to grasp the trend of gold and measure the risks. At present, the factors of the war are relatively large, but because the war country is the United States itself, Therefore, it is impossible to form the basis for the positive correlation between the dollar and gold prices. In addition, because the US military expenditure is expected to be large, people, including the central governments of various countries, will have a large probability that confidence in the US dollar will decline. Therefore, combined with the results of this study, Expected dollar index decline probability is big, the gold price rises the trend to be sustainable.
【學(xué)位授予單位】：中國科學(xué)技術(shù)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F831.54;F837.12

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