本文關(guān)鍵詞：美元匯率、中國(guó)股市對(duì)黃金價(jià)格影響的實(shí)證分析　出處：《山東大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 黃金價(jià)格 美元匯率 中國(guó)股市 協(xié)整檢驗(yàn) 時(shí)間序列模型

【摘要】：進(jìn)入二十一世紀(jì)以來,黃金價(jià)格經(jīng)歷了大幅波動(dòng),先后從世紀(jì)初的200多美元/盎司一路狂飆到1920美元/盎司的歷史最高點(diǎn),又在2013年6月下跌到1180美元/盎司,創(chuàng)造了32年以來的最大跌幅。黃金價(jià)格的劇烈波動(dòng),不僅導(dǎo)致了眾多中小投資者損失慘重,同時(shí)也進(jìn)一步加劇了金融市場(chǎng)的不穩(wěn)定性。在這一形勢(shì)下,黃金價(jià)格的未來趨勢(shì)將如何變動(dòng),再次成為了眾多金融投資者和學(xué)術(shù)界研究的熱點(diǎn)。本文也從兩個(gè)方面對(duì)黃金價(jià)格進(jìn)行了研究：一是黃金價(jià)格的影響因素；而是黃金價(jià)格的未來變化。 首先,黃金價(jià)格的影響因素眾多,影響程度在不同時(shí)期內(nèi)也不一樣,本文將其分為三類：長(zhǎng)期影響因素、中期影響因素和短期影響因素。在長(zhǎng)期內(nèi),黃金價(jià)格主要由存儲(chǔ)量決定；在中期內(nèi),黃金價(jià)格主要受供求關(guān)系的影響；而在短期內(nèi),影響金價(jià)變動(dòng)的因素較多,主要有美元匯率、石油價(jià)格、股票市場(chǎng)、國(guó)際形勢(shì)等。本文對(duì)三個(gè)時(shí)期內(nèi)各影響因素的作用機(jī)制分別給出了理論分析,并選取美元匯率、中國(guó)股票市場(chǎng)兩個(gè)因素為代表,利用協(xié)整檢驗(yàn)對(duì)兩因素與黃金價(jià)格之間的長(zhǎng)期均衡關(guān)系進(jìn)行了實(shí)證分析,發(fā)現(xiàn)：美元匯率與黃金價(jià)格之間存在著長(zhǎng)期的均衡關(guān)系,中國(guó)股市與黃金價(jià)格之間的長(zhǎng)期均衡關(guān)系不明顯。 其次,在分析黃金價(jià)格影響因素的基礎(chǔ)上,本文利用1986-2014年之間黃金價(jià)格的時(shí)間序列數(shù)據(jù)對(duì)未來六個(gè)月的黃金價(jià)格走勢(shì)進(jìn)行了預(yù)測(cè)。以往在利用ARMA時(shí)間序列模型進(jìn)行預(yù)測(cè)過程中,只考慮了時(shí)間序列本身包含的信息,而未能充分考慮到影響因素未來變化的影響,導(dǎo)致預(yù)測(cè)結(jié)果不理想。本文在傳統(tǒng)ARMA模型的基礎(chǔ)上,充分考慮到美元匯率對(duì)黃金價(jià)格的重要影響,建立了組合時(shí)間序列預(yù)測(cè)模型,對(duì)未來金價(jià)進(jìn)行了預(yù)測(cè),結(jié)果顯示黃金價(jià)格在未來短期內(nèi)會(huì)出現(xiàn)上升,并據(jù)此結(jié)果對(duì)投資機(jī)構(gòu)和國(guó)家分別給出了可行性的建議。
[Abstract]:Since twenty-first Century, the price of gold has experienced a sharp fluctuation, from the beginning of the century the $more than 200 / ounce soared to $1920 / ounce, the highest point in history, and in June 2013 fell to 1180 U.S. dollars / ounce, creating the largest decline in 32 years. Sharp fluctuations in the price of gold, not only led to a large number of small and medium-sized investors suffered heavy losses, but also exacerbated the instability of financial markets. In this situation, how the future trend of the price of gold will change, a large number of financial investors and once again become a hot academic research. This paper from the two aspects of the price of gold has been studied: one is the influence factors of the price of gold; future but changes in the price of gold.
First of all, there are many factors affecting the price of gold, the influence degree in different periods are not the same, this paper will be divided into three categories: long-term factors, factors influencing factors and the short-term effect of interim. In the long term, the price of gold is mainly determined by the amount of storage; in the medium term, the price of gold is mainly affected by the relationship between supply and demand; but in the short term, there are many factors that affect the price changes, mainly the dollar exchange rate, oil price, stock market, international situation. The mechanism of the three periods of each factor were analyzed in theory, and the selection of the dollar, China stock market two factors represented by using cointegration test the long-term equilibrium relationship between the two factors and the price of gold has carried on the empirical analysis, found that there is a long-term equilibrium relationship between the dollar and gold price, between the stock market and long-term China gold price The equilibrium relationship is not obvious.
Secondly, based on the analysis of factors affecting the gold price, this paper uses the time series data of 1986-2014 years between the price of gold for the future trend of the six months the price of gold was predicted. In the past, the use of ARMA time series model in the prediction process, only consider the time series itself contains information, but failed to give full consideration to the impact of the influence factors of future changes, the forecasting results are not ideal. Based on the traditional ARMA model, considering the important influence of the dollar exchange rate on the price of gold, a combination of time series forecasting model, to predict the future price of gold, gold prices rise results show that in the near future, and according to the results the investment institutions and countries are given suggestions.

【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F837.12;F832.51;F832.54

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