经济新常态下我国黄金价格影响因素分析:基于VAR模型

摘要

在经济新常态下,影响黄金价格因素一直是人们关注的焦点.本文基于我国上海黄金交易所2002~2017年的月度数据,运用逐步回归、协整检验、格兰杰检验、V A R模型和脉冲响应函数,分析影响我国黄金价格波动的因素.研究结果表明:我国的黄金价格与企业商品价格指数、美元汇率、国内生产总值、全国银行间同业拆借7天利率之间有着长期的协整关系;黄金价格是企业商品价格指数的格兰杰原因,但企业商品价格指数不是黄金价格的格兰杰原因.美元汇率、国内生产总值、全国银行间同业拆借7天利率与黄金价格之间没有格兰杰原因;黄金价格波动除了受自身价格的影响外,美元汇率对它的影响最大.%In the new normal economy ,the factors influencing gold price have attracted wide atention in recent years .Based on the monthly data of Shanghai gold exchange from 2002~2017 ,this paper analyzes the factors affecting the gold price in China by using the methods of stepwise regression ,cointegration test , VAR model and impulse response function .The results indicate that there is a long-term cointegration relationship between China's gold price and the corporate goods price index ,US dollar exchange rate ,GDP , the interbank rate of 7 days;gold price is the granger reason for the corporate goods price index ,while the corporate goods price index isn't the granger reason for gold price .There is no granger reason for US dollar exchange rate ,GDP ,the interbank rate of 7 days and gold price;gold price fluctuation is most affected by US dollar exchange rate ,beside gold price .