干预分析模型对现货黄金价格的解释与预测

摘要

By observing the spot gold prices in the past decade, it is found that it remained a very low increasing rate from 2002 to early 2007. But since then,the price had kept going up rapidly until the end of 2011. During the period^ significant economic events occurred,namely the subprime mortgage crisis,QE1 ,QE2 and the European sovereign debt crisis,all of which have been imposing great impact on the global economy,as well as the spot gold price. The paper treats the four events as intervening variables, establishing a time series intervention analysis model for the spot gold price from 2002 to 2012. After comparison and analysis,it turns out that either in fitting the past gold price or forecasting the future gold price,the intervention analysis model is more accurate than the pure ARIMA model.%观察过去10年现货黄金价格发现,从2002年到2007年初,黄金价格一直增长缓慢,而2007年之后则开始大幅攀升,到2011年底又开始逐步回落.在这期间发生了4次重大经济事件(金融危机、QE1、QE2以及欧债危机),对世界经济都产生了深刻影响,并影响到黄金价格走势.将这4次重大经济事件作为干预变量,对2002-2012年的现货黄金价格建立干预分析模型.经比较分析,不管是拟合过去还是预测未来的黄金价格,干预分析模型都比经典的纯ARIMA模型更准确.