黄金价格影响因素的实证研究——基于VAR模型

摘要

With the opening of Chinese gold market, the opportunities of gold-investment are more common for all families in our country, the topic about how to make gold investment gradually become a popular topic.This article put forward some investment advice by the theoretical analysis and empirical analysis of the the gold price. This article is based on the monthly data of London gold prices and other related economic indicators from 2000 to 2014, then get the data pass through the test of multicollinearity, the stability test, the cointegration test, and generate a vector auto-regressive model, finally make an empirical analysis of the factors that affect the price of gold, and put forward some investment advice for investors. The innovative advice are including: if the investment is mainly spot trading, we need to focus on the dollar index, and oil price ;if the investment is mainly forward transactions, we need to focus on the dollar index and the dow Jones index. At the same time we also need to pay attention to the investment structure, in order to hedge risk realize the aim of hedging.%随着国内黄金市场的不断开放,我国投资黄金的渠道进一步被拓宽,关于如何进行黄金投资逐渐成为热门的话题.本文通过对黄金价格影响因素的理论分析和实证分析,提出了一些投资建议. 在研究方法上,本文基于2000—2014年的伦敦黄金价格以及其他相关经济指标的月度数据,将数据进行季节调整后依次通过多重共线性检验、平稳性检验、协整检验等,建立了VAR向量自回归模型,通过脉冲响应函数、方差分解等方法,实证分析了黄金价格的影响因素,从而提出了相应的投资建议.创新性的建议在于:在黄金的现货交易上要重点关注美元指数、石油价格这两个指标;而在黄金远期交易上则要重点关注美元指数和道琼斯指数这两个指标.同时要注意现货交易和远期交易的投资结构,以对冲风险,实现套期保值.