黄金价格影响因素的实证分析∗

摘要

For the purpose of studying the main influencing factors of gold price at present stage, qualitative analysis is conducted firstly according to the previous trends of gold price and impact variables, and then the main influencing factors of gold price at present stage are selected based on related theories. The monthly data from January, 2001 to March, 2016 are selected, and empirical analysis is conducted by establishing VAR model. The study finds that:the inflation rate has not correlation to gold price at that stage; the US Dollar Index and Federal Benchmark Interest Rate have negative correlation with gold price, in which US Dollar Index has the greatest influence on gold price; the Dow Jones Industrial Average and the price of crude oil have positive correlation with gold price.%以研究现阶段黄金价格主要影响因素为目的，先结合黄金价格与影响变量以往走势对影响因素进行定性分析，然后基于相关理论筛选出现阶段影响黄金价格的主要因素。选取2001年1月—2016年3月的月度数据，建立向量自回归模型进行实证分析。研究发现：该阶段通货膨胀率与黄金价格呈不相关关系；美元指数和美国联邦基金利率与黄金价格呈负相关关系，其中美元指数对黄金价格影响最为显著；道琼斯工业指数和原油价格与黄金价格呈正相关关系。