美国黄金期货与黄金现货互动关系的实证研究

摘要

This paper estabLishes the errOr cOrrectiOn mOdeL( ECM)and the errOr cOrrectiOn mOdeL( ECM-COC)based On the theOry Of hOLding cOsts,and anaLyzes the price transmissiOn reLatiOnship between the gOLd futures market and spOt markets befOre and after the financiaL crisis. The resuLts shOw that the gOLd futures market guides the gOLd spOt market befOre the 2OO7 financiaL crisis,and the price discOvery functiOn Of futures market can be a-chieved . But after the financiaL crisis there is a twO-way reLatiOnship between the gOLd spOt market and gOLd futures markets in the United States. The research aLsO shOws that there exists a LOng-term equiLibrium reLatiOnship be-tween the gOLd futures market and spOt market. ALthOugh there exists an errOr cOrrectiOn mechanism in gOLd futures market and gOLd spOt market ,the adjustment speed Of price restOre equiLibrium in spOt market is faster than the gOLd futures market.%文章通过建立误差修正模型（ ErrOr COrrectiOn MOdeL，ECM）和基于持有成本理论的误差修正模型（ ErrOr COrrectiOn MOdeL COst Of Carry，ECM-COC），对美国黄金市场的期货与现货市场在金融危机前后的互动关系进行了实证分析。结果表明：在2OO7年金融危机前美国黄金期货市场引导黄金现货市场，期货市场的价格发现功能得以实现；在金融风暴后美国黄金现货和期货市场存在双向引导关系；美国黄金期货市场和现货市场之间存在长期均衡关系，期货市场和现货市场均存在误差修正机制，美国现货市场价格恢复均衡的调整速度高于黄金期货市场。