金融危机期间黄金价格的影响因素研究

作为一种特殊的大宗商品,黄金具有商品、货币和避险的多重属性。在2007年开始的金融危机中,黄金表现出了较强的货币和避险属性,而过去的研究很少有涉及到其避险属性。本文就当前货币体系下的黄金定价问题,综合考虑了黄金的大宗商品、货币和避险属性,将黄金价值分解为:商品基准价值、基于汇率的"隐性货币价值"、主权国家信用违约的风险溢价,并分别以大宗商品CRB指数、美元指数USDX和美国国债CDS利差等资产价格作为代理变量对其进行定价研究。基于向量自回归(VAR)模型的研究表明:美元指数USDX负向驱动黄金价格,大宗商品指数CRB、美国国债指数CDS正向驱动黄金价格;其中大宗商品指数CRB滞后一阶、美元指数USDX滞后一阶、美国国债CDS利差滞后二阶价格信息对黄金价格的影响最显著。

On the Gold Pricing Model during the Financial Crisis

As a special commodity,gold possesses multiple features: as commodity,currency and hedging instrument.Its currency and hedging features are well manifested during this financial crisis since 2007.We encompass the above three features of gold and decompose gold value into the commodity value,currency value and default risk premium.Using CRB index,USDX and U.S.Treasury CDS spread as variables in our VAR model,we find that USDX is negatively correlated with gold price,while CRB and U.S.Treasury CDS spread are positively correlated with gold price.Specifically,one-lagged CRB,one-lagged USDX,and two-lagged U.S.Treasury CDS spread show strong explanation power.Besides,it also states that the volatility of gold price exhibits clustering,long memory,but no asymmetry is identified in our study.