【摘要】：黃金既是貴金屬，又是硬通貨，它能保證投資者的資產(chǎn)不會被通貨膨脹侵蝕，而且投資黃金不易像投資股票和房地產(chǎn)那樣會遭遇市場崩盤，因而黃金投資深受人們的喜愛，研究黃金價格的走勢也就更有了實際意義。通過對黃金價格收益率分布特征的分析，本文首先采用非對稱的GARCH模型——TGARCH模型來擬合2007年1月1日至2013年4月30日之間的黃金價格日收益率，進(jìn)而通過該模型對黃金價格未來10期的取值進(jìn)行了短期預(yù)測，實證研究表明該模型在短期預(yù)測方面有較強(qiáng)的實用價值。然后，本文運用Copula函數(shù)理論分別探討了上證指數(shù)、人民幣與美元的匯率、貨幣發(fā)行量、GDP對黃金價格的影響，給出了它們之間的一致性測度和尾部相關(guān)關(guān)系。最后，本文利用2003年1月至2013年5月之間的月度數(shù)據(jù)，通過多變量時間序列模型——VAR模型擬合了黃金價格及其影響因素之間的關(guān)系，并基于該模型分析了黃金價格如何受各因素的影響及未來的可能走勢。本文研究表明，黃金價格未來短期或中長期的取值都很難達(dá)到2011年經(jīng)多年暴漲之后的歷史最高水平。造成黃金價格下跌的原因有很多，如全球經(jīng)濟(jì)回暖弱化了黃金的避險需求，美國經(jīng)濟(jì)回暖、美國寬松貨幣政策的結(jié)束導(dǎo)致美元走強(qiáng)，從而引發(fā)以美元計價的黃金價格下跌，另外黃金ETF大幅減倉，也引發(fā)投資者跟風(fēng)拋出，，引發(fā)黃金恐慌性下跌。人民幣對美元匯率持續(xù)走強(qiáng)影響國內(nèi)金價走低。綜上，估計未來相當(dāng)長一段時間的走勢也不容樂觀。
[Abstract]:Gold is both a precious metal and a hard currency. It guarantees that investors' assets will not be eroded by inflation, and that investing in gold is not as vulnerable to market collapse as it is in stocks and real estate, so gold investment is popular. Study the trend of gold price also has practical meaning more. Based on the analysis of the distribution characteristics of gold price yield, this paper first uses the asymmetric GARCH model, TGARCH model, to fit the daily return rate of gold price between January 1, 2007 and April 30, 2013. Furthermore, the model is used to predict the value of gold price in the next 10 periods. The empirical study shows that the model has strong practical value in short-term forecasting. Then, using the theory of Copula function, this paper discusses the influence of Shanghai Stock Exchange Index, RMB / US dollar exchange rate, and the amount of currency issue on the gold price, and gives the consistency measure and tail correlation between them. Finally, using the monthly data from January 2003 to May 2013, the paper uses the multivariable time series model, VAR model, to fit the relationship between gold price and its influencing factors. Based on the model, the paper analyzes how the gold price is affected by various factors and the possible trend in the future. This paper shows that gold prices in the short or long term are difficult to reach the highest level in 2011 after years of soaring. There are many reasons for the fall in gold prices. For example, the global economic rebound has weakened the demand for gold safe havens, the US economy has recovered, and the end of US loose monetary policy has led to a stronger dollar, which has triggered a fall in the dollar-denominated gold price. In addition, gold ETF sharply reduced positions, but also triggered investors to follow the trend to sell, triggered a panic fall in gold. The renminbi continued to strengthen against the dollar, affecting the domestic gold price lower. In summary, it is estimated that the trend for a long period of time in the future is not optimistic.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.54;F224;O211.61

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