郑明贵(1978-),男,安徽颍上人,教授,博士生导师,从事资源经济与管理方面的研究工作。mgz268@sina.com |
收稿日期: 2020-11-07
修回日期: 2021-03-08
网络出版日期: 2021-10-11
基金资助
国家社会科学基金重点项目“中国战略性矿产资源国家安全评估与预警系统研究(2020-2050)”(18AGL002)
国家自然科学基金重点项目“大数据环境下的评价理论、方法和应用”(71631006)
江西理工大学重大项目培育计划“大数据驱动下国家矿产资源安全战略管理现代化研究”(19ZDPY-08)
江西省青年井冈学者奖励计划联合资助
Research on Influencing Factors of International Gold Futures Price
Received date: 2020-11-07
Revised date: 2021-03-08
Online published: 2021-10-11
全球政治经济环境的不稳定性会造成国际黄金期货价格的剧烈波动。为探究国际黄金期货价格的主要影响因素,利用2000—2019年国际黄金期货月度价格数据,运用向量自回归(VAR)模型、向量误差修正(VECM)模型、协整检验、脉冲响应和方差分解进行实证研究。结果表明:国际黄金期货价格与地缘政治风险、经济政策不确定性、美元指数、利率水平、美国通货膨胀水平和全球黄金供需差值存在长期均衡关系,并且美国通货膨胀水平和美元指数对国际黄金期货价格影响最为显著。地缘政治风险和经济政策不确定性在短期内对国际黄金期货价格产生正向冲击,同时经济政策不确定性的正向影响周期更长。
郑明贵 , 曹天琦 , 曾健林 . 国际黄金期货价格影响因素研究[J]. 黄金科学技术, 2021 , 29(4) : 510 -524 . DOI: 10.11872/j.issn.1005-2518.2021.04.194
Based on the dual functions of commodity and currency,this paper takes the great influence of gold price fluctuation on the world economy.At present,most of the literatures analyze the influencing factors of international gold futures price fluctuation from three aspects of supply and demand,finance and index.However,due to the instability of the global political and economic environment,international gold futures prices fluctuate violently.Few scholars consider the impact of geopolitical risks and economic policy uncertainty on the price fluctuations of international gold futures.At the same time,few scholars combine the above two factors with other variables to analyze the influencing factors of international gold futures price.In order to better explore the main influencing factors of international gold futures price,this paper used the monthly price data of international gold futures from 2000 to 2019,using VAR model,VECM model,cointegration test,impulse response and variance decomposition to conduct empirical research.At the same time,Granger causality test was used to analyze the causal relationship between the variables and the international gold futures price.The analysis focuses on the results of impulse response,which is different from the method of orthogonal impulse response in traditional dynamic analysis.In this paper,the generalized impulse response analysis method was used.The results show that there is a long-term equilibrium relationship between international gold futures price and geopolitical risk,economic policy uncertainty,dollar index,interest rate level,U.S. inflation level and the D-value between global gold supply and demand,and dollar index have the most significant impact on international gold futures price.Geopolitical risks and economic policy uncertainties have a positive impact on the international gold futures price in the short term,while the positive impact of economic policy uncertainties is longer.This paper provides a better theoretical basis for predicting the trend of gold price.
http://www.goldsci.ac.cn/article/2021/1005-2518/1005-2518-2021-29-4-510.shtml
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