宏观经济对国际黄金市场低频波动的影响研究——基于Spline-GARCH模型的分析

Study on the Effect of Macro-economy on Low-frequency Volatility of Global Gold Market Based on Spline-GARCH Model

本文采用Spline-GARCH模型分离出国际黄金市场的低频波动,放宽了传统波动模型非条件波动的常数限制,通过构造与宏观经济指标具有相同数据频率的低频波动数据,结合事件窗口分析黄金市场低频波动与宏观经济波动的关系。研究发现,宏观经济波动通过风险传染能够引起国际黄金市场的低频波动,两者之间的波动呈正相关,金融危机的发生使其相关程度提高;金融危机发生后CPI变动、工业生产指数下降、美元指数上升以及失业率上升是国际黄金市场低频波动加剧的原因,其中美元指数上升影响最大,而美元指数和失业率下降使低频波动下降。在黄金市场步入熊市之际,本文运用前沿性计量模型首次分离出黄金现货市场的低频波动,研究结论对黄金市场管理与投资具有重要的参考价值。

This paper uses the Spline-GARCH model to obtain the low-frequency volatility of global gold market with- out being constrained by traditional setting of unconditional volatility as a constant. Using the low-frequency volatility data that share the same frequency of macroeconomic indicators, we are able to analyze the relationship between the tow-frequency volatility of gold market and macroeconomic volatility by event window study. The results suggest that through risk contagion macroeconomic volatility can cause low-frequency volatility of gold market, and they are positively related and strengthened after the financial crisis. Volatility in gold market has been intensified by the changing CPI, falling industrial production in- dex, rising dollar index and unemployment rate, among which rising dollar index is the major cause, while falling dollar index and unemployment rate have weakened the volatility. Facing a bearish gold market, this research is of great significance for regulation and investment decisions in gold market by adopting the frontier econometric model to firstly identify the low-fre- quency volatility of gold spot market.