摘要
人民币汇率变动对黄金市场有着重要的影响。文中借助统计模型,利用ADF单整检验、Johansen协整检验、误差修正模型以及脉冲响应函数,实证分析了从1994年1月到2005年7月两次汇率改革之间人民币汇率变动对国际黄金价格的影响。研究结果表明,短期黄金价格的波动受到人民币汇率变动的直接影响,人民币汇率和国际黄金价格之间存在着此消彼长的关系。
The fluctuations of RMB exchange rate play an important role in international gold market. Based on time serial data from January 1994 to August 2005, this paper designs a statistical model and applies the Augented Dickey-Fuller Integration Test, the Johansen Cointegration Test, the Error Correction Model and the Impulse Response Function to make an empirical analysis of impacts of RMB exchange rate fluctuations on international gold price between the two exchange rate reforms. The research result reveals that the fluctuations of RMB exchange rate lead to short-term changes of gold price, while the RMB exchange rate and international gold price may be like the relation that less of one leads to more of the other.
出处
《黄金》
CAS
北大核心
2007年第7期4-7,共4页
Gold
关键词
人民币汇率
黄金价格
实证研究
汇率改革
RMB exchange rate
gold price
empirical study
exchange rate reform
