摘要
在国际金价长期走势研究中,美元要素是非常值得重视的。本文主要以美元货币供应量(M2)、联邦利率、美国消费者物价指数和美元名义有效汇率四个指标作为美元因素的反映,分别对它们进行经济逻辑和数据关联性分析,剔除利率后采用协整模型和岭回归模型得出了金价的长期决定方程。研究结果表明,美元因素与金价确实存在很大的相关性,其中美元实际汇率是影响金价长期变迁最主要的因素。因此,建议黄金长期投资者关注美元货币供应量和汇率的变化,建议我国国际储备管理层关注美元国际货币地位的变化并以黄金作为对冲外汇风险的重要工具。
US dollar is a vital factor on the research of world gold price,however,we cannot find the literature of the gold price research which concentrated on US dollar-related aspects.So we analyze the economic logical deduction,the correlation between US dollar parts and the world gold price in a long historical view and then build up a cointegration equation to find how the US dollar factors can affect the long-term price.In order to represent US dollar factors,we choose four variables：the US currency supply M2,interest rates,CPI index,and nominal effective exchange rate.The conclusion indicates the world gold price and US dollar really have an obvious cointegration.We suggest investors pay more attention to the dollar supply and its exchange rate movement.At national level,we advice the managers of sovereign wealth funds caution the dollar＇s status of world currency and hedge dollar＇s depreciation risk by tool of the gold.
出处
《中国流通经济》
CSSCI
北大核心
2010年第8期70-73,共4页
China Business and Market
基金
北京市学科与研究生教育数量经济重点学科建设专项基金(项目编号:PXM2010_014212_093659)资助
