基于Markov机制转换模型的黄金价格周期波动研究

Study on Gold Price Cyclical Fluctuation Based on Markov Switching Model

自20世纪70年代以来,黄金价格波动日益频繁。基于Markov机制转换模型对1975-2011年间黄金价格波动的特征进行分析,发现黄金价格波动在不同的机制(上涨、震荡状态、下跌)间周期转换。各种机制的平均持续时间不同,其中黄金价格上涨或者下跌的平均持续期是19周左右,黄金价格维持震荡状态的平均持续期约为24周,持续时间较长。另外,黄金价格波动所处的波动机制由诸多因素引起,但最重要的因素是由当时的世界经济状况,尤其是美国经济状况所决定的。

The gold price fluctuations have become increasingly frequent since the 1970s. This paper studies the characteristics of gold price fluctuation during 1975 -2011 based on the Markov switching model. The study found that： l ）the volatility of the price of gold is located in the different regions （ up, horizontal shock, down） ; 2） the average duration of the three regions ap- pears diferent; and 3）the regions of gold price fluctuations are caused by many factors, but the most important factor is the world economic situation, especially the U. S. Economy.