国际现货白银价格波动的影响因素研究

Economic factors influencing the price fluctuation of the silver spot

基于2008年1月—2014年12月的国际经济月度数据对影响现货白银价格波动的影响因素进行实证研究。结果表明,美国失业率、布伦特原油、美国非农数据分别每增加1个百分点,现货白银价格波动分别增加0.634、0.666、0.053个百分点;美元指数、美国ism制造业指数每增加1个百分点,现货白银价格波动则分别减少1.103、0.529个百分点。在95%的置信区间下,美国第二轮量化宽松政策对现货白银的价格波动存在着显著影响。美元指数、美国ism制造业指数的1阶或多阶滞后对现货白银价格波动存在显著的负向冲击;美国失业率、布伦特原油价格、美国非农数据的1阶或多阶滞后对现货白银的价格波动存在显著的正向冲击。

This paper adopts the international economy monthly data from January 2008 to December 2014 to make empirical study on spot silver price fluctuations. Results show that if the U.S. unemployment rate, the Brent crude oil and the U.S. non-agricultural data increase respectively by 1 percent, and the spot silver price fluctuations will increase by 0.634, 0.666 and 0.053 percent respectively; the dollar index and ism manufacturing index increased respectively by 1 percent, the spot silver price fluctuations will reduce by 1.103 and 0.529 percentage. Under the 95% confidence interval, the second quantitative easing policy of the United States has a significant effect on the price fluctuations of spot silver. The first-order or multi-order lag of the dollar index, the U.S. ism manufacturing index have a significant negative impact on the spot silver price fluctuations; the first-order or multi-order lag of the U.S. unemployment rate, Brent crude oil price and the United States non-agricultural data have a significant positive impact on the spot silver price fluctuations.