“上海金”国际定价权的实证研究

Empirical Research on Shanghai Gold International Pricing Right

本文运用格兰杰因果检验、VAR模型、脉冲响应以及方差分解等方法,分析研究2016年7月1日至2018年12月31日期间,“上海金”基准价格与“伦敦金”基准价格、纽约黄金期货价格之间的动态关系。实证结果发现:“上海金”与“伦敦金”、“纽约金”之间均呈现双向Granger因果关系,可是“上海金”的价格发现能力最弱,初具黄金国际定价权;“伦敦金”与“纽约金”之间呈现单向Granger因果关系,后者是前者的Granger因果关系,“纽约金”的价格发现能力最强,主导世界黄金价格走势,拥有黄金定价权。

With Granger test, VAR model, impulse response and variance decomposition methods, the author selects data from July 1, 2015 to December 31,2018 and analyzes dynamic relation among Shanghai Gold, London Gold basis price and New York gold future price. The empirical tests find that Shanghai Gold and London Gold have two-way Granger relationship while Shanghai Gold has weak pricing ability and initial international pricing right. London Gold and New York Gold have one-way Granger relation, and the latter is the Granger reason of the former. New York Gold has the strongest pricing ability, leads international gold price tendency and has pricing right.