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黄金价格对经济政策不确定性冲击的动态响应模式(英文) 被引量:4

Dynamic response pattern of gold prices to economic policy uncertainty
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摘要 基于带有随机波动率的时变参数结构向量自回归模型(TVP-SVAR-SV),采用2006年8月至2017年12月的月度数据,考察经济政策不确定性对黄金价格的时变效应及国别差异。结果表明:全球经济政策不确定性冲击对黄金价格的影响随着时间推移而变化。动态冲击效应在2006~2008年以及2013~2017年更多表现为正向影响,而在2009~2012年则主要为负,显示黄金的避险能力并不稳定,因时而异。此外,经济政策不确定性对黄金价格的冲击效应具有显著的国别差异,尤其是在2008年国际金融危机、2011年欧债危机以及2017年特朗普就任美国总统3个时期。在国际金融危机时期,大多数国家的经济政策不确定性对黄金价格的冲击具有正向影响;在欧债危机时期,样本国家的经济政策不确定性对黄金价格的影响主要为负;而在特朗普就任美国总统时期,冲击效应在大多数国家呈正负交替态势。 Based on a time-varying parameter structural vector autoregression with stochastic volatility(TVP-SVAR-SV)model,the time-varying effects and country differences of economic policy uncertainty(EPU)on gold prices from August 2006 to December 2017 were examined.The results show that the effects of global economic policy uncertainty(GEPU)shock on gold prices change over time.The changes were positive during 2006-2008 and 2013-2017,while the impacts were negative during 2009-2012,implying that the efficiency of gold as a safe haven is not stable and depends on economic conditions.There are significant country differences regarding the impact of EPU on the price of gold,particularly during the international financial crisis,European debt crisis and Trump election.During the international financial crisis,EPU exerts a positive impact on gold prices in most countries.During the European debt crisis,the impact of EPU on gold prices is mainly negative in the examined countries.While during the Trump election,the impact displays positive and negative alternating in most countries.
作者 柴杲 游达明 谌金宇 Gao CHAI;Da-ming YOU;Jin-yu CHEN(School of Business,Central South University,Changsha 410083,China;Institute of Metal Resources Strategy,Central South University,Changsha 410083,China)
出处 《Transactions of Nonferrous Metals Society of China》 SCIE EI CAS CSCD 2019年第12期2667-2676,共10页 中国有色金属学报(英文版)
基金 Projects(71633006,71874210,71874207,71573282) supported by the National Natural Science Foundation of China
关键词 经济政策不确定性 黄金价格 时变影响 TVP-SVAR-SV模型 economic policy uncertainty gold price time-varying effects TVP-SVAR-SV model
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