国际黄金收益与国际主要金融指标之间的响应研究

Research on the Response between International Gold Earnings and Major International Financial Indicators

本文以黄金和其他主要国际金融指标之间的响应关系为研究对象,探讨自2008年全球金融危机爆发后迄今十余年来出现的所谓“商品金融化”现象是否确立。在实证操作上采取标普500指数及其波动率(代表股票市场)、金融市场压力程度(代表利率市场)、西德州原油指数(代表原材料商品市场)和贸易加权美元指数(代表货币市场)五种主要国际金融指标,以最小二乘法和稳健回归法作为全面检验模型进行显著性分析。为避免金融序列的异质冲击和单位根影响,我们对所有指标变量进行数据转化,其中EGARCH(1,1)模型能够很好地消除股票波动率的条件异方差性。为避免实证期间金融环境可能会有所变化,我们进行Bai-Perron多元结构断点检验。为避免两种检验模型受到随机误差项的影响导致判定结果可能不一致,我们加入BPG检验和White检验。最后,结果表明:黄金作为极特殊的大宗商品,具备金融化现象的角色是肯定的。

Based on the response relationship between gold and other major international fi nancial indicators,this paper discusses whether the so-called"commodity fi nancialization"phenomenon has been established since the outbreak of the global fi nancial crisis in 2008.In the empirical operation,fi ve major international fi nancial indicators,namely S&P 500 index and its volatility(representing the stock market),financial market pressure(representing the interest rate market),West Texas crude oil index(representing the raw material commodity market)and trade weighted dollar index(representing the money market),are adopted,and the least square method and robust regression method are used as comprehensive test models for signifi cance analysis.In order to avoid the heterogeneous impact and unit root effect of fi nancial series,we transform the data of all index variables.EGARCH(1,1)model can eliminate the conditional heteroscedasticity of stock volatility.In order to avoid that the fi nancial environment may change during the empirical period,we conduct Bai-Perron multiple structure breakpoint test.In order to avoid the infl uence of random error term on the two test models,we add BPG test and white test.Finally,the results show that:as a very special commodity,gold has the role of fi nancialization.