黄金期货价格和现货价格关系的研究

An empirical study on the relationship between gold futures price and spot price

文章通过分析上海期货交易所黄金期货主力合约和上海黄金交易所现货Au9999合约的收盘价,建立VAR模型,并进行协整检验、Granger因果检验和脉冲响应分析,对我国黄金期货价格和现货价格的关系进行实证研究。结果显示:黄金期货价格和现货价格之间存在长期均衡关系以及显著的协整关系,其中黄金期货价格会对现货价格产生较大的影响,反之现货价格对期货价格的影响较小。最后为促进我国黄金期货市场发展,充分发挥期货市场功能提供参考建议。

By analyzing the closing price of the main gold futures contract of Shanghai Futures Exchange and the spot Au9999 contract of Shanghai Gold Exchange,the VAR model is established,and the co-integration test,Granger causality test and impulse response analysis are carried out to conduct an empirical study on the relationship between gold futures price and spot price in China.The results show that there is a long-term equilibrium relationship and a significant co-integration relationship between gold futures price and spot price,in which gold futures price has a greater impact on spot price,whereas spot price has a smaller impact on futures price.Finally,it provides some suggestions for promoting the development of gold futures market in China and giving full play to the function of futures market.