经济政策不确定性、投资者情绪与黄金价格波动

Economic Policy Uncertainty,Investor Sentiment and Gold Price Volatility

黄金在维持金融稳定和趋避风险中发挥着重要作用。以2011-2021年数据为样本,使用GARCHMIDAS模型探究经济政策不确定性和投资者情绪对黄金价格波动的影响。研究结果表明:(1)黄金价格波动具有自相关性,长期影响为正;(2)黄金价格在短期内会受到经济政策不确定性和投资者情绪变化的影响,正向冲击能够增大黄金价格的短期波动,就长期来看,黄金价格会受到经济政策不确定性的负向影响,但投资者情绪的长期影响不显著;(3)经济政策高不确定性会引起国内投资者的关注,并反映在黄金价格波动中。研究结果为讨论黄金价格波动提供了新视角,也为实现风险控制或金融稳定提供了参考。

Gold plays an important role in maintaining financial stability and risk aversion.It is not only a haven against uncertainty,but also a key factor affecting investors’ sentiment and decision-making behavior. Therefore,it is of great value to investigate the impact of uncertainty risk and investors’ risk aversion decision on gold price. At present,there is no consensus on the impact of economic policy uncertainty on gold price. Few scholars incorporate economic policy uncertainty and investor sentiment into the research framework at the same time,and few literatures study high uncertainty separately. In order to better explore the above issues,based on risk aversion and expectation theory,economic policy uncertainty and investor sentiment were incorporated into a unified analysis framework. With data from 2011 to 2021 as samples,GARCH-MIDAS model was used to explore the impact of economic policy uncertainty and investor sentiment on gold price volatility. Furthermore,the influence changes under the environment of high economic policy uncertainty were investigated.The results show that:Firstly,gold price fluctuation has autocorrelation,and the long-term impact is positive. Secondly,in the short term,gold prices are affected by economic policy uncertainty and investor sentiment changes,positive shocks can increase the short-term volatility of gold prices,in the long term,gold prices will be negatively affected by economic policy uncertainty,but the long-term impact of investor sentiment is not significant. Finally,high economic policy uncertainty will be more noticeable to domestic investors and reflected in gold price volatility. These contents not only provide a new perspective for the discussion of gold price volatility,but also provide a reference for the realization of risk control or financial stability.