摘要
以研究国际黄金期货价格决定要素为目的,先定性分析黄金期货价格影响因素,然后根据Frankel^([1])中大宗商品现货价格决定要素模型,结合黄金期货市场特征推导出黄金期货价格决定要素模型;再以纽约金属交易所黄金期货价格为例,采用二变量及面板数据回归方法,选取1981—2011、2003—2006、2007—2008、2009—2011四个样本区间分别考察黄金期货价格决定要素,最后得出结论:长期内国际黄金期货价格决定要素为:世界GDP、美元指数、利率、美国经济状况;经济危机期间价格决定要素为:美元指数、主权信用违约互换(CDS)、波动率指数、全球流动性、通货膨胀。
In order to study the determinants of international gold futures prices,firstly the influence factors of gold futures prices are analyzed,then based on Frankel' s price determinants model of commodities and combining with the characteristics of gold futures market,as well as the relations between futures and spot price,a price determinants model of gold futures is induced.Again with New York metal exchange' s gold futures price as an example,two variables,multivariate and panel data regression are applied to estimate the equation.Finally it is concluded that in the long term the determinants of international gold futures prices are;the world GDP,the dollar index,interest rates,the U.S.economy.During the economic crisis,the determinants are;the dollar index,sovereign credit default swaps(CDS),the volatility index,the global liquidity and inflation.
出处
《中国管理科学》
CSSCI
北大核心
2012年第S1期424-428,共5页
Chinese Journal of Management Science
