国际黄金期货价格影响因素研究

全球政治经济环境的不稳定性会造成国际黄金期货价格的剧烈波动.为探究国际黄金期货价格的主要影响因素,利用2000—2019年国际黄金期货月度价格数据,运用向量自回归(VAR)模型、向量误差修正(VECM)模型、协整检验、脉冲响应和方差分解进行实证研究.结果表明:国际黄金期货价格与地缘政治风险、经济政策不确定性、美元指数、...

Research on Influencing Factors of International Gold Futures Price

Based on the dual functions of commodity and currency，this paper takes the great influence of gold price fluctuation on the world economy.At present，most of the literatures analyze the influencing factors of international gold futures price fluctuation from three aspects of supply and demand，finance and index.However，due to the instability of the global political and economic environment，international gold futures prices fluctuate violently.Few scholars consider the impact of geopolitical risks and economic policy uncertainty on the price fluctuations of international gold futures.At the same time，few scholars combine the above two factors with other variables to analyze the influencing factors of international gold futures price.In order to better explore the main influencing factors of international gold futures price，this paper used the monthly price data of international gold futures from 2000 to 2019，using VAR model，VECM model，cointegration test，impulse response and variance decomposition to conduct empirical research.At the same time，Granger causality test was used to analyze the causal relationship between the variables and the international gold futures price.The analysis focuses on the results of impulse response，which is different from the method of orthogonal impulse response in traditional dynamic analysis.In this paper，the generalized impulse response analysis method was used.The results show that there is a long-term equilibrium relationship between international gold futures price and geopolitical risk，economic policy uncertainty，dollar index，interest rate level，U.S. inflation level and the D-value between global gold supply and demand，and dollar index have the most significant impact on international gold futures price.Geopolitical risks and economic policy uncertainties have a positive impact on the international gold futures price in the short term，while the positive impact of economic policy uncertainties is longer.This paper provides a better theoretical basis for predicting the trend of gold price.