| 国内外黄金市场的关联研究 |
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| 引用本文： | 翟敏,华仁海.国内外黄金市场的关联研究[J].产业经济研究,2006(2):30-35. |
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| 作者姓名： | 翟敏 华仁海 |
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| 作者单位： | 南京财经大学,金融学院,江苏,南京,210043 |
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| 摘 要： | 本文利用Johansen协整检验、误差修正模型、Granger因果检验以及冲击反应分析对国内、国际市场黄金现货价格的动态联系进行了实证研究,研究结果显示:上海黄金交易所与伦敦黄金市场的黄金价格之间存在长期均衡关系,两个市场上的黄金价格相互影响、相互作用,且伦敦市场对上海市场的影响力大于上海市场对伦敦市场的影响力。
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| 关 键 词： | 黄金市场 协整检验 误差修正模型 因果检验 冲击反应分析 |
| 文章编号： | 1671-9301（2006）02-0030-06 |
| 收稿时间： | 2006-01-09 |
| 修稿时间： | 2006-03-01 |
International Linkages of the Chinese Gold Markets |
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| ZHAI Min,HUA Renhai.International Linkages of the Chinese Gold Markets[J].Industrial Economics Research,2006(2):30-35. |
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| Authors: | ZHAI Min HUA Renhai |
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| Abstract: | The gold market is an emerging market in China.The relationship between China and foreign gold markets is as always an interesting problem of investors and supervisor.Using Johansen cointegration test,error correction model,Granger causality test and impulse responses analysis,this paper investigates gold price relations in China and foreign gold markets.Results obtained indicate that gold prices in SGE and LBMA are cointegrated and there exists bi-directional feedback between the two markets,while the effect of LMBA to SGE is bigger than the effect of SGE to LBMA. |
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| Keywords: | gold markets cointegration test ECM causality test impulse responses analysis |
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