中国黄金期货价格影响因素研究

采用线性回归、Breush-Godfrey LM相关性检验、VAR模型的方差分解和脉冲响应图、价格波动率的单位根检验和Granger格兰杰因果检验等方法对中国黄金期货价格的影响因素进行实证研究。结果表明:上海、香港、伦敦的黄金现货和纽约黄金期货价格以及美元指数是影响中国黄金期货价格的主要因素,而中国黄金期货价格的波动显著受到伦敦黄金现货价格波动和纽约黄金期货价格波动的影响。虽然目前中国黄金期货市场已具备一定的规避风险功能,且初具价格发现功能,但国际影响力有待继续提升。

The Research on the Influecing Factors of Chinese Gold Futures

This paper mainly studies the influencing factors of Chinese gold futures by applying the linear regression,the Breush-Godfrey LM correlation analysis,the Variance Decomposition as well as the Impulse Response diagram in the VAR model and the Unit Root test and the Granger causality test of the price volatility, etc.,empirically. The result of the empirical test confirms that the price of Chinese gold futures is mainly affected by the gold spot price of Shanghai, Hongkong, London,the gold futures price of New York, and the dollar index; the price volatility of Chinese gold futures is greatly influenced by the London gold spot price and the New York futures gold price fluctuation. The Chinese gold futures market has already performed roles of risks-avoiding and price-discovery to some extent.However, its international influence is yet to be further developed.