汇率与黄金价格的非对称传递效应——来自全球八大黄金产消地的经验证据

本文构建NARDL模型研究全球八大黄金产消地1990-2019年汇率波动与金价变动的联系。结果表明,长期看,主要黄金消费地印度、美国、土耳其金价对汇率下跌的正响应大于对汇率上升的负响应;主要黄金生产地澳大利亚金价对汇率波动的负向传递效应为正向传递的1.3倍;短期内,黄金供需弹性分化加剧主要产消地之间金价与汇率波动的异质性,欧元汇率波动对金价的传递以及中国、俄罗斯金价变动对汇率的传递均呈现显著非对称性。主要消费地应针对黄金对冲本币贬值时效与程度的差异适时优化外汇储备结构,主要产金地则须筑牢对金价波动引致汇率风险的常态化防控体系。

Asymmetric Transmission Effect Between Exchange Rate and Gold Price——Empirical Evidence from Eight Gold Producing and Consuming Regions

This paper constructs a NARDL model to study the relationship between exchange rate fluctuations and gold price changes in the global eight gold producing and consuming regions during 1990-2019. The results show that, in the long run, the positive response of gold prices to the fall of exchange rate is greater than the negative response to the rise of exchange rate in the main gold consumption regions of India, the United States and Turkey;in the main gold producing region of Australia, the negative transmission effect of gold price on exchange rate is 1.3 times of the positive effect;in the short run, the differentiation of gold supply and demand elasticity intensifies the heterogeneity of gold price and exchange rate fluctuation between main production and consumption regions. The transmission of euro exchange rate fluctuation to gold price and the transmission of China and Russia gold price fluctuation to exchange rate are significantly asymmetric.The main consumption regions should optimize the structure of foreign exchange reserves according to the difference of time and degree of gold hedging against the devaluation of local currency, and the main gold producing regions should build a normalized prevention and control system against the exchange rate risk caused by the fluctuation of gold price.