摘要
国际金价与美元指数是国际市场上两个重要的交易品种,对全球金融和经济具有重要影响。本文研究运用VAR模型探究国际金价与美元指数之间的动态量化关系,对两个变量的月收盘价时间序列进行单整、协整和Granger因果关系检验。结果显示,国际金价与美元指数存在长期均衡关系;美元指数对国际金价主要为负向冲击,个别几期则是正向冲击;美元指数为国际金价的Granger原因。建议适当增持黄金资产,扩大黄金储备;加快推广人民币指数,逐步实现与黄金挂钩;加强国际货币合作,推进人民币国际化。
International gold prices and the US dollar index are two important trading commodities in the international market,with significant impacts on global finance and economy.Using the VAR model,this article explores the dynamic quantitative relationship between international gold prices and the US dollar index,and conducts single integration,cointegration,and Granger causality tests on the monthly closing price time series of the two variables.The results show that there is a long-term equilibrium relationship between international gold prices and the US dollar index;The US dollar index has a mainly negative impact on international gold prices,with some periods experiencing a positive impact;The Granger reason for the US dollar index being the international gold price.Suggestions are made as follows:Appropriately increase holdings of gold assets and expanding gold reserves;Accelerate the promotion of the RMB index and gradually achieve linkage with gold;Strengthen international monetary cooperation and promote the internationalization of the renminbi.
出处
《价格理论与实践》
北大核心
2024年第3期144-148,223,共6页
Price:Theory & Practice
关键词
国际金价
美元指数
VAR模型
均衡关系
脉冲响应
international gold price
the US dollar index
VAR model
equilibrium relationship
impulse response
