摘要
利用上海黄金交易所的月度数据,通过协整检验和VAR方法研究发现,汇率、利率、通货膨胀和股价指数与黄金价格存在长期均衡关系,金价主要受美元汇率影响。结论认为,央行应增加黄金储备并区分黄金基础与黄金调节基金,发挥黄金市场的货币调节功能。虽然黄金价格作为通货膨胀的先行指标目前缺乏一致论据,但就黄金价格与汇率、利率的内在联系而论,中央银行仍需密切关注黄金价格并对其施加影响。
This paper finds that there is a long equilibrium relation among the dollar exchange rate, interest rate, inflation, share index and gold price in Shanghai Gold Exchange, and that foreign exchange rate has a major influence on gold price, by cointegration and VAR. Due to the special demand constructions of estate and finance assets, relative movement of gold price to inflation and share index deviate from the intuition and theory. The central hank should increase gold reserve, and distinguish gold foundation and gold regulation fund, to make gold market exert monetary accommodating function. Though there is not a consistent argument for gold price as the index of leading inflation indicator, the central hank can keep a close watch and exert an influence on gold price.
出处
《山西财经大学学报》
CSSCI
北大核心
2009年第6期93-99,共7页
Journal of Shanxi University of Finance and Economics
基金
教育部哲学社会科学规划项目"预期
不确定性与最优货币政策研究"(06JA790068)
国家社会科学基金项目(07BJY169)
关键词
中国黄金市场
美元汇率
通货膨胀
黄金储备
gold market of China
dollar exchange rate
inflation
Gold reserve
