摘要
本文从平均水平和收益分布角度考察黄金对人民币贬值和股市下跌风险的对冲和安全港功能。结果表明,黄金对汇率贬值和股市下跌风险的对冲或安全港功能受黄金市场条件影响。黄金几乎不能规避股市下跌风险,仅在黄金高度牛市条件下是股市暴跌的安全港。黄金对汇率贬值风险的规避作用随币种变化而变化:人民币对美元贬值,黄金仅在自身处于牛市条件下是汇率过度贬值的安全港;人民币对欧元贬值,黄金在平均水平上是汇率贬值的对冲和安全港,但随着黄金市场条件变化,对冲和安全港功能会发生变化。
The authors of this paper examine the hedging and the haven roles of gold against the devaluation of RMB and the risks of failing stock markets from the perspective of average and income distribution. The results of the paper show that the hedging or the haven role of gold is affected by the conditions of gold market. Gold can hardly evade the risks of a falling stock market, and it＇s a haven for the falling stock market only in the context of the mega-bull gold market. The role of gold in evading the risks of exchange rate depreciation varies according to currency. When the RMB ＂is depreciated against the U.S. dollar, gold is a haven for the excessive exchange rate depreciation only in the context of the bull gold market; When the RMB is depreciated against the Euro, gold can hedge the risks and is a haven at the average level, but the roles of hedging and haven change accordingt to gold market.
作者
刘志蛟
刘力臻
LIU Zhi-jiao;LIU Li-zhen
出处
《金融论坛》
CSSCI
北大核心
2018年第4期43-55,共13页
Finance Forum
基金
教育部人文社科基金项目(15YJA70038)资助
