黄金价格中存在棘轮效应吗  

Is There a Ratchet Effect in the Gold Price

作　　者：廉永辉[1] 张琳[1] 

机构地区：[1]南开大学经济学院

出　　处：《南方经济》2013年第7期64-77,共14页South China Journal of Economics

基　　金：国家社科基金青年项目(11CJY094);教育部人文社科青年项目(09YJC790158)的支持

摘　　要：对黄金市场供求结构的分析显示,黄金投机需求和金条囤积需求是决定黄金价格变化的两大主要力量。由此,本文构建了一个包含投机者和投资者的异质性市场参与者模型以揭示金价棘轮效应的成因。相应的实证分析表明,美元汇率、通货膨胀和风险水平的变化具有促使黄金价格"易涨难跌"的非对称性影响,因此黄金价格中确实存在棘轮效应。这一结论对于黄金价格的相关理论研究和黄金投资实践均具有一定意义。Through the analysis of the supply and demand structure of the gold market, we find that gold price is mainly determined by its investment demand and bullion demand. Following this finding, we constructed a theoretical model characterized by heterogeneity investors. Results show that the dollar exchange rate, inflation rate and the level of risk in the economic environment are direct causes of the ratchet effect of the gold price. The justification of the gold price ratchet effect in the gold price is of great significance for investors and theoretical research.

关 键 词：黄金价格 非对称影响 棘轮效应 

分 类 号：F831[经济管理—金融学]