贵金属现货、原油和人民币汇率动态关系的实证分析  

Dynamics of Spot Precious Metal Price,Crude Oil Price and RMB Exchange Rate

作　　者：李志斌[1] 张维[1] 

机构地区：[1]南京审计学院

出　　处：《财贸经济》2014年第4期48-58,共11页Finance & Trade Economics

基　　金：江苏省高校哲学社会科学基金"明代金融市场研究"(2013SJD790016);江苏省社会科学基金"江苏科技金融功能的建设问题研究"(11EYB013)

摘　　要：本文研究了黄金、白银、铂金等贵金属现货、原油和人民币汇率之间的价格传递关系。结果显示,贵金属和人民币汇率等国内经济变量对原油价格的长期影响微乎其微,原油价格变动冲击无论短期或是长期都是导致人民币汇率、贵金属现货价格波动的重要因素。在贵金属内部,黄金价格具有"风向标"的引导作用,白银和铂金则处于从属地位。原油和黄金等商品对人民币汇率变动的长短期影响都是显著的,人民币汇率对原油和贵金属现货价格波动影响有限。这些结论有助于深化对商品金融化的认识,对市场投资、货币监管以及金融改革发展都有一定的参考意义。This study examines the long- and short-run information transition among the spot prices of three precious metals （gold, silver, and platinum）, world oil price, and RMB exchange rate. We find that the precious metal and RMB exchange rate respond significantly （long-and short-run） to a shock in oil price, but a weak feedback from the other side. The results also show the dominant role of gold price in the precious metal group, with silver and platinum in a subordinate position. Furthermore, we discover evidence of the oil and precious metals＇ significant impact on RMB exchange rate and RMB exchange fate＇s little influence on commodities like oil and precious metals. The empirical study helps understand the financialization trend of commodities, and provides reference to investment, financial regulation and innovation as well.

关 键 词：贵金属现货 人民币汇率 原油价格 广义方差分解 广义脉冲响应 

分 类 号：F831.54[经济管理—金融学] F764.1F832.6