基于状态空间模型的黄金定价问题研究  

A Study of Gold Pricing Problem Based on State Space Model

作　　者：谭水梅[1] 

机构地区：[1]中国社会科学院,北京102488

出　　处：《当代财经》2014年第5期59-68,共10页Contemporary Finance and Economics

基　　金：教育部人文社科基地重大项目"金融危机后的跨国公司全球资源竞争"(2009JJD630003)

摘　　要：长期以来,黄金的"基本价值"与定价机制一直是金融市场的难题。通过建立一个"市场非出清"的供求模型可以得知:供给方面涉及黄金的供给机制;需求方面既涵盖了黄金作为普通商品的属性,又涵盖了黄金作为金融商品的属性。在一定条件下市场不能出清,但供给和需求能够决定黄金的"基本价值";黄金的真实价格围绕"基本价值"上下波动,而"基本价值"又随着经济环境的改变而改变。中国央行应该未雨绸缪,适时适度地增加黄金储备,同时中国政府还应该加大黄金定价的话语权,这样才能确保在国际金融市场处于主动的地位,最终实现人民币国际化。For a long time, ＂the basic value＂ and the pricing mechanism of gold have been a difficult problem in the financial market. This paper establishes a supply and demand model of ＂non clearing market＂ to discuss this issue. The results indicate that the supply mechanism of gold involves the supply side; the demand side involves not only the peoperty of gold as an ordinary commodity but also the property as a financial product. Under certain conditions the market can not be clearing, but both supply and demand can determinethe ＂the basic value＂ of gold. The real price of gold fluctuates around the ＂basic value＂ , while the ＂basic value＂ changes as the economic environment changes. The central bank of China should plan ahead to increase the gold reserve reasonably in good time. At the same time, the Chinese government should strenthen its discourse power in gold pricing; only in this way can it guarantee its active position in the international financial market, and finally realize RMB intemationlization.

关 键 词：黄金定价 状态空间模型 基本价值 市场非出清 

分 类 号：F830.94[经济管理—金融学]