后危机时代国际黄金价格实证分析  

An Empirical Analysis of International Gold Price in Post Crisis Era

作　　者：阚景阳[1] 

机构地区：[1]中共河北省委党校,河北石家庄050061

出　　处：《上海金融学院学报》2015年第4期15-23,共9页Journal of Shanhai Finance University

基　　金：河北省社科基金项目(项目号HB13JJ001);河北省软科学项目(项目号15455306D);国家社科基金项目(12BJY066)的阶段性成果

摘　　要：2013年4月,国际金价暴跌,大宗商品价格面临新一轮调整,伦敦金定盘价问题备受关注。选择伦敦黄金年度数据进行ARMA模型检验,发现年度金价为AR(2)过程。选择伦敦黄金月度数据建立TGARCH(1,1)模型,发现存在杠杆效应,正向冲击对金价波动的影响较大。基于世界经济形势,指出在后危机时代,国际黄金价格仍将剧烈波动。In April 2013,the international gold price slumped,and commodity prices faced a new round of adjustment. London gold fixing price has attracted great public attention. Through ARMA model,the author found that the annual data of London gold price is an AR（2）process. Through TGARCH（1,1）model, the existence of leverage effect of the monthly data of London gold price is found,and the effect of positive impact on price fluctuations is larger. Based on the analysis of world economic situation, the conclusion that the gold Prices will still fluctuate violently in the post crisis era is drawn.

关 键 词：黄金价格 ARMA模型 TGARCH模型 正向冲击 

分 类 号：F830.94[经济管理—金融学]