关于美元指数与黄金价格联动性研究——基于适应性预期的分析  

Research on the Linkage between the Dollar Index and Gold Prices——based on Adaptive Expectations

作　　者：杨丽君[1] 张坤[2] 

机构地区：[1]东南大学经济管理学院 [2]黄河科技学院

出　　处：《价格理论与实践》2016年第11期94-97,共4页Price:Theory & Practice

摘　　要：本文基于适应性预期理论对美元指数与黄金价格联动性进行分析,在理论机理分析的基础上,选取1986年1月至2016年5月的月度数据,综合运用了相关性分析、格兰杰因果检验以及回归模型等方法,实证考察了存在适应性预期下的美元指数与黄金价格之间的联动性。研究表明:长期内,黄金价格与美元指数显著负相关,适应性预期对美元指数影响显著;故投资者在美元指数与黄金价格同时上涨时,应更加理性,合理安排所持有的美元与黄金资产比例。本文结论一定程度上,为各国央行储备资产的多元化提供了理论依据;经济主体在做投资决策时也应充分考虑到适应性预期的作用。This paper analyzes the linkage between the dollar index and the gold prices based on the theory of adaptive expectations, and first it＇s the theoretical mechanism, then the empirical investigation including the correlation analysis, Grainger causality test and regression model etc. which adopts the monthly data from January 1986 to May 2016. The results have shown that： there is a significant negative correlation between the gold prices and dollar index, adaptive expectations make significantly impact on the dollar index; so even if the dollar index and gold prices rise at the same time, the investors should be more rational and make reasonable arrangements for their ratio of dollars to gold. To some extent, this paper provides a theoretical basis for the diversification of the reserve assets by the Central Bank around the world, and the economic subject should fully consider the role of adaptive expectations when making investment decisions.

关 键 词：SDR入篮 美元指数 黄金价格 适应性预期 

分 类 号：F831.54[经济管理—金融学]