基于黄金平价的ARMAX-GARCHX汇率模型研究  

Research on ARMAX-GARCHX Exchange Rate Model Based on Gold Parity

作　　者：杨楠[1] 方茜[1,2] YANG Nan;FANG Xi

机构地区：[1]上海财经大学统计与管理学院,上海200433 [2]中国人保资产管理有限公司,上海200122

出　　处：《济南大学学报（社会科学版）》2023年第3期76-87,179,共13页Journal of University of Jinan:Social Science Edition

基　　金：国家自然科学青年基金“我国国际储备结构优化与风险管理中的黄金角色基于非线性动力学分析”(项目编号:71303145);上海市决策咨询委员会委托研究课题“长三角区域一体化指标体系构建与数据分析”(项目编号:2019-8H)之阶段性研究成果。

摘　　要：汇率是影响黄金价格最重要的因素之一,汇率对黄金价格的影响已经得到了广泛研究,但由于黄金同时具备商品和货币双重属性,黄金价格对汇率的影响同样值得关注。通过对以人民币计价的“上海金”与美元计价的“伦敦金”的价格之比作为黄金平价人民币汇率进行研究,探讨黄金平价对美元兑人民币在岸汇率波动中的影响。将黄金平价作为外生变量,建立了汇率的ARMAX-GARCHX模型,把黄金平价量化映射到汇率波动中,运用Kupiec检验证实了该模型对汇率收益率分布预测的准确性得到提升。通过2016年4月至2022年3月的日频数据进行实证分析,结果表明,黄金平价也是影响汇率走势的要素之一,这对汇率市场化、人民币国际化进程中的金融风险防范和企业日常汇率风险管理都具有重要参考价值。Exchange rate is one of the most important factors affecting gold prices.The impact of exchange rate on gold price has been widely studied.However,since gold has both commodity and currency properties,the impact of gold price on exchange rate also deserves attention.In this paper,the ratio of the prices of“Shanghai gold”denominated in RMB to that of“London gold”denominated in USD as the gold parity RMB exchange rate is studied,and its impact on USD/RMB onshore exchange rate is discussed.Taking gold parity as an external variable,the ARMAX-GARCHX model of RMB onshore exchange rate is established,and the impact of gold parity on exchange rate is quantitatively confirmed by the accuracy improvement of exchange rate yield distribution prediction through Kupiec test.Empirical analysis is carried out on the daily frequency data from April 2016 to March 2022 and results show that gold parity is also one of the factors affecting the trend of exchange rate,which has important reference value for financial risk prevention in the process of exchange rate marketization and RMB internationalization,and for the daily exchange rate risk management of enterprises.

关 键 词：黄金平价人民币汇率 在岸人民币汇率 短期预测 ARMAX-GARCHX模型 Kupiec检验 

分 类 号：F831[经济管理—金融学]