人民币对黄金定价权实证研究一基于中美黄金期货及两国货币价格相联性时间序列分析

• 作者： 朱齐举 ¹
• 作者单位：
  1.  广州商学院
• 发布时间：2024-10-29

摘要: 人民币对黄金定价权是人民币国际化能力的一种体现；本文选取2008年1月9日至2024年5月31日16年以来连续上市交易日上海黄金期货价格、纽药COMEX黄金期货价格、美元指数和人民币兑美元中间价收盘价数据，通过协整分析，揭示这几组数据之间相互影响，从实证角度观察人民币对黄金定价权影响力和相互关系。研究发现人民币兑美元中间价和美元指数相关性不大；人民币兑美元中间价对COMEX黄金期货和上海黄金期货价格之间有明显相关性，对上海黄金、纽约COMEX美黄金期货价格走势影响日益显著；实证显示人民币对黄金定价能力正在快速提升。

Abstract: The pricing power of the RMB over gold is a manifestation of the internationalization capability of the RMB; This article selects data from Shanghai gold futures prices, COMEX gold futures prices, the US dollar index, and the closing exchange middle rate of the RMB/USD for 16 consecutive trading days from January 9, 2008 to May 31, 2024. Through co-integration analysis, it reveals the mutual influence between these sets of data and empirically observes the influence and relationship of the RMB on gold pricing power. Research has found that there is little correlation between the exchange middle rate of Chinese yuan to USD against the US dollar index; The exchange middle rate of RMB to USD has a significant correlation with the prices of COMEX gold futures price and Shanghai gold futures price, and has an increasingly significant impact on the price trends of Shanghai gold and COMEX US gold futures; Empirical evidence shows that the pricing power of the Chinese yuan for gold is rapidly increasing.

• 来自： 朱齐举
• 分类： 应用经济学 >> 金融学
• 稿件状态： 已被期刊评审中
• 引用： PSSXiv:202410.02537 (或此版本 PSSXiv:202410.02537V1)
  DOI:10.12451/202410.02537
  CSTR:32012.36.PSSXiv.202410.02537
• 推荐引用方式： 朱齐举.人民币对黄金定价权实证研究一基于中美黄金期货及两国货币价格相联性时间序列分析.哲学社会科学预印本平台:https://zsyyb.cn/abs/202410.02537.[PSSXiv:202410.02537V1] (点此复制)