关于黄金定价的一些研究
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摘要
黄金，作为一种特殊的大宗商品，具有商品、货币和投资避险的多重属性。它已经跨越政治制度、种族文化、经济发展程度，好比一条金色的血脉，贯穿于整个人类的历史。黄金不仅被用做饰品业、工业和现代高新技术产业的重要原材料，也被用作重要的国际支付手段和财富储备载体；不仅被投资者当作危机时候资金的避风港，也被视为规避通货膨胀风险的投资工具。此外，黄金还是反映市场风险溢价水平的重要指标，并通过影响资产定价的风险溢价水平，来影响资本市场其他资产的价格。因此，黄金是非常重要的一类金融产品，对其进行定价研究具有重要的理论和实际意义。
正是因为黄金具有多重属性，其价格决定机制较一般普通商品更为复杂，不仅仅是简单的黄金商品供求决定机制，还包括黄金的财富储值、投资、投机等货币、避险属性共同作用的结果。从我们对黄金资产定价多年的研究来看，我们认为影响黄金的因素较多，且在不同的宏观经济周期时期，其主要的驱动变量会有漂移。因此，本文的研究思路是从黄金的大宗商品、货币和投资避险等多个角度来研究黄金的定价模型，并提出几个具有理论意义和实际用途的黄金定价模型。
具体而言，本文仔细梳理了过去学者研究黄金的文献，按黄金的大宗商品、货币以及投资避险三大属性，黄金市场及黄金定价，黄金对货币体系影响的顺序回顾了过去学者对于黄金研究的成果。并在前人的基础上，引入一些新的金融指标和资产价格（比如：美国国债CDS利差，通胀保护债券TIPS、加权马歇尔K值等）来研究黄金的定价模型，通过研究发现：这些新的宏观指标和资产价格能更有效的反映相关的宏观、市场因子对黄金价格的影响和驱动作用，为今后的学者研究黄金定价提供一些可供参考的资料，同时也有利于国内相关投资机构进行黄金交易。本文的主要研究结果包括如下：
在金融危机期间，本文综合考虑黄金的大宗商品、货币和投资避险属性，将黄金价值分解为：大宗商品基准价值、基于汇率的“隐性货币价值”、主权国家信用违约的风险溢价，并分别以大宗商品CRB指数、美元指数和美国国债CDS利差作为代理变量对其进行定价研究。从黄金的大宗商品、货币以及投资避险属性出发，提出黄金的三因素定价模型，研究表明：美元指数USDX负向驱动黄金价格，大宗商品指数CRB、美国国债指数CDS正向驱动黄金价格；其中美元指数滞后一阶、美国国债CDS利差滞后二阶的价格信息对黄金价格影响非常显著。
通过研究实际利率与黄金价格走势，我们发现实际利率预期较实际利率本身更能影响黄金的价格走势，我们用美国国债利率与通货膨胀率之差来测度实际利率，用通胀保护债券TIPS收益率来测度实际利率预期，并通过大样本实证研究得出实际利率预期的确对黄金价格产生非常明显的负向影响，同时还为后来的研究者提供了一种通过黄金价格走势反推隐含实际利率预期的思路。
我们还发现近十年来黄金的商品需求在逐步下行，投资需求在不断攀升，而各国央行投放的过量流动性是黄金投资需求持续上升的根本原因。在文章中，我们通过构造加权马歇尔K值来测度全球流动性，并通过对加权马歇尔K值和黄金价格的实证研究得出结论：流动性是决定长期黄金价格走势的重要因素。
此外，本文还研究了黄金在国际货币体系变迁中的地位的变化，以及未来国际货币体系变革过程中黄金可能发挥的作用。文中将国际货币体系变革分为国际货币体系改良以及国际货币体系改革两种情况，并分别探讨了这两种情况下黄金地位的变化以及其价格可能出现的走势。
最后需要陈述的是，本文的写作以及博士学位的攻读也是作者对资产定价理论认识的逐步转变和深化过程。作者最初研究的是衍生产品定价，因此更多的偏向于无套利分析方法。但随着对资产定价的理论研究的深入，特别是本轮金融危机以来对资产定价理论的反思，笔者意识到很多资产定价需要跳出无套利分析方法，更多的和宏观经济结合，以避免未来再次出现类似次贷危机的情况。因此，本论文的写作，其实也是隐含着作者从“无套利分析方法”向“一般均衡思想”的一种思维意识的转化。
As a special commodity, gold has multiple properties: commodity, currency andhedging. Its footprint has crossed different political systems, ethics, cultures, andeconomic levels, like a golden vein throughout the body of human history. Gold is notonly an important raw material for jewelry industry and modern high-tech industry, butalso an important tool for international payment and wealth reserve, not only as a safehaven during the financial crisis, but also as a hedging instrument for inflation risk.Besides, gold is a critical indicator of risk premium. By influencing the risk premium inasset pricing, gold can affect other asset prices in the capital market. Therefore, gold is avery important financial product and its pricing research has important theoretical andpractical values.
Gold pricing is more complicated than ordinary commodity because of its multipleproperties with significant influences. Not simply determined by demand and supply,the pricing of gold also relies on currency and hedging properties. According to ourresearch on gold asset pricing, we believe there are considerable factors whose drivingvariables would fluctuate at different stages of economy cycle. Keeping this in mind,the research is going to study the gold pricing theory through the commodity, currencyand hedging properties of gold, and propose several theoretical and practical uses ofgold pricing model.
Specifically, this paper has reviewed previous literatures in the following order:commodity, currency and hedging properties, gold market, gold pricing and the impacton international monetary system. Based on previous research, this paper has introducedseveral new financial indicators and asset prices (such as US treasury CDS spread,Treasury Inflation-Protected Securities (TIPS), Weighted Marshall-K) to the goldpricing model. The study found those new indicators and asset prices can effectivelyreflect gold price. This result can help further academic researches and also helpinvestors with their daily trading. The following aspects are our main research findings:
This paper has considered the three properties of gold and decomposed gold’svalue into three parts during the financial crisis: commodity value, currency value and risk premium value. In this paper we use CRB index, USDX index and U.S. TreasuryCDS spread as variables in our VAR model. We found that USDX index is negativelycorrelated with the gold price, while CRB index and U.S. Treasury CDS spreads arepositively correlated with it. In particular, we found that the one-lagged CRB index,one-lagged USDX index, and two-lagged U.S. Treasury CDS spreads have significantimpact on gold price.
By studying the real interest-rate and gold price movements, we found that theexpected real interest-rate has stronger influence on gold price movements than realinterest-rate itself. We use the spread between US Treasury bill rate and CPI to measurereal interest-rate and TIPS yield to measure the expected real interest-rate. A largesample empirical study reveals that expected real interest–rate has indeed stronginfluence to gold price.
We also found that over the last decade the demand for gold as commodity wasgradually decreasing, while the demand for gold as investment was rising. The mainreason for such situation is the excess liquidity provided by the central banks. In thispaper, we have constructed Weighted Marshall-K to measure global marco-liquidity,and then concluded that liquidity is an important factor to determine the movement oflong-term gold price.
In addition, this paper has studied the status change of gold during the change ofinternational monetary system and the potential function of gold during the change ofmonetary system in the future. This paper has categorized the change of internationalmonetary system into two aspects: international monetary system improvement andinternational monetary system reform. Under these two conditions, this paper hasdiscussed the status change of gold and potential price movement in the future.
Last but not the least, the period of writing this paper and pursuing the DoctorateDegree was also a period for the author to learn and strenghen the knowledge in assetpricing. The initial research was focused on derivative product pricing, which was morerelative to no-arbitrage pricing model. However, after more theoretical research on assetpricing, especially rethinking on asset pricing during the financial crisis, the authorrealized asset pricing model should apply to the macro-economy with arbitrageopportunities; and this could also help avoid potential financial crisis like subprimemortgage crisis in the future. Therefore, writing of this paper also implies the author’s change of mind from no-arbitrage theory to general equilibrium theory.
正是因为黄金具有多重属性，其价格决定机制较一般普通商品更为复杂，不仅仅是简单的黄金商品供求决定机制，还包括黄金的财富储值、投资、投机等货币、避险属性共同作用的结果。从我们对黄金资产定价多年的研究来看，我们认为影响黄金的因素较多，且在不同的宏观经济周期时期，其主要的驱动变量会有漂移。因此，本文的研究思路是从黄金的大宗商品、货币和投资避险等多个角度来研究黄金的定价模型，并提出几个具有理论意义和实际用途的黄金定价模型。
具体而言，本文仔细梳理了过去学者研究黄金的文献，按黄金的大宗商品、货币以及投资避险三大属性，黄金市场及黄金定价，黄金对货币体系影响的顺序回顾了过去学者对于黄金研究的成果。并在前人的基础上，引入一些新的金融指标和资产价格（比如：美国国债CDS利差，通胀保护债券TIPS、加权马歇尔K值等）来研究黄金的定价模型，通过研究发现：这些新的宏观指标和资产价格能更有效的反映相关的宏观、市场因子对黄金价格的影响和驱动作用，为今后的学者研究黄金定价提供一些可供参考的资料，同时也有利于国内相关投资机构进行黄金交易。本文的主要研究结果包括如下：
在金融危机期间，本文综合考虑黄金的大宗商品、货币和投资避险属性，将黄金价值分解为：大宗商品基准价值、基于汇率的“隐性货币价值”、主权国家信用违约的风险溢价，并分别以大宗商品CRB指数、美元指数和美国国债CDS利差作为代理变量对其进行定价研究。从黄金的大宗商品、货币以及投资避险属性出发，提出黄金的三因素定价模型，研究表明：美元指数USDX负向驱动黄金价格，大宗商品指数CRB、美国国债指数CDS正向驱动黄金价格；其中美元指数滞后一阶、美国国债CDS利差滞后二阶的价格信息对黄金价格影响非常显著。
通过研究实际利率与黄金价格走势，我们发现实际利率预期较实际利率本身更能影响黄金的价格走势，我们用美国国债利率与通货膨胀率之差来测度实际利率，用通胀保护债券TIPS收益率来测度实际利率预期，并通过大样本实证研究得出实际利率预期的确对黄金价格产生非常明显的负向影响，同时还为后来的研究者提供了一种通过黄金价格走势反推隐含实际利率预期的思路。
我们还发现近十年来黄金的商品需求在逐步下行，投资需求在不断攀升，而各国央行投放的过量流动性是黄金投资需求持续上升的根本原因。在文章中，我们通过构造加权马歇尔K值来测度全球流动性，并通过对加权马歇尔K值和黄金价格的实证研究得出结论：流动性是决定长期黄金价格走势的重要因素。
此外，本文还研究了黄金在国际货币体系变迁中的地位的变化，以及未来国际货币体系变革过程中黄金可能发挥的作用。文中将国际货币体系变革分为国际货币体系改良以及国际货币体系改革两种情况，并分别探讨了这两种情况下黄金地位的变化以及其价格可能出现的走势。
最后需要陈述的是，本文的写作以及博士学位的攻读也是作者对资产定价理论认识的逐步转变和深化过程。作者最初研究的是衍生产品定价，因此更多的偏向于无套利分析方法。但随着对资产定价的理论研究的深入，特别是本轮金融危机以来对资产定价理论的反思，笔者意识到很多资产定价需要跳出无套利分析方法，更多的和宏观经济结合，以避免未来再次出现类似次贷危机的情况。因此，本论文的写作，其实也是隐含着作者从“无套利分析方法”向“一般均衡思想”的一种思维意识的转化。
As a special commodity, gold has multiple properties: commodity, currency andhedging. Its footprint has crossed different political systems, ethics, cultures, andeconomic levels, like a golden vein throughout the body of human history. Gold is notonly an important raw material for jewelry industry and modern high-tech industry, butalso an important tool for international payment and wealth reserve, not only as a safehaven during the financial crisis, but also as a hedging instrument for inflation risk.Besides, gold is a critical indicator of risk premium. By influencing the risk premium inasset pricing, gold can affect other asset prices in the capital market. Therefore, gold is avery important financial product and its pricing research has important theoretical andpractical values.
Gold pricing is more complicated than ordinary commodity because of its multipleproperties with significant influences. Not simply determined by demand and supply,the pricing of gold also relies on currency and hedging properties. According to ourresearch on gold asset pricing, we believe there are considerable factors whose drivingvariables would fluctuate at different stages of economy cycle. Keeping this in mind,the research is going to study the gold pricing theory through the commodity, currencyand hedging properties of gold, and propose several theoretical and practical uses ofgold pricing model.
Specifically, this paper has reviewed previous literatures in the following order:commodity, currency and hedging properties, gold market, gold pricing and the impacton international monetary system. Based on previous research, this paper has introducedseveral new financial indicators and asset prices (such as US treasury CDS spread,Treasury Inflation-Protected Securities (TIPS), Weighted Marshall-K) to the goldpricing model. The study found those new indicators and asset prices can effectivelyreflect gold price. This result can help further academic researches and also helpinvestors with their daily trading. The following aspects are our main research findings:
This paper has considered the three properties of gold and decomposed gold’svalue into three parts during the financial crisis: commodity value, currency value and risk premium value. In this paper we use CRB index, USDX index and U.S. TreasuryCDS spread as variables in our VAR model. We found that USDX index is negativelycorrelated with the gold price, while CRB index and U.S. Treasury CDS spreads arepositively correlated with it. In particular, we found that the one-lagged CRB index,one-lagged USDX index, and two-lagged U.S. Treasury CDS spreads have significantimpact on gold price.
By studying the real interest-rate and gold price movements, we found that theexpected real interest-rate has stronger influence on gold price movements than realinterest-rate itself. We use the spread between US Treasury bill rate and CPI to measurereal interest-rate and TIPS yield to measure the expected real interest-rate. A largesample empirical study reveals that expected real interest–rate has indeed stronginfluence to gold price.
We also found that over the last decade the demand for gold as commodity wasgradually decreasing, while the demand for gold as investment was rising. The mainreason for such situation is the excess liquidity provided by the central banks. In thispaper, we have constructed Weighted Marshall-K to measure global marco-liquidity,and then concluded that liquidity is an important factor to determine the movement oflong-term gold price.
In addition, this paper has studied the status change of gold during the change ofinternational monetary system and the potential function of gold during the change ofmonetary system in the future. This paper has categorized the change of internationalmonetary system into two aspects: international monetary system improvement andinternational monetary system reform. Under these two conditions, this paper hasdiscussed the status change of gold and potential price movement in the future.
Last but not the least, the period of writing this paper and pursuing the DoctorateDegree was also a period for the author to learn and strenghen the knowledge in assetpricing. The initial research was focused on derivative product pricing, which was morerelative to no-arbitrage pricing model. However, after more theoretical research on assetpricing, especially rethinking on asset pricing during the financial crisis, the authorrealized asset pricing model should apply to the macro-economy with arbitrageopportunities; and this could also help avoid potential financial crisis like subprimemortgage crisis in the future. Therefore, writing of this paper also implies the author’s change of mind from no-arbitrage theory to general equilibrium theory.
引文
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