黄金金融功能的研究

【作者】 邹琼；

【导师】 周宇；

【作者基本信息】 上海社会科学院 ， 世界经济， 2014， 博士

【摘要】 随着人类社会发展和国际货币体系的演化,黄金经历了从商品到货币再到商品(黄金非货币化)的曲折变化,黄金的历史地位和作用也发生了相应改变。在黄金充当货币的年代,黄金一度发挥着价值尺度、交换媒介、支付手段、储备货币、世界货币等全能货币的职能；黄金非货币化后,即1971年尼克松总统宣布关闭黄金窗口后,黄金的货币职能仅剩下储备功能一项。同时,由于黄金价格随行就市,黄金和股票、债券等其他金融资产一样成为市场投资热品。但近两年来,随着美国经济的日渐复苏,黄金的投资功能似乎有所减弱。2013年,国际金价在经历12年连年上涨后,首度大跌29%。加之,黄金储备收益率偏低、持有黄金储备机会成本偏高等问题,又引起各国央行对于黄金储备管理和运用的困惑。持有黄金的意义究竟何在?如何评估黄金的金融功能?如何投资黄金?黄金储备的适度规模多大?这些问题都是近40年来国内外黄金研究的重点,但并未形成共识。本文综述了与黄金有关的国内外文献,发现与黄金货币职能相关的研究伴随黄金非货币化进程的推进而逐步减少,而黄金金融属性方面的研究却在黄金非货化后成为研究热点。黄金非货币化后,黄金的金融属性主要表现在投资和储备两个方面。本文梳理了黄金从一般商品到特殊商品的演变历史,分析了黄金在自由兑换、有限兑换和不可兑换条件下金融功能的演变进程。指出黄金非货币化具有一定的必然性,这是黄金货币供给不足与世界经济快速发展之间矛盾运动的结果。同时,黄金非货币化是不充分的,黄金仍在一定程度上保留了储备货币的功能,这一状况反映了美元作为国际货币的内在缺陷和问题。近年来,受美、欧等发达国家量化宽松政策影响,黄金对一国海外资产的投资配置作用不断提升,对新兴市场国家而言,黄金储备功能也有待进一步优化。另外,在商品金融化趋势下,受地缘政治冲突、各类经济金融危机、美元持续贬值等因素的影响,黄金的投资功能也在不断强化。黄金投资功能主要表现在避险、对冲、保值等方面。黄金特殊的投资功能与金价波动的特殊性密切相关。本文运用GJR_GARCH模型和Markov机制转换模型,分别分析了金价波动的不对称性和长周期性。金价波动的不对称性是指在正负冲击的影响下,金价表现出与证券市场相反的波动性,即当宏观经济环境恶化时,金价更趋向于上涨。这凸显了黄金的避险效应。长周期性是指金价波动一旦形成趋势,将维持较长时间。长周期性的分析指出了购买黄金的最佳时期是在金价开始呈现大幅上涨趋势时。金价波动特征的分析,为深入研究黄金的投资和储备功能奠定了价格基础。在投资功能分析方面,本文对黄金的避险、风险对冲以及金融保值功能进行了检验,认为黄金这三方面的投资效应都是客观存在的。在储备功能方面,本文采用比较分析法,剖析了美、欧、日、英、瑞士等发达国家以及金砖四国等新兴市场国家黄金储备总量的变化特征和影响黄金储备的历史及现实原因,综合分析了各国黄金储备的管理及运用模式,并在此基础上建立了我国黄金储备管理的指标体系,测算了最优黄金储备规模。本文认为,短期我国黄金储备的最优规模为2500吨左右,中长期最优规模在5000吨左右。最后,从国情来看,我国黄金市场发展起步较晚,还存在诸多不利于发挥黄金投资和储备功能的障碍。基于此,本文分析了我国黄金市场发展中存在的问题,并从优化黄金金融功能的视角,提出建立我国黄金市场做市商制度、完善我国商业银行账户金、优化我国黄金储备的管理和运用等政策建议。更多还原

【Abstract】 With the evolution of human society and the international monetary system, gold has gone from commodity to commodity currencies and then (non-monetary gold) of twists and turns, historical status and role of gold has also undergone a change accordingly. In the era of gold as money, gold was playing a measure of value, medium of exchange, means of payment functions, reserve currency, world currency and so on; the non-monetary gold, which in1971President Nixon closed the gold window after the announcement, gold functional reserve currency functions, leaving only one. Meanwhile, gold prices reflect market conditions. Like stocks and bonds,gold becomes a hot investment item. But over the past two years, with the growing recovery in the U.S. economy, the investment function of gold appears to have weakened. In2013, the international price of gold rose in successive years experience12years later, for the first time fell by29%. Additionally, the gold reserves of the low yields, high opportunity cost of holding gold reserves and other issues, but also caused the gold reserves of central banks to manage and use the confusion. What exactly is the significance of holding gold? How to assess the financial capabilities of gold? How to invest in gold? How appropriate scale gold reserves? These issues are the focus of the past40years the study abroad gold, but did not reach a consensus.This paper reviewed gold-related literature. With the advancing process of non-monetary gold, gold-related study was gradually reduced, but research aspects of the financial attributes of gold is increasing after gold has become a hot topic of non-goods. After the non-monetary gold, gold properties mainly in two aspects,such as financial investment and reserve.This paper reviews the gold from general merchandise to the historical evolution of specific goods, analyzes the evolution of the financial functions in the process of gold convertibility, convertible and non-convertible limited conditions. Pointed out that non-monetary gold with a certain inevitability, which is the result of contradictions between rapid money supply and shortage of gold in the world economy. Meanwhile, non-monetary gold is not sufficient, gold still retains the functional reserve currency to a certain extent, this situation reflects the dollar as the international currency of the inherent flaws and problems. In recent years, by quantifying the United States, Europe and other developed countries, easing the impact of gold on the role of a country’s investment allocation foreign assets rising, emerging market countries, the gold reserves of functions to be further optimized. Influence addition, the trend in commodity finance, geopolitical conflicts, various types of economic and financial crisis, the weak dollar and other factors, the investment function of gold has also been strengthened.Gold investment function mainly is in hedge, safe haven and other aspects. Special features gold investment is closely related to the special nature of price fluctuations. In this paper GJR_GARCH and Markov mechanisms converting models were analyzed gold price volatility asymmetry and long periodicity. Gold price volatility asymmetry refers to the impact of positive and negative shocks, the price of gold and the stock market showed volatility opposite, that is, when the deterioration of the macroeconomic environment, gold prices tend to rise. This highlights the effects of gold hedging. Long cyclical price fluctuations once refers to a trend will last longer. Long periodic analysis indicates the best time to buy gold when the price of gold is beginning to show a significant upward trend. Analysis of the characteristics of price fluctuations for in-depth study of investment and reserve functions laid the basis of the price of gold. In the investment function analysis, the paper gold hedging, hedging and financial hedging capabilities were tested, the effect that the investment in these three areas are prime objective existence. In the reserve function, we use comparative analysis, analysis of the variation of the United States, Europe, Japan, Britain, Switzerland and other developed countries and emerging markets such as the BRIC countries of the total gold reserves and the historical and practical reasons affecting gold reserves, comprehensive analysis of the management and use patterns States gold reserves, and the establishment of China’s gold reserves management indicator system on this basis, the calculation of the optimal size of gold reserves. This paper argues that the optimal size of the short-term China’s gold reserves is about2,500tons, and long-term optimal size at about5,000tons.Finally, from the national conditions, China’s gold market started late, there are many gold investment is not conducive to play and functional reserve obstacles. Based on this, this paper analyzes the development of China’s gold market, the problems and optimize the gold from the perspective of financial functions, proposed the establishment of China’s gold market maker system, improve our business bank account deposits, China’s gold reserves to optimize the management and use, etc. policy recommendations.更多还原