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黄金价格的持续上涨吸引了越来越多投资者的关注,本文通过建立VAR模型重点研究了预期通胀和货币流动性对黄金价格的冲击影响,实证结果表明两者对黄金价格及其波动冲击影响的作用时间大约维持9个月左右,其中2-6个月内冲击影响最为强烈。两者短期内呈明显加剧黄金价格的波动态势。从冲击贡献率来看,预期通胀更易于加剧黄金价格的波动。长期而言,过往黄金价格走势特征是影响黄金价格的主要因素,即黄金价格具有长期记忆性。
The continuous rise of gold price attracts more and more investors’ attention. This paper focuses on the impact of expected inflation and currency liquidity on the gold price by establishing a VAR model. The empirical results show that the impact of both on the gold price and its volatility impact The duration of the effect of about 9 months, of which 2-6 months the impact of the strongest impact. The two have obviously aggravated the volatility of the gold price in the short term. From the impact contribution rate of view, the expected inflation is more likely to aggravate the volatility of gold prices. In the long run, the past gold price movements are the main factors affecting the gold price, that is, gold prices have long-term memory.