黄金在经济危机的表现.pdfVIP

Gold Pricing Model during the Financial Crisis 1 1 2 Sihai FANG Wei FAN , Tao LU (1.School of Economics and Management, University of Electronic Science and Technology of China, Chengdu 610054, China; 2.School of Engineering, Hong Kong University of Science and Technology, HK SAR China, 999077) Abstract ：As a special commodity, gold possesses multiple features: as commodity, currency and hedging instrument. Its currency and hedging features are well manifested during the first stage of this financial crisis since 2007. However, the hedging feature of gold was hardly discussed before. The above three features decompose gold’s value into three parts: the commodity value, the currency value and the risk premium value. In this paper, the CRB index, the USDX index and the U.S. Treasury CDS spread are selected as variables in our VAR model,. As a result, we find that the USDX index is negatively correlated with the gold price, while the CRB index and the U.S. Treasury CDS spreads are positively correlated with the gold price. In particular, it is found that the one-lagged CRB index, one-lagged USDX index, and two-lagged U.S. Treasury CDS spreads have significant impact on the gold price. Key Words ：Gold; Financial crisis; Asset pricing JEL classification: E44, F31, G12 1. Introduction Gold, as a special commodity and a historical currency, is largely reserved by most central banks. A growing number of investors take gold as an underlying investment instrument, especially during the financial crisis. For example, the Gold ETF-SPDR holds more than 1000 tons gold, which is more than many central banks. Moreover, gold influences the discount-factor of asset prices, by driving the risk premium. Thus, gold has great impact on the stock market, bond marke