中国黄金金融化指数的构建与时间演化研究
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摘要
运用变异系数法、相关系数法、熵值法和Critic法四种赋权方法,构建中国黄金金融化指数,考量中国黄金金融化指数的时间演化。结果发现:随着时间的推移,中国黄金金融化的整体水平不断上升;2008—2015年"储备与支付属性"对黄金金融化的贡献度最高,是推动中国黄金金融化的主要驱动力量。
In this paper,the concept of financialization of gold is defined on the basis of the basic attributes of gold,and the financial attributes of gold are divided into two properties:"the reservation and payment property"and "investment property".In this paper,the financialization index of gold in China,on the basis of the relevant indicators of"the reservation and payment property"and"investment property",are constructed by four determining weight methods in the coefficient of Variation,Correlation coefficient,Entropy and Critic.The Time Evolution Analysis of the index analyzed the basic characteristics of the index and its stability,trend and periodicity.The study finds that the overall level of the financialization of gold in China has been increasing when time flies."The reservation and payment property"has the higher contribution to the financialization of gold.
In this paper,the concept of financialization of gold is defined on the basis of the basic attributes of gold,and the financial attributes of gold are divided into two properties:"the reservation and payment property"and "investment property".In this paper,the financialization index of gold in China,on the basis of the relevant indicators of"the reservation and payment property"and"investment property",are constructed by four determining weight methods in the coefficient of Variation,Correlation coefficient,Entropy and Critic.The Time Evolution Analysis of the index analyzed the basic characteristics of the index and its stability,trend and periodicity.The study finds that the overall level of the financialization of gold in China has been increasing when time flies."The reservation and payment property"has the higher contribution to the financialization of gold.
引文
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[10]Beckmann J,Czudaj R.Gold as an inflation hedge in a time-varying coefficient framework[J].The North American Journal of Economics and Finance,2013,24:208-222.
[11]Gürgün G,Brahim Nalm.Is gold a safe haven against equity market investment in emerging and developing countries?[J].Finance Research Letters,2014,11(4):341-348.
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[13]Sadorsky P.Modeling volatility and conditional correlations between socially responsible investments,gold and oil[J].Economic Modelling,2014,38:609-618.
[14]Agha S E,Saafi A R,Qayoom O A.Gold Investment from islamic perspective:the case of malaysia[J].2015,7(5):179-185.
[2]Martha Starr,Ky Tran.Determinants of the physical demand for gold:evidence from panel data[J].World Economy,2008,31(3):416-436.
[3]石清华,曹家和.我国外汇储备中黄金配置问题研究[J].上海金融,2011(1):69-72.
[4]方超逸.中国和日本黄金储备政策的比较研究——中国增持黄金储备的必要性分析[J].国际金融研究,2009(11):84-90.
[5]陈小竹.巨额外汇储备下我国黄金储备问题研究[J].上海金融,2009(11):68-70.
[6]徐荟竹,曹媛媛,杜海均.货币国际化进程中黄金的作用[J].金融研究,2013(8):98-108.
[7]李婧,解祥优.黄金储备真能促进货币国际化吗?——以欧元国际化为例[J].经济与管理研究,2016,37(7):47-54.
[8]Hillier D,Faff R.Do precious metals shine?an investment perspective[J].Financial Analysts Journal,2006,62(2):98-106.
[9]Roache S K,Rossi M.The effects of economic news on commodity prices[J].Quarterly Review of Economics&Finance,2010,50(3):377-385.
[10]Beckmann J,Czudaj R.Gold as an inflation hedge in a time-varying coefficient framework[J].The North American Journal of Economics and Finance,2013,24:208-222.
[11]Gürgün G,Brahim Nalm.Is gold a safe haven against equity market investment in emerging and developing countries?[J].Finance Research Letters,2014,11(4):341-348.
[12]Takashi Miyazaki,Shigeyuki Hamori.Testing for causality between the gold return and stock market performance:evidence for“gold investment in case of emergency”[J].Applied Financial Economics,2013,23(1):27-40.
[13]Sadorsky P.Modeling volatility and conditional correlations between socially responsible investments,gold and oil[J].Economic Modelling,2014,38:609-618.
[14]Agha S E,Saafi A R,Qayoom O A.Gold Investment from islamic perspective:the case of malaysia[J].2015,7(5):179-185.