دانلود رایگان مقاله انگلیسی بررسی تأثیر فاکتورهای اقتصاد کلان بر قیمت طلا - الزویر 2013

Abstract

This paper shows the dynamics of gold prices in the Gold Exchange in NEW YORK using a dataset that includes global macroeconomic indicators, financial market indices, quantities and prices of energy products. We extract common factors from the panel data series and estimate a Factor-Augmented Vector Auto-regression for gold prices. It shows that a factor correlated to purely financial developments contributes to the model performance, in addition to factors related to gold reserves and energy prices. This paper has two main contributions. First, all factors influencing the gold market have been classified into three groups, that is, gold reserve and prices of energy products , financial market indices , global macroeconomic indicators . We can see that the effect of financial market indices and macroeconomic indicators to gold price is negative, the effect of gold reserve and prices of energy product to gold price is positive. Second, we apply the FAVAR model to analysis factors influencing gold price and the trend of gold price.

1.5. Conclusion

In this paper, we apply a new statistical method of FAVAR to study the factors influencing the price of gold and its mechanis m, extracting three principal component factors, that is, gold reserve and prices of energy products ( F1 ), financial market indices( F2 ), global macroeconomic indicators( F3 ). In the whole, the relationship between gold reserve and prices of energy product ( F1 ) and gold spot price ( Y ) is positive, the effect of F2 to Y is negative. The response path is always negative, and the influence is stable, the effect of F3 to Y is negative, i.e. macroeconomic factors have a negative effect on gold price. Pulse response of analysis in each part, the price the effect is the most significant. The impulse response function reflects the relation of the factors and the price of gold, so as to make a rough gold price forecast. The results presented here can be extended in a number of directions. The model can also be used for structural economic analysis. For example, it would be used to identify monetary policy shocks as in Bernanke et al. (2005). The factors could be used to identify the impact of gold demand and supply shocks. In this sense, it would be important to understand what role purely financial market variables can play for the persistence and magnitude of the estimated shocks.