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The Research on Gold Price Based on It’s Monetary Property and Investmental Property

Author: HuBaoGuo
Tutor: XuDeYun
School: Anhui University of Finance
Course: Industrial Economics
Keywords: Gold price Money US Dollar index Inflation
CLC: F830.94
Type: Master's thesis
Year: 2012
Downloads: 25
Quote: 0
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Abstract


Gold is alternative asset that have multiple properties, that is:commodity property, monetary property and investmental property. Since2005, gold prices from$427per ounce rised to$1500per ounce. The fluctuation of the gold’s price attributes to many factors, but gold’s monetary property and investmental property play a dominant role in them. The international exchange rate, rate of interest, inflation, price of crude oil, and the stock and bond market trends will affect the gold price. The paper is to explore the internal laws of the gold price fluctuation from this perspective.This paper starts with introducing the theoretical and empirical research on the gold prices in China and abroad. Absorbed predecessors’achievements, the author introduces briefly the evolution of the international monetary system and gold’s monetary property, the global major gold markets and gold’s investmental property. Then, selected the related data over the past five years. In terms of gold’s monetary property, from relative purchasing power and absolute purchasing power two aspects, adopted correlation test, Augmented Dickey-Fuller test and Granger causality test methods to study the correlation between the USDII index, inflation, oil price with price of gold. In terms of gold’s investmental property, from the angle of opportunity cost, according to the substitution effedct and no-arbitrage hypothesis, discussed the correlation between the dow Jones index, yields of American treasury with gold’s price.Based on the above research results, the author establish the gold price formation model. We obtained the conclusion that exist a Co-integration relationship between gold price with US USDII index etc. Finally,the author pointed out that allocating a percentage of gold in a portfolio can improve the efficiency of investment and reduce the risk of investment. The article suggests that should increase proportion of gold in the international reserve.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Gold market
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