经济政策不确定性、投资者情绪与黄金价格波动

doi:10.11872/j.issn.1005-2518.2022.06.127

Abstract

Abstract:

Gold plays an important role in maintaining financial stability and risk aversion.It is not only a haven against uncertainty，but also a key factor affecting investors’sentiment and decision-making behavior. The-refore，it is of great value to investigate the impact of uncertainty risk and investors’risk aversion decision on gold price. At present，there is no consensus on the impact of economic policy uncertainty on gold price. Few scholars incorporate economic policy uncertainty and investor sentiment into the research framework at the same time，and few literatures study high uncertainty separately.In order to better explore the above issues，based on risk aversion and expectation theory，economic policy uncertainty and investor sentiment were incorporated into a unified analysis framework.With data from 2011 to 2021 as samples，GARCH-MIDAS model was used to explore the impact of economic policy uncertainty and investor sentiment on gold price volatility. Furthermore，the influence changes under the environment of high economic policy uncertainty were investigated.The results show that：Firstly，gold price fluctuation has autocorrelation，and the long-term impact is positive.Secondly，in the short term，gold prices are affected by economic policy uncertainty and investor sentiment changes，positive shocks can increase the short-term volatility of gold prices，in the long term，gold prices will be negatively affected by economic policy uncertainty，but the long-term impact of investor sentiment is not significant.Finally，high economic policy uncertainty will be more noticeable to domestic investors and reflected in gold price volatility.These contents not only provide a new perspective for the discussion of gold price volatility，but also provide a reference for the realization of risk control or financial stability.

Key words: gold price volatility, economic policy uncertainty, investor sentiment, GARCH-MIDAS model, mixed frequency data

CLC Number:

F830

Minggui ZHENG,Qunting PENG,Simin TAO,Lizhen LIU. Economic Policy Uncertainty，Investor Sentiment and Gold Price Volatility[J].Gold Science and Technology, 2022, 30(6): 891-900.

Figures/Tables 5

Fig.1

Fig.2

Table 1

Table 2

Estimation results of GARCH-MIDAS model"

参数	参数值
参数	模型（1） RV	模型（2） RV+ dCEPU	模型（3） RV+ dCICSI	模型（4） RV+ dCEPU+ dCICSI
μ	0.0324	0.0547	0.0354	0.0127
α	0.1200^***	0.1303^***	0.1096^***	0.1123^***
β	0.8202^***	0.8664^***	0.8932^***	0.8298^***
γ		-0.0927^***	-0.0771^***	-0.0142
m	0.9785^***	1.0175^***	0.7053^***	1.0980^***
$θ 1$	0.0056^***	0.0054^***	0.0054^***	0.0047^***
$ω 12$	5.6940^***	6.0913^***	4.2444^***	1.8970^***
$θ 2$		-0.0543^**	1.0934	-0.0154^**
$ω 22$		1.2267^***	1.0000^**	1.6951^***
$θ 3$				0.1181
$ω 32$				3.3012^**

Table 2

Table 3

Estimation results of GARCH-MIDAS model by sample and results of robustness test"

参数	参数值
参数	模型（5） RV+ dCEPU	模型（6） RV+dCICSI	模型（7） RV+dGEPU
μ	0.1121^*	0.1000^*	0.0473
α	0.1942^***	0.1545^***	0.1268^***
β	0.8168^***	0.8435^***	0.8795^***
γ	-0.1348^**	-0.1096^***	-0.0916^***
m	1.1908^***	0.9516^***	0.9027^***
$θ 1$	0.0050^***	0.0048^***	0.0055^***
$ω 12$	1.8622^***	1.0000^*	4.5356^***
$θ 2$	-0.0245^***	0.5084^***	-0.0108^*
$ω 22$	1.5658^***	1.8491^***	13.9273^***

Table 3

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变量	样本量/个	平均值	标准差	最小值	最大值	偏度	峰度	Jarque-Bera	ADF
r	2 675	0.0270	2.8453	-33.1900	17.3900	-1.2347	18.7658	28 383.9335^***	平稳
dCEPU	132	1.6533	80.5617	-273.1702	283.9710	0.2549	5.4088	33.3434^***	平稳
dCICSI	132	0.0370	4.4873	-11.4700	26.1100	1.4365	11.2294	417.8787^***	平稳

Economic Policy Uncertainty，Investor Sentiment and Gold Price Volatility

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