现货黄金报价影响因素.docx

金融工程（一班） 26130112 张仁欣现货黄金报价影响因素 三元线性回归分析 关键词： 现货黄金 NYME原油 美元指数 现货白银一、 问题背景美元作为世界准货币，世界主要的黄金市场以美元报价，美元走势好，作为价值储藏手段的黄金功能受到削弱，因此黄金与美元有一种负相关关系。以美元为纽带原油与黄金有正相关关系。原油价格上涨，世界经济受到影响，美国也不例外，原油上涨带来的通胀压力给美元带来贬值压力。同样作为重要的贵金属，现货白银与现货黄金也有一定联系。本分析以此三个因素为解释变量，进行三元线性模型，定量的分析。二、 模型建立建立美元指数、NYME原油、现货白银对黄金影响的三元线性模型，并进行分析 Y=0+1X1+2X2+3X3+u三、 数据选取本分析选取了2013年5月10日到2015年5月29日的周数据，为了提高光滑性，分别对三个数据取了对数记为LNY、LNX1、LNX2、LNX3。现将数据粘贴如下：日期现货黄金Y美元指数X现货白银（美元/盎司）NYME原油(美元，桶）LNYLNX1LNX2LNX32013/4/121483.4882.127.3021464.4081822013/4/191403.3582.767.2466184.4159452013/4/261461.2282.487.2870274.4125562013/5/31470.282.17.2931544.4079382013/5/101448.5283.1123.8595.977.2782984.4201653.1717844.5640362013/5/171359.9484.2222.2596.027.2151964.4334323.1023424.5645572013/5/241386.283.6422.3793.877.2343214.4265223.1077214.5419112013/5/311387.3583.2722.2491.617.2351514.4220883.1018924.517542013/6/71382.5381.6821.6496.267.231674.4028093.0745434.5670532013/6/141390.1580.6422.0697.897.2371674.3899953.0937664.5838442013/6/211295.9382.4520.0893.957.1669844.4121922.9997244.5427632013/6/281234.0783.2219.6596.497.1180734.4214882.9780774.5694392013/7/51222.6384.4318.9103.637.108764.4359232.9391624.6408272013/7/12128582.97106.257.1585144.418479#NUM!4.6657952013/7/191295.4582.6219.48108.477.1666134.4142522.9693884.6864742013/7/261332.6581.6819.96104.497.1949254.4028092.993734.6490912013/8/21311.6881.9619.86106.887.1790644.4062312.9887084.6717072013/8/91314.0381.1520.52106.037.1808544.3962993.02144.6637222013/8/161376.0881.3323.22107.687.2269944.3985153.1450144.6791642013/8/231397.1881.3924.04106.327.2422114.3992523.1797194.6664532013/8/301394.7582.0423.51107.767.240474.4072073.1574264.6799072013/9/61391.3582.1523.82110.237.238034.4085473.1705264.7025692013/9/131325.681.5522.19108.67.189624.4012163.0996424.6876712013/9/201325.5880.4721.76104.867.1896054.3878843.0800734.6526262013/9/271336.2180.2821.77102.837.1975934.3855213.0805334.6330772013/10/41310.680.1521.7103.637.178244.38393.0773124.6408272013/10/111271.9180.4421.33101.777.1482754.3875123.0601154.6227152013/10/18131679.6121.89100.847.1823524.377143.086034.6135352013/10/251350.4879.2122.5197.887.2082154.3721033.113964.5837422013/11/11315.9880.7121.8594.67.1823374.3908623.0842014.5496572013/11/81288.1381.2421.497.1609474.3974083.067588#NUM!2013/11/151289.8580.8120.787.1622814.3921013.033991#NUM!2013/11/221243.480.6619.857.1256054.3902432.988204#NUM!2013/11/291251.6680.6419.9592.787.1322264.3899952.9932294.5302312013/12/61228.8580.2519.497.1138344.3851472.969902#NUM!2013/12/131238.4380.1919.667.12164.3843992.978586#NUM!2013/12/201202.9580.5619.387.0925324.3890022.964242#NUM!2013/12/271212.680.3320.047.1005224.3861432.99773#NUM!2014/1/31236.7580.8720.137.1202424.3928433.002211#NUM!2014/1/101248.0580.6520.127.1293384.3901193.001714#NUM!2014/1/171253.6981.1920.297.1338464.3967923.010128#NUM!2014/1/241269.6980.4419.897.1465284.3875122.990217#NUM!2014/1/311244.581.2619.157.1264894.3976542.952303#NUM!2014/2/71266.8580.6719.987.1442894.3903672.994732#NUM!2014/2/141318.480.1521.457.1841744.38393.065725#NUM!2014/2/211323.8680.2721.827.1883074.3853963.082827#NUM!2014/2/281326.179.7921.27.1899984.3793983.054001#NUM!2014/3/71339.9579.7120.97.2003884.3783953.039749#NUM!2014/3/141382.5179.4221.4299.037.2316564.374753.0643254.5954232014/3/211334.380.120.2999.557.1961624.3832763.0101284.600662014/3/281294.6280.1819.78101.67.1659724.3842742.9846714.6210442014/4/41303.2980.4319.93101.17.1726474.3873872.9922264.616112014/4/111318.1379.4919.95103.377.1839694.3756312.9932294.6383152014/4/181294.6479.8619.58104.597.1659884.3802752.9745094.6500482014/4/251302.979.7619.68100.697.1723484.3790222.9796034.6120462014/5/21299.579.5119.4799.997.1697354.3758832.9688754.605072014/5/91288.4179.8719.15100.037.1611644.38042.9523034.605472014/5/161292.980.0519.35102.187.1646434.3826512.9626924.6267362014/5/231292.3380.3619.43104.397.1642024.3865172.9668184.6481342014/5/301249.4180.3918.78102.877.1304274.386892.9327924.6334662014/6/61252.980.2419.01102.797.1332164.3850222.9449654.6326882014/6/131276.8480.6119.67106.777.1521444.3896232.9790954.6706772014/6/201314.180.3420.86106.647.1809074.3862683.0378334.6694592014/6/271315.280.0420.91105.747.1817444.3825273.0402284.6609832014/7/41319.380.2721.12103.777.1848574.3853963.050224.6421772014/7/111338.480.1821.41100.457.199234.3842743.0638584.609662014/7/181310.480.5320.84102.887.1780884.388633.0368744.6335632014/7/251307.881.0420.7101.897.1761024.3949433.0301344.6238942014/8/11293.881.3120.2997.627.1653394.3982693.0101284.5810822014/8/81309.381.3819.8697.357.1772484.399132.9887084.5783132014/8/151304.581.4319.5497.247.1735754.3997442.9724644.5771822014/8/221280.882.3219.4193.367.155244.4106142.9657884.5364632014/8/291287.0182.7119.4595.847.1600774.4153412.9678474.562682014/9/51268.383.7719.1993.457.1454334.4280752.9543894.5374272014/9/121228.184.2118.6292.157.1132244.4333142.9242364.5234182014/9/19121684.7817.8192.177.1033224.440062.879764.5236352014/9/261218.1185.6317.6293.357.1050564.4500362.8690354.5363562014/10/31190.9786.6516.8289.717.0825234.4618772.8225694.4965822014/10/101222.9185.8417.3785.527.1089894.4524852.8547454.448752014/10/171237.8885.2117.2582.927.1211564.4451192.8478124.4178762014/10/241230.985.7217.1781.37.1155014.4510862.8431644.3981462014/10/311172.5986.9116.1380.77.066974.4648732.7806814.3907392014/11/71177.6587.587.0712764.472553#NUM!#NUM!2014/11/141189.187.5316.2975.937.0809524.4719822.7905514.3298122014/11/211201.3288.2716.4276.727.0911764.48042.79854.3401622014/11/281167.2388.2515.4365.997.0623894.4801742.7363144.1895032014/12/51190.4589.3516.2765.637.0820874.4925612.7893234.1840332014/12/121221.388.3417.0157.497.1076714.4811932.8338014.0516112014/12/191195.4289.5916.0757.777.0862534.4952442.7769544.056472014/12/261193.790.0316.0455.147.0848134.5001432.7750864.0098752015/1/21189.5991.1515.7552.817.0813644.5125072.756843.9667012015/1/91223.0591.9716.4848.217.1091034.5214622.8021483.8755662015/1/161280.2192.6317.7748.487.1547794.5286132.8775123.8811512015/1/231293.8894.9918.2845.297.1654014.5537722.9058083.8130862015/1/301283.2194.8817.2347.857.157124.5526132.8466523.8680712015/2/61233.5494.6916.7152.347.1176434.5506082.8160073.9577612015/2/131229.2894.1617.3352.657.1141844.5449952.8524393.9636662015/2/201201.5794.3116.2349.977.0913844.5465872.7868613.9114232015/2/271212.8895.2516.5849.527.1007534.5565052.8081973.9023772015/3/61168.2397.7315.9149.787.0632454.5822092.7669483.9076132015/3/131158.02100.2215.64457.0544674.6073682.7498323.8066622015/3/201182.2397.7916.7345.877.0751584.5828222.8172043.8258112015/3/271198.7997.4116.9448.437.0890684.5789292.8296783.8801192015/4/31202.5296.7616.7649.187.0921754.5722342.8189953.8954872015/4/101