黄金价格与CPI指数时间序列的相关分析研究自拟合和模拟
时间:2016-12-18 20:12 来源:毕业论文 作者:毕业论文 点击:次
| 摘要在实际的研究中，黄金价格和CPI指数分别是间接和直接考量通货膨胀的重要数据。那么在他们之间是否存在一定的相关性也的确是一个值得研究的问题。因为可以直接影响到投资者在黄金投资已经高层对宏观经济的预测与研究有着重大的意义。 本课题旨在使用国际黄金组织的相关黄金价格数据和统计年鉴的CPI指数的数据进行时间序列的自拟合和模拟，以验证二者之间的相关性和建立金融模型，让其做到可以通过一项的自拟合预测得到一项数据的推测。并验证此项模型的可行性。具体的模拟方式，我们选用的是小波分析法，利用小波多尺度分析的特点，时间序列分析在时域和频域都达到满意的局部化能力。并且由于其自拟合的能力在物理上的应用达到了普遍认可的地步，我们便做出了将其运用到金融市场的尝试，这样可以在相关性的验证是得到更加准确的结论。 通过对已知数据的小波分析等，我们得到以下结论: 1. CPI指数和黄金价格存在强烈的相关性 2. CPI指数和黄金价格不是直接相关而是间接相关,期中来存在一个间接两对二者进行衔接，由于外界的影响导致该量的变化从而导致正负相关性异置，该量也许是美元指数等，静待进一步研究； 3. CPI指数和黄金价格的相关性的正负是在通货膨胀时变为负相关,这说明黄金和cpi指数的相关性在经济动荡时期是呈现负相关的，这说明黄金作为对经济调控的重要手段在特殊时期自然是运转得更加频繁。 关键词：CPI 黄金价格 小波分析 相关性 通货膨胀4512 Correlation and analysis of golden price and CPI Index Abstract In the actual study, the price of gold and the CPI index are indirectly and directly accounting for inflation data. Whether there is a certain correlation is indeed a worthy of study in between them. Because they can directly affect the investors in gold investment has been high-level macroeconomic forecasting and research of great significance. The purpose of this project is to use the International Organization for gold gold price data and the Statistical Yearbook of the CPI index data time series self-fitting and simulation, to verify the correlation between the two and build financial models allowed to do can an extrapolation of data obtained through a self-fitting forecast. And verify the feasibility of this model. Specific analog way, we use wavelet analysis features using wavelet multi-scale analysis, time series analysis in the time domain and frequency domain achieve satisfactory localization. And due to its ability to self-fitting on the physical to the point of generally accepted, we have made the attempt to be applied to the financial markets, so you can verify the correlation is more accurate conclusions. Based on the known data of the wavelet analysis, we get the following conclusions: 1 the CPI index has positive and negative correlated strongly with the price of gold 2 The CPI index and the price of gold is not related directly but indirectly, period to the presence of an indirect two two pairs of cohesion, due to outside influences lead to changes in the quantity of the resulting in positive and negative correlation between the amount of change, perhaps the dollar index, waiting for further research; 3 The positive and negative correlation between CPI index and the price of gold is changed into negative correlation in inflation, the correlation between gold and the CPI index was negatively related in the period of economic turmoil, this shows that gold as an important means of economic regulation in the special period of nature is even more frequent. Keywords： CPI gold price wavelet analysis correlations expansion of the currency (责任编辑：qin) |