中美政治關係對貴金屬價格的影響—基於TVP-VAR模型

Abstract

地緣政治近年來成為全球金融市場重要的影響因素，各國金融市場受到外部不確定性的衝擊。貴金屬是國際上重要的戰略資源，也是重要的金融投資商品，關係到大宗商品交易市場等金融市場的穩定，甚至影響全球經濟穩定性。

近年來，隨著中國經濟在全球影響力逐漸增強，中美兩國之間的競爭戰略關係發生了本質變化，從戰略夥伴轉變為競爭對手。作為全球最大已開發和開發中國家的美國和中國，也是貴金屬市場的主要參與者，我們有理由相信兩國間的政治風險變化將對金融商品市場造成一定衝擊。

因此，本研究選擇1960至2023年的中國與大國關係數據庫中的中國與美國政治關係指數以及貴金屬金、銀、鉑、鈀價格數據，建立TVP-VAR模型，以量化方式分析中美政治關係與貴金屬市場價格之間的關聯性，探討其在短期、中期和長期以及各時點的動態影響。

實證結果顯示，金和銀具有高度相關性，當中美政治關係受到衝擊時，它們呈現出類似的反應。鉑雖然波動幅度較小，但在走勢上也具有一定程度的相似性，而鈀金屬相較於其他貴金屬更為獨立。中美政治關係對各貴金屬在中長期產生的衝擊影響高於短期，尤其在明顯波動時，差異更加加劇。總體而言，中美政治關係對四類貴金屬的影響在不同時期表現出顯著的時變性，不僅受中美政治關係指數變化的影響，還可能受到時代背景、國際政治和經濟發展等多重因素的交互作用影響。

Geopolitics has become an important factor affecting the global financial market in recent years, and the financial markets of various countries have been impacted by external uncertainties. Precious metals are important strategic resources in the world, as well as important financial investment commodities, which are related to the stability of financial markets such as commodity trading markets, and even affect the stability of the global economy.

In recent years, with the gradual increase of China's economic influence in the world, the competitive strategic relationship between China and the United States has undergone essential changes, from a strategic partner to a competitor. The United States and China, the world's largest developed and developing countries, are also major players in the precious metals market. We have reasons to believe that the political risk changes between the two countries will have a certain impact on the financial commodity market.

Therefore, this study selects the US-China political political relationship index and the price data of gold, silver, platinum, and palladium from 1960 to 2023, and establishes a TVP-VAR model to quantitatively analyze the correlation between US-China political relations and precious metal market prices, discussing their dynamic impact in the short, medium and long term and at various points in time.

Empirical results show that gold and silver are highly correlated, showing similar impulse responses. Although platinum fluctuates less, it also has a certain degree of similarity in trend, while palladium is more independent than other precious metals. The impact of US-China political relations on various precious metals in the medium and long term is higher than that in the short term, especially when there are obvious fluctuations, the difference is even more intensified. In general, the impact of US-China political relations on the four types of precious metals shows significant time-varying characteristics in different periods, which is not only affected by changes in the US-China political relationship index, it may also be affected by the interaction of multiple factors such as the background of the times, international political and economic development.