【摘要】 选取2012年1月4日—2020年2月28日期间的黄金期货价格和现货价格数据，对黄金期现货价格数据进行平稳性检验和协整关系检验，以此建立长期均衡模型和误差修正模型，再进行格兰杰因果关系检验，利用脉冲响应函数分析黄金期货价格的波动给黄金现货价格带来的冲击或影响。结果表明，黄金期货价格与现货价格之间存在显著的协整关系，黄金期货价格并未有效指导黄金现货价格，黄金期货市场价格发现效应尚未得到充分利用。同时黄金现货价格对黄金期货价格有反向影响，黄金期货市场对黄金现货市场的作用力度不够强，市场效率不够充分，价格发现作用没有完全发挥出来，我国黄金期货市场发展尚未成熟。更多还原

【Abstract】 The future price and spot price data of gold from January 4, 2012 to February 28, 2020are selected to test the stability and cointegration relationship of the price data of gold futures and gold spots, so as to establish the long-term equilibrium model and error correction model, and then conduct the Granger causality test. The impulse response function is used to analyze the impact or influence of the fluctuation of gold future price on gold spot price. The results show that there is a significant cointegration relationship between gold future price and gold spot price. Gold future price does not effectively guide gold spot price, and the price discovery effect of gold future market has not been fully utilized. At the same time, gold spot price has a negative impact on gold future price. The role of gold future market in gold spot market is not strong enough; The market efficiency is not sufficient; The role of price discovery has not been fully played, and the development of China’s market of gold futures is not yet mature.更多还原