The Empirical Research On The Effects Of U.S. Monetary Policy To The Gold Price

From subprime mortgage crisis in April2007to the global financial crisis in September2008, and then the Federal Reserve launched three rounds of quantitative ease monetary policy. The global economy have been experienced the process of the eruption of the crisis-the spreading and worsening of the crisis-adjusting the monetary policy after the crisis. At the same time, the U.S. dollar liquidity also experienced excess liquidity before the crisis-the liquidity dried up in the crisis-excess liquidity again in the crisis management issue. In this process, the liquidity of changed has caused the world within the scope of financial asset price fluctuations, and led to the financial continuing unrest in the capital market.Before the financial crisis (2000.01-2007.04), the Federal Reserve reduced the interest rates to deal with the outbreak of the new economic bubble and the impact of the "911" event. This action led to excess liquidity in the financial market, and the gold price has been experienced a sustained bull market during this period, the price rise up by138%. Then in the outbreak period of the financial crisis (2007.04-2009.10), firstly the market was very panic, and the gold price was rising. In March2008, the gold price reached to$1030.8per ounce. But with the risk of the financial system gradually exposed, the liquidity changed from surplus to shortage. And the gold price was declining more than$200per ounce in two weeks, and it performed gently in a long time. Then in the time of economic recovery (2009.10-until now), the liquidity began to excess again during the period of the first round, the second round and the third round of quantitative easing monetary policy implementation. The gold price has been experienced a sustained bull market during this period. The liquidity and the gold price fluctuations gradually became the common focus of attention of the governments, investors and academia.This paper uses the methods of theoretical analysis and empirical analysis to research affect the U.S. monetary policy on the gold price. There are five chapters. The first chapter includes the study background, significance, analyzing method and innovation points. After that we review the existing research results at home and abroad. The second chapter contains the relevant theoretical basis part. It includes liquidity definition and measurement, the monetary policy influence asset price theory. Then, combine with the history data of gold price, we analyzes the factors that affect the gold price. The third chapter is the empirical study of the U.S. monetary policy impact on gold price in the short run. It uses event study method, and chooses the first round, the second round and the third round of quantitative easing monetary police as a key event. The result shows that the U.S. monetary policy can immediately affect the gold price, but the impact is very limited. The fourth chapter is the empirical study of the U.S. monetary policy impact on gold price in the long run. It uses the vector autoregressive model and co-integration test. The result shows that the U.S. monetary policy has a significant effect on the gold price. The last chapter is the part of the conclusion and suggestions. According to the empirical and theoretical analysis, we put forward relevant policy suggestions for the government and investors.