20230712_东方证券_黄金行业深度报告：三因子框架解释黄金走势_25页.pdf
|1 2 3 1970 1 1971-1980 2 1981-2000 3 2001-2012 9 11 4 2012-2018 5 2018-19 23(600547)(600489)(601899)(002155)/2023 07 12 021-63325888*6084 S0860520010002 BTB487 S0860523040001 Q3 2023 27 2023-07-09 2023 26 2023-07-03 2023 25 2023-06-25 2.5 1.1.5 1.2.6 1.3.7.9 2.1 1970.9 2.2.10.15 3.1.15 3.2.20.23.23 XVAZwPnQmPrQqOpMqNqPnM9P8Q7NmOrRsQoNlOmMrOfQqRtR8OnMmRNZnRnNNZpNrP 3 1/.5 2/%.6 3/%.6 4 M1%/.7 5 VIX/.7 6%/.10 7 1973-1975 1979-1982/.11 8%.11 9 1983-1985/.11 10 1983-1984%.11 11 04-06 GDP%.12 12():WTI/.12 13 04-06 VIX%/.12 14 04-06.12 15 GDP%.13 16 70%.13 17 70/.13 18 70%.13 19 GDP 70%.15 20 5 PMI%.15 21 6 3 50bp.15 22 2023.15 23 6 16.16 24 6 15.16 25 PCE PCE CPI CPI%.16 26 CPI CPI%.17 27 6%.17 28.17 29 2023 5.18 30%/.19 4 31.20 32 23Q1.20 33%.21 34 vs.21 1.22 5 Au 1971 1.1 1971 1/Wind 02040608010012014016018003006009001,2001,5001,8002,1002,4001971 1974 1977 1980 1983 1986 1989 1992 1995 1998 2001 2004 2007 2010 2013 2016 2019 2022:()6 1.2=-10 TIPS TIPS 10 TIPS 2/%Wind QE M1-=TIPS 2008 2020 3/%Wind=:10-:(TIPS):10-1.5-1.0-0.50.00.51.01.52.02.53.03.503006009001,2001,5001,8002,1002,400:(TIPS):10 0.000.501.001.502.002.503.003.5003006009001,2001,5001,8002,1002,400:7 2008 M1 2011 2015 2020 M1 2008 4 M1%/Wind 1.3 500 VIX VIX 2008 2012 2015 2016 2018 2020 2022 VIX 5 VIX/03006009001,2001,5001,8002,100-10-50510152025303540451971197219731975197619781979198019821983198519861988198919901992199319951996199719992000200220032005200620072009201020122013201420162017201920202022:M1:M1:M1:M1:8 Wind 010203040506070809003006009001,2001,5001,8002,1002,4001990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023:500(VIX)()9 2.1 1970 1970 1 1971-1980 1971 1973 1979 2 1981-2000 20 1982 1990 1997 1985 1981 2000 3 2001-2012 2000 2001“911”2008 2010 VIX 4 2012-2018 2012 VIX 2015 VIX 2015 2012 2018 5 2018-2018 2019 2018 3 6 9 12 2018 VIX 2019 7 2020 8 4 VIX 2022 3 2022 10 3 3 6%/Wind 2.2 2.2.1 1983.3-1984.8 1983-1984 60 70 1973-1975 1979-1982 1979 1 80 2 1979-1981 1982 1982 1982 1983-1984 13 275bp 5%-50005001,0001,5002,0002,500-20020406080100120140160:500(VIX):(TIPS)*10:10:()第一轮黄 金牛市 第一轮黄 金 熊 市 第二轮黄 金 牛 市 第二轮黄 金 熊 市 第三 轮黄 金 牛市 11 7 1973-1975 1979-1982/8%Wind Wind 9 1983-1985/10 1983-1984%Wind Wind 2.2.2 2004-2006 04-06 6 15-18 04-06 5 1 2 2005 3429 2004 17.9%GDP 6%3 4 2001 911 0204060801001201401601974-011974-091975-051976-011976-091977-051978-011978-091979-051980-011980-091981-051982-011982-091983-051984-011984-091985-051986-011986-091987-05:024681012141980 1981 1982 1983 1984 1985 1986 1987:GDP:80901001101201301401501601702503003504004505005501983-021983-041983-061983-081983-101983-121984-021984-041984-061984-081984-101984-121985-021985-041985-061985-081985-101985-12:01234567891982 1983 1984 1985 1986 1987:12 5 11 04-06 GDP%12():WTI/Wind Wind 13 04-06 VIX%/14 04-06 Wind wind 2.2.3 1970 70 70 1960 71 6%1971 8 5.8%12 3%-4-202468101220032004200520062007200820092010201120122013201420152016201720182019202020212022-500501001502003504004505005506006507007505101520252004-012004-032004-052004-072004-092004-112005-012005-032005-052005-072005-092005-112006-012006-032006-052006-072006-092006-11:500(VIX):0204060801001201401601802003/32004/32005/32006/32007/32008/32009/32010/32011/32012/32013/32014/32015/32016/32017/32018/32019/32020/32021/32022/32023/3:GDP 04-05 6.5%13 1973Q2 M1 1973 1973Q3 1973 11 1974 4 CPI 10%1975 70 1973 1977 70 1979 1979 15 GDP%16 70%Wind wind 17 70/18 70%Wind Wind 0246810121416-4-202468101970-031970-111971-071972-031972-111973-071974-031974-111975-071976-031976-111977-071978-031978-111979-071980-031980-11:GDP:CPI:-2-1012345670204060801001201400100200300400500600700800900:0510152025:(EFFR)()滞 胀时期 滞 胀时期 新 经济政策 14 15 3.1 3.1.1 22 3 GDP 5 PCE 3.85%6 PMI 46 2020 5 6 PMI 19 GDP 70%20 5 PMI%Wind Wind 3.1.2 6 2023 6 15 5%-5.25%18 50bp 50bp 3 23 5.5%7 6 12 9 5.5%-5.75%50bp GDP 23 GDP 1%3 6 15 21 6 3 50bp 22 2023 02468101214:GDP:PCE:405060702021-012021-032021-052021-072021-092021-112022-012022-032022-052022-072022-092022-112023-012023-032023-05:(ISM):PMI:PMI:PMI:16 FED FED 2023 GDP 23 6 16 24 6 15 Wind Wind 5 CPI 5 PCE 3.85%6 13 5 CPI 4%4.1%4.9%CPI 2022 6 40 9.1%11 5 CPI 5.3%5.2%5.5%5 PCE 3.85%4.3%5 PCE 0.1pct 0.4%5 PCE 4.62%PCE 2%25 PCE PCE CPI CPI%1.001.101.201.301.401.501.601.70100101102103104105106:10 1650170017501800185019001950200020502100-505102000-012000-112001-092002-072003-052004-032005-012005-112006-092007-072008-052009-032010-012010-112011-092012-072013-052014-032015-012015-112016-092017-072018-052019-032020-012020-112021-092022-072023-05:PCE:PCE:CPI:CPI:17 Wind CME 7 25bp Bloomberg 23Q2 CPI CPI 26 CPI CPI%Bloomberg 6 6 20.9 2020 12 23 33.9 14 6 5 0.1 3.6%6 4.4%4.2%4.3%0.4%0.3%0.3%0.4%27 6%28 Wind Wind 012345678910CPI CPI01002003004005006003.203.303.403.503.603.703.802022-052022-062022-072022-082022-092022-102022-112022-122023-012023-022023-032023-042023-052023-06:3.003.504.004.505.005.506.006.507.002022-012022-022022-032022-042022-052022-062022-072022-082022-092022-102022-112022-122023-012023-022023-032023-042023-05:12 18 2020 2020 2 4 42.3%8.8%48.9%0.3%29 2023 5 90%90%3.1.3 2022 4 2003 6 30 2006 6 29 3 1%5.25%70.3%2012 9 28 1776/189.49%2015 12 17 2018 12 20 3 0.5%2.5%20.04%2020 8 28 55.57%19 30%/Wind 5 16+2024 2023 上 一 轮 加息 周 期 上 上 轮 加息 周 期 本 轮 加 息周 期 20 2023 1 7 7 11 2 3 3.2 3.2.1 2022 2023 23Q1 23Q1 MAS 69 2021 6 23Q1 222 2022 45%23Q1 58 22 11 120 2068 4%23 Q1 19.64 14.62 31 32 23Q1,Refinitiv GFMS,Q1 Q2-4/IFS,21 3.2.2 A 23 B 2023 5 15 2023 22 3 33%34 vs wind Bloomberg 2020 2020 1 1.7%2023 4 2.3%1.51.71.92.12.32.52.72.93.13.32530354045502020/12020/32020/52020/72020/92020/112021/12021/32021/52021/72021/92021/112022/12022/32022/52022/72022/92022/112023/12023/3 051015202530351980/5/311983/5/311986/5/311989/5/311992/5/311995/5/311998/5/312001/5/312004/5/312007/5/312010/5/312013/5/312016/5/312019/5/312022/5/31 22 1 2019/6/1(INSTEX)(INSTEX)2022/1/19/2022/3/31 2022/4/21/2022/7/1 2022/7/19/2022/8/12 2023/1/1 2023/1/22 2023/2/22 2023/3/1 2023/3/28 2023/3/29/2023/3/31 Aljazeera 23 23(600547)(600489)(601899)(002155)24 Tabl e_Disclai mer 12 A 300 500 15%5%15%-5%+5%-5%5%-5%+5%-5%HeadertTabl e_Discl ai mer HeadertTabl e_Address 318 26 021-63325888 021-63326786 Tabl e_Disclai mer
