090327使用大宗商品分析方法来预测黄金价格走势-gs.pdf

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1、2009 年 3 月 25 日 商品 高盛全球经济、商品和策略研究 1 2009 年 3 月 25 日 商品 使用大宗商品分析方法来预测黄金价格走势使用大宗商品分析方法来预测黄金价格走势 在金价预测中使用大宗商品分析方法在金价预测中使用大宗商品分析方法 本报告推出了新的框架来分析货币需求和黄金供应对金价走势的影响。根据这一框架，我们采用了预测金价的新方法，即根据黄金的货币需求（具体而言，黄金ETF 的买盘和央行的卖盘）以及实际利率在决定采矿机会成本中的重要作用进行预测。预计较低的实际利率将支撑金价超过当前水平预计较低的实际利率将支撑金价超过当前水平 这一分析框架表明，如果当前低实际利率的环境持

2、续下去，那么黄金价格在当前及高于当前水平上存在有力支撑。具体而言，假设实际利率接近当前水平，黄金 ETF 的买盘速度放缓至去年的水平，那么我们预计金价在未来 6 个月内将接近930 美元/盎司，12 个月内上涨至 962 美元/盎司。但是，一旦实际利率走低或者黄金 ETF 买盘仍和目前一样活跃，那么价格将面临显著上行风险。David Greely(212)902-2850| 高盛集团 杰夫杰夫可瑞可瑞+44(20)7774-6112| 高盛国际 高盛集团与本研究报告所分析的企业存在业务关系，并且继续寻求发展这些关系。因此，投资者应当考虑到本公司可能存在可能影响本报告客观性的利益冲突，不应视本报

3、告为作出投资决策的唯一因素。关于重要的信息披露，请参阅信息披露之前的部分或登陆高盛集团与本研究报告所分析的企业存在业务关系，并且继续寻求发展这些关系。因此，投资者应当考虑到本公司可能存在可能影响本报告客观性的利益冲突，不应视本报告为作出投资决策的唯一因素。关于重要的信息披露，请参阅信息披露之前的部分或登陆 高盛全球经济、商品和策略研究March 25,2009 Commodities:Frameworks Goldman Sachs Global Economics,Commodities and Strategy Research 1 March 25,2009 Commodities:Fr

4、ameworks Forecasting gold as a commodity Gold as a commodity This report introduces a new framework for analyzing the influence of monetary demand and gold supply on the price of gold.Based on this framework,we present a new approach for forecasting the price of gold based on the monetary demand for

5、 gold(specifically,the buying by gold-ETFs and the selling by central banks)and on the crucial role of the real interest rate in determining the opportunity cost of mining.Low real interest rates expected to support gold prices above current levels This“gold as a commodity”framework suggests that go

6、ld prices have strong support at and above current levels,should the current low real interest rate environment persist.Specifically,assuming real interest rates stay near current levels and the buying by gold-ETFs slows to last years pace,we would expect to see gold prices near$930/toz over the nex

7、t six months,rising to$962/toz on a 12-month horizon.Should real interest rates move lower or buying by gold-ETFs continue at its current torrid pace,however,the upside risk to prices would be significant.David Greely(212)902-2850| Goldman,Sachs&Co.Jeffrey Currie+44(20)7774-6112| Goldman Sachs Inter

8、national The Goldman Sachs Group,Inc.does and seeks to do business with companies covered in its research reports.As a result,investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report.Investors should consider this report as only a singl

9、e factor in making their investment decision.For important disclosures,see the text preceding the disclosures or go to Goldman Sachs Group,Inc.Goldman Sachs Global Economics,Commodities and Strategy ResearchMarch 25,2009 Commodities:Frameworks Goldman Sachs Global Economics,Commodities and Strategy

10、Research 2 Table of contents Forecasting gold as a commodity 3 The historical behavior of supply,demand and physical inventories,and the economics of the gold market 5 Forecasting gold prices 13 Real interest rates and the pricing of gold as a currency 21 Disclosures 23 March 25,2009 Commodities:Fra

11、meworks Goldman Sachs Global Economics,Commodities and Strategy Research 3 Forecasting gold as a commodity The monetary demand for gold has played a significant part in the large swings in gold prices of the past decade,with the selling of gold from government central bank reserves in the late 1990s

12、 depressing gold prices and the buying of gold for private investmentincluding the new gold exchange traded funds(gold-ETFs)sending gold prices through$1,000/toz twice during the current financial crisis(Exhibit 1).Because the monetary demand for gold has had such a significant influence on gold pri

13、ces over the past decade,it is tempting to view gold prices as driven simply by the vagaries of government policy and the investors view of financial distress;however,when viewed within the larger historical context,the past decades rise in gold prices falls within a longer cycle in gold prices,driv

14、en more by the economics of gold supply.This report introduces a framework for understanding the influence of both monetary demand and the economics of gold supply on the price of gold.Based on this framework,we present a new approach for forecasting the price of gold based on the monetary demand fo

15、r gold(specifically,the buying by gold-ETFs and the selling by central banks)and on the crucial role of the real interest rate in determining the opportunity cost of mining.Exhibit 1:Gold prices have increased four-fold over the past decade,and have become substantially more volatile over the past y

16、ear USD/toz 0.00200.00400.00600.00800.001000.001200.00Mar-99Mar-00Mar-01Mar-02Mar-03Mar-04Mar-05Mar-06Mar-07Mar-08Gold Price Source:Commodities Exchange(COMEX).This“gold as a commodity”framework suggests that gold prices have strong support at and above current price levels should the current low re

17、al interest rate environment persist.Specifically,assuming real interest rates stay near current levels and the buying from gold-ETFs slows to last years pace,we would expect to see gold prices stay near$930/toz over the next six months,rising to$962/toz on a 12-month horizon.However,should real int

18、erest rates move lower or gold-ETF buying continue at its current torrid pace,the upside risk to gold prices would likely be significant.This report is the first in our new Frameworks series.This series of occasional reports is intended to explore in greater detail the frameworks necessary for devel

19、oping views and forecasts for commodity market fundamentals and prices.In this first Frameworks report,we outline an approach to forecasting gold prices and fundamentals from the framework of“gold as a commodity”based on the economic and financial determinants of gold supply,demand,and inventories.H

20、istorically,we have viewed gold more as a currency than a commodity(see our February 4,2009 report“Gold:The currency of last resort”),March 25,2009 Commodities:Frameworks Goldman Sachs Global Economics,Commodities and Strategy Research 4 valuing gold(in US dollars)in relation to the US dollar price(

21、or exchange rate)of a basket of currencies.We view the approach in this report as complementing,not replacing,the currency approach,with each framework providing a valuable perspective on gold pricing.In terms of the approach to gold pricing,these frameworks can be described as follows:Currency fram

22、ework:Gold priced in relation to the price of potential substitutes for use as a store of value and medium of exchange.Key price drivers:Exchange rates,financial risk as measured by credit default swap rates on high-risk sovereigns and financials.Commodity framework:Gold priced in relation to the ma

23、rginal cost of supply and to the marginal willingness of consumers to pay.Key price drivers:Real interest rates,the overall price level as measured by the consumer price index(CPI),and movements in monetary demand for gold.The“gold as a commodity”framework explains three key“stylized facts”of gold p

24、rices in terms of the influence of real interest rates,inflation,and monetary demand for gold on the supply and demand for gold.Three stylized facts of gold prices:Long-term stability of purchasing power:The real(inflation-adjusted)price of gold has been stable over extremely long periods of time(Ex

25、hibit 2).More specifically,over the past 100 years,the real price of gold(in 2008 dollars)has averaged roughly$420/toz,with an ounce of gold having the same purchasing power in 2005 as it did in 1900.Negative correlation with real interest rates:While stable over extremely long periods of time,real

26、gold prices tend to move in long cycles,which are negatively correlated with the level of real interest rates.Positive correlation with financial distress:Gold prices tend to spike upward during financial crises,as the demand for monetary gold increases.Exhibit 2:The real price of gold has been quit

27、e stable over the long term,with long cycles related to real interest rates 2008 USD/toz 0.00200.00400.00600.00800.001000.001200.001400.001600.0019001910192019301940195019601970198019902000Real Gold PriceAverage Source:US Geological Service(USGS),GFMS and GS Global ECS Research.March 25,2009 Commodi

28、ties:Frameworks Goldman Sachs Global Economics,Commodities and Strategy Research 5 Interestingly,the historical behavior of supply,demand,and physical inventories in the gold market suggest that the first two“stylized facts”arise from the economics of gold supply,not gold demand,while the third aris

29、es from the monetary demand for gold.In particular,the following historical behavior is evident.Historical behavior of gold fundamentals:World gold mine production has historically moved in roughly 30-year cycles over the past century or more,with mine production growing at a faster pace during peri

30、ods of high real interest rates and at a slower pace during periods of low real interest rates.Monetary demand for goldthe demand for physical inventories of gold bullion and coinincreases in periods of financial distress such as the current one.Non-monetary demandthe demand for gold to be used in t

31、he creation of jewelry,art,electronics,and dentistry,is relatively stable over time,reacting primarily to the movements in real gold prices,with increasing real gold prices decreasing the non-monetary demand for gold.As discussed in detail below,these three“stylized facts”of gold prices and the hist

32、orical behavior of gold supply,demand,and physical inventories are consistent withand can be seen as arising fromthe following view of the economics of the gold market.On the supply-side,the marginal cost of extracting gold from the ground consists of the realized cost of extracting the gold plus th

33、e opportunity cost of not leaving the gold in the ground to be extracted in the future.The fact that real gold prices are stable over extremely long periods of time suggests that the realized cost of extraction increases with the price level of the overall economy.The fact that the rate of world gol

34、d mine production increases with the real interest rate suggests that,as the real interest rate increases,the opportunity cost of extracting gold declines,leading to greater gold extraction today.To take an extreme example,imagine that the real rate of interest is extremely high,such that one does n

35、ot care at all about the future;then one would want to extract as much gold today as possible,given the realized cost of extraction.On the demand-side,monetary demand for physical inventories of gold bullion and coin increase with perceived financial distress.Increased monetary demand for gold must

36、be met by increasing prices to motivate greater mine production or reduced non-monetary demand.Non-monetary demandprimarily jewelry demandlargely accommodates movements in gold supply and monetary demand,with higher real gold prices reducing non-monetary demand for gold and even inducing the scrappi

37、ng of gold jewelry.In the next section of this report,the historical behavior of gold prices and fundamentals outlined above is discussed in more detail,providing the background for the conceptual framework of the economics of the gold market.In the section following,this conceptual framework is use

38、d as the basis for a new approach to forecasting gold prices.In the third and final section,the relationship between the frameworks of“gold as a currency”and“gold as a commodity”is discussed.The historical behavior of supply,demand and physical inventories,and the economics of the gold market Gold m

39、ine supply:the economics of extraction and real interest rates Since the beginning of the twentieth century,the production of gold from the worlds mines has ebbed and flowed in long cycles extending over the span of decades.As seen in Exhibit 3,world gold production has exhibited a fairly regular cy

40、cle,with roughly 30 years March 25,2009 Commodities:Frameworks Goldman Sachs Global Economics,Commodities and Strategy Research 6 between each peak.Interestingly,real gold prices have been strikingly stable over this more than a century of history,although they have tended to be low when world gold

41、production is near a peak and high when world gold production is near a trough,suggesting that it is the movements in supply that are driving real gold prices over these long cycles.If supply is driving the price of gold,then the question becomes what is driving supply?As seen in Exhibit 4,changes i

42、n the rate of world gold mine production tend to move with the level of real interest rates,with high real interest rates leading to faster growth in gold mine production.Exhibit 3:Gold mine production has ebbed and flowed in 30-year cycles over the past century MT(left axis),1998 USD/toz(right axis

43、)Exhibit 4:with mine production growth increasing with real interest rates%change(left axis),ex-post US real interest rate(right axis)050010001500200025003000190019101920193019401950196019701980199020000.00200.00400.00600.00800.001000.001200.001400.00USAAustraliaCanadaSth AfricaOtherReal Price-50.00

44、-30.00-10.0010.0030.0050.0070.0019051915192519351945195519651975198519952005-8.00-6.00-4.00-2.000.002.004.006.008.0010.0012.00Gold Production GrowthReal Interest RateBoth series are smoothed by taking a 5-year moving averageSource:Data provided courtesy of Gavin Mudd1.Source:USGS,Robert Shiller2,and

45、 GS Global ECS Research.Exhibit 4 suggests that higher real interest rates increase the rate of gold mine production while lower real interest rates slow the rate of mine production.This is consistent with the economics of an extraction industry.The marginal cost of extracting today is not only the

46、actual cost of mining,but the opportunity cost of not having the same gold to mine in the future.This suggests that higher interest rates lead one to discount the future more heavily,driving down the opportunity cost and leading one to extract at a faster rate.To take an extreme example,if one did n

47、ot care at all about the future(i.e.,an extremely high interest rate),one would extract the gold as quickly as possible.It is important to note,however,that the above economic behavior does not require that gold be viewed as an exhaustible resource.In fact,the economics of extraction can be seen as

48、the mirror image of the economics of investment.It is conventional economic wisdom that high real interest rates discourage investment,as they increase the cost of capital.Consequently,one expects to see less investment in factories and manufacturing plants in high real interest rate environments.Fo

49、r a gold mine,however,extraction offers a secondmore rapidway to divest,by pulling the gold out of the ground today.Viewed in this way,the economics of extracting from an existing gold mine is the mirror image of the economics of investing in a new one.A high real interest rate reduces the motivatio

50、n to 1 Mudd,Gavin M.Global trends in gold mining:Towards quantifying environmental and resource sustainability?Resources Policy 32(2007)42-56.2 Shiller,Robert J.Market Volatility.MIT Press.Cambridge,MA 1989.March 25,2009 Commodities:Frameworks Goldman Sachs Global Economics,Commodities and Strategy