090327使用大宗商品分析方法来预测黄金价格走势-gs

2009年3月25日商品高盛全球经济、商品和策略研究12009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这一分析框架表明，如果当前低实际利率的环境持续下去，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。DavidGreely(212)902-2850|[e-mail]高盛集团杰夫·可瑞+44(20)7774-6112|[e-mail]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。高盛集团高盛全球经济、商品和策略研究March25,2009Commodities:FrameworksGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearch1March25,2009Commodities:FrameworksForecastinggoldasacommodityGoldasacommodityThisreportintroducesanewframeworkforanalyzingtheinfluenceofmonetarydemandandgoldsupplyonthepriceofgold.Basedonthisframework,wepresentanewapproachforforecastingthepriceofgoldbasedonthemonetarydemandforgold(specifically,thebuyingbygold-ETFsandthesellingbycentralbanks)andonthecrucialroleoftherealinterestrateindeterminingtheopportunitycostofmining.LowrealinterestratesexpectedtosupportgoldpricesabovecurrentlevelsThis“goldasacommodity”frameworksuggeststhatgoldpriceshavestrongsupportatandabovecurrentlevels,shouldthecurrentlowrealinterestrateenvironmentpersist.Specifically,assumingrealinterestratesstaynearcurrentlevelsandthebuyingbygold-ETFsslowstolastyear’space,wewouldexpecttoseegoldpricesnear$930/tozoverthenextsixmonths,risingto$962/tozona12-monthhorizon.Shouldrealinterestratesmovelowerorbuyingbygold-ETFscontinueatitscurrenttorridpace,however,theupsiderisktopriceswouldbesignificant.DavidGreely(212)902-2850|[e-mail],Sachs&Co.JeffreyCurrie+44(20)7774-6112|[e-mail]onalTheGoldmanSachsGroup,Inc.doesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.Forimportantdisclosures,seethetextprecedingthedisclosuresorgoto:FrameworksGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearch2TableofcontentsForecastinggoldasacommodity3Thehistoricalbehaviorofsupply,demandandphysicalinventories,andtheeconomicsofthegoldmarket5Forecastinggoldprices13Realinterestratesandthepricingofgoldasacurrency21Disclosures23March25,2009Commodities:FrameworksGoldmanSachsGlobalEconomics,CommoditiesandStrategyResearch3ForecastinggoldasacommodityThemonetarydemandforgoldhasplayedasignificantpartinthelargeswingsingoldpricesofthepastdecade,withthesellingofgoldfromgovernmentcentralbankreservesinthelate1990sdepressinggoldpricesandthebuyingofgoldforprivateinvestment—includingthenewgoldexchangetradedfunds(gold-ETFs)—sendinggoldpricesthrough$1,000/toztwiceduringthecurrentfinancialcrisis(Exhibit1).Becausethemonetarydemandforgoldhashadsuchasignificantinfluenceongoldpricesoverthepastdecade,itistemptingtoviewgoldpricesasdrivensimplybythevagariesofgovernmentpolicyandtheinvestor’sviewoffinancialdistress;however,whenviewedwithinthelargerhistoricalcontext,thepastdecade’sriseingoldpricesfallswithinalongercycleingoldprices,drivenmorebytheeconomicsofgoldsupply.Thisreportintroducesaframeworkforunderstandingtheinfluenceofbothmonetarydemandandtheeconomicsofgoldsupplyonthepriceofgold.Basedonthisframework,wepresentanewapproachforforecastingthepriceofgoldbasedonthemonetarydemandforgold(specifically,thebuyingbygold-ETFsandthesellingbycentralbanks)andonthecrucialroleoftherealinterestrateindeterminingtheopportunitycostofmining.Exhibit1:Goldpriceshaveincreasedfour-foldoverthepastdecade,andhavebecomesubstantiallymorevolatileoverthepastyearUSD/toz0.00200.00400.00600.00800.001000.001200.00Mar-99Mar-00Mar-01Mar-02Mar-03Mar-04Mar-05Mar-06Mar-07Mar-08GoldPriceSource:CommoditiesExchange(COMEX).This“goldasacommodity”frameworksuggeststhatgoldpriceshavestrongsupportatandabovecurrentpricelevelsshouldthecurrentlowrealinterestrateenvironmentpersist.Specifically,assumingrealinterestratesstaynearcurrentlevelsandthebuyingfromgold-ETFsslowstolastyear’space,wewouldexpecttoseegoldpricesstaynear$930/tozoverthenextsixmonths,risingto$962/tozona12-monthhorizon.However,shouldrealinterestratesmovelowerorgold-ETFbuyingcontinueatitscurrenttorridpace,theupsiderisktogoldpriceswouldlikelybesignificant.ThisreportisthefirstinournewFrameworksseries.Thisseriesofoccasionalreportsisintendedtoexploreingreaterdetailtheframeworksnecessaryfordevelopingviewsandforecastsforcommoditymarketfundamentalsandprices.InthisfirstFrameworksreport,weoutlineanapproachtoforecastinggoldpricesandfundamentalsfromtheframeworkof“goldasacommodity”—basedontheeconomicandfinancialdeterminantsofgoldsupply,demand,andinventories.Historically,wehaveviewedgoldmoreasacurrenc