黃金 - 石油比率的歷史：1970-2018

python信用評分卡（附代碼，博主錄製）

https://study.163.com/course/introduction.htm?courseId=1005214003&utm_campaign=commission&utm_source=cp-400000000398149&utm_medium=share

https://www.kitco.com/commentaries/2018-09-10/The-History-of-Gold-Oil-Ratios-1970-2018.html

今天我記錄並分析了從1970年1月到2018年8月的黃金和石油價格及其比率。這是咱們對二戰以來金 - 油比率研究和分析的第二部分。

做爲提醒，咱們使用Kitco.com提供的月平均倫敦金價和來自美國能源信息管理局（EIA）的西德克薩斯中質原油（WTI）的月平均油價。

上週，我從1946年至1969年審查了黃金和石油的價格和比率，當時這兩種商品都以美圓固定。

在1971年至1973年的三個步驟中，美國退出1944年的佈雷頓森林協議，使美圓貶值，並自由地將其兌換成黃金。當其餘工業化國家於1973年3月浮動貨幣時，創建了一個新的世界經濟體系，美圓做爲世界儲備法訂貨幣

從1970年1月到2018年7月，金（紅）和油（藍）的月平均價格圖以下所示：

該圖表顯示黃金和原油的價格一般是正相關的，但石油一般更不穩定。有時會出現強烈的負相關。這兩種商品都呈現指數上升，拋物線下跌和短時間飆升。

在584個月期間，黃金與石油的比率表現出很大的差別，極端的波動性，以及從低於6的高點到高於30的高點的很是寬的範圍：

這些比率以正偏斜的鐘形曲線分佈，平均值爲15.9，中位數爲16.2，下端的異常值很是少：

分佈如下面的表格和直方圖格式顯示：

Au的分佈：WTI比率1970-2018

從咱們的數據集和從1970年1月到2018年8月的月平均黃金與石油比率的分佈，觀察結果以下：

• 比率<8.0是很是不尋常的，發生在11個月或不到2％的時間。它們發生在2000年11月，在2005年的春季，夏季和秋季，以及2008年5月至8月的六個月。

• 從8.0到10.0的比率構成了記錄的十分之一。

• Au：來自10.0-12.5的WTI佔月度比率的五分之一以上。

• 12.5和17.5之間的比例佔據了分佈的近三分之一。

• 17.5-23.0的比率略高於數據的五分之一。

• 23.0-30.0區間約佔咱們綱要的十分之一。

• 12個月的異常值> 30.0，略高於總記錄的2％。這些異常高的比率分別在1973年，1986年和1988年發生過兩次，在2016年夏季和冬季發生了6次。

 

咱們的處理始於1970年1月，當時黃金和石油價格基本固定，異常低的比率爲10.4。直到1971年8月所謂的尼克松衝擊，當時「黃金窗口」關閉時，這個比例仍然很低，爲11.5或更低。此行動以後是1973年2月徹底與黃金斷絕以前的兩次官方美圓貶值。其餘工業化國家一個月後在世界交易所上市。

美國經過石油進口，越南戰爭，擴大社會計劃以及美聯儲擴大貨幣供應量的通貨膨脹致使70年代初金價上漲五倍。

1973年7月，黃金飆升至每盎司120美圓，而原油仍維持在每桶3.56美圓。黃金油比率急劇上升至近34個。在接下來的五個月中，WTI的官方訂價爲4.31美圓/桶，但因爲供應充足，實際售價低於公開市場。

1956年，King Hubbert預測美國的石油產量將在1970年達到頂峯。事實上，這種狀況在1970年底開始實施。1973年，產量迅速降低，進口量從300萬桶增長一倍，達到600多萬桶/天。

10月份歐佩克對20個贖罪日戰爭期間支持以色列的國家實施了禁運，10月份工業化世界遭遇動盪。禁運持續了六個月，1974年1月公佈的WTI價格上漲235％至10.11美圓。儘管4月金價穩步上漲至170美圓以上，但這有效地將金油比率減小到了十幾歲中期的普通範圍。

美圓貶值，黃金自由浮動以及油價上漲致使1973 - 1974年股市崩盤。道瓊斯指數下跌45％，經濟嚴重衰退，GDP收縮超過2％，通脹飆升至12％。

隨着兩種商品價格的穩步上漲，黃金 - 石油比率在整個十年的剩餘時間內保持低位，通常從10到15.從1976年中期到1977年初，當WTI的訂價上漲時，黃金油價一度跌破10。 ％。

1979年初的伊朗革命和1980年開始的八年伊朗 - 伊拉克戰爭是1979年初至1981年中期商品繁榮的催化劑。黃金和石油均呈指數上漲。這兩次事件致使全球石油供應減小了約14％，隨後又出現了經濟衰退，80年代初期出現了猖獗的通貨膨脹。

金價從1979年1月的200美圓低點飆升400％至1980年1月的每盎司843美圓，28年來價格水平未再達到。其1月份的月均價爲675美圓。石油價格上漲了260％，從1979年4月的15.85美圓上漲到1980年4月創下的39.50美圓的歷史新高。比率沒有受到太大影響，除了1980年1月至2月的黃金價格飆升外，大部分都處於中期水平。

1979年4月，卡特總統開始放鬆對尼克松於1973年實行價格管制以來一直存在的石油管制。1981年1月，里根總統簽署了一項行政命令，最終容許美國石油在公開市場上自由交易。

1981年底，石油過剩致使工業國家經濟活動放緩，高價格推進產量增長，以及保護措施刺激消費減小。將來四年，石油和黃金價格走勢略微走低，這一比例通常介於1985年至11年的13至13之間。

1986年初，沙特人厭倦了其餘石油輸出國組織成員國不遵照生產配額，開啓了滿負荷生產的水龍頭，並向世界充斥着剩餘的石油。價格像搖滾同樣下跌，在美國觸及的價格略高於10美圓，在中東的價格僅爲7美圓。

金油比率躍升至20年代而且在1989年2月以前一直保持在該標記之上。它在1986年的兩個月和1988年的兩個月達到高於30的高度異常水平。黃金交易價高於400美圓而WTI一般訂價在高位市場從新調整後的青少年。

這種長期存在的油價下跌嚴重影響了蘇聯的國際收支，致使經濟不穩定並在1991年消亡。

當埃克森瓦爾迪茲於1989年3月在阿拉斯加南部擱淺並泄漏了25萬桶原油時，價格在近兩年內首次超過20美圓。Au：WTI在三年多以來首次跌破20。

1990年8月伊拉克入侵科威特時，石油市場遭受了下一次重大沖擊。儘管黃金對這一地緣政治事件幾乎沒有反應，但石油價格翻了一番。9月平均每桶39.57美圓，當月該比率跌至10如下。但就像海灣戰爭同樣，高油價是短暫的，1991年1月回到了20美圓的水平。

1991年12月蘇聯解體，黃金和石油價格幾乎沒有變更。在接下來的六年中，這兩種商品都是區間範圍的，金價爲300美圓，石油價格高至20美圓左右。比率處於中間區間。1997年世界經濟衰退被稱爲亞洲污染，致使當年12月黃金價格低於阻力位300美圓，而1998年11月石油價格跌破12美圓。

在接下來的3。5年裏，黃金仍然低於300美圓，許多礦山被關閉。在互聯網泡沫的推進下，美國股市在1999年中期飆升，2000年11月世界石油價格飆升至每桶33美圓。結果很是低，一般不到10。

2000年3月，科技股將納斯達克指數創下5000點以上的高位，其隨後的崩盤在2002年10月底市場價格下跌了78％。

儘管在2001年9-11恐怖主義以後出現了混亂，但這一繼續對美國經濟福祉和外交政策產生負面影響的地緣政治事件對黃金和石油價格或比率沒有明顯影響。

2002年4月，當黃金價格突破4。5年阻力位310美圓時，初期的大宗商品牛市開始上漲。油價在開始上漲以前保持在30美圓區間，同時金價在2003年末超過400美圓。

所以，該行業開始了五年的繁榮，主要的世界交易所交易商品包括黃金，石油，銅和鈾，創下歷史新高。黃金和石油同時上漲，比率一直很是低，包括2005年春季和秋季以及2008年中期的7.0如下的創紀錄異常值。

黃金在2008年3月中旬達到1008美圓的高位，當月平均價格爲968美圓/盎司。石油價格創下了每桶145美圓的歷史新高，並創下了6.4的歷史最低點。

而後雷曼兄弟在9月份失敗，隨後出現全球經濟危機。全部商品，包括黃金和石油，都在幾個月內拋售。11月中旬黃金跌至714美圓，由於投機者清算持股以彌補追加保證金要求。油價在12月底觸及30美圓。

2009年初避險買盤對黃金的下跌是短暫的。黃金 - 石油比率在中高端的水平上翻了一倍以上，與前兩年的偏離單位數基數相比。隨着資源長期牛市的第二站開始，石油緩慢而穩定地復甦。

黃金以指數形式飆升，在2011年9月中旬創下1895美圓/盎司的歷史新高，月均價爲1772美圓。2013年5月，兩年頂部成爲可預測的拋物線下跌。金價在2015年12月中旬達到1049美圓的最低點，比歷史高點下跌45％。

在此期間油價波動較大，主要是從80美圓中期到100美圓如下。在十幾歲中期，比率落在咱們人口最多的範圍內。

當石油在2014年第四季度崩潰時，這些比率發生了巨大變化，從6月份的平均106美圓降低到2016年1月的28美圓/桶。在三年原油價格下滑期間，黃金價格因WTI（比率> 23.0）而被高估。事實上，因爲全部硬商品觸底，它在2016年1月和2月達到了兩個最高的比率38.5和37.8。

2016年1月下旬是黃金下跌五年市場的最低點，並從那裏強勁反彈，8月份達到1341美圓。油價也觸底反彈，但直到2017年中期仍然嚴重低迷。直到最近，比率一直處於高位到異常高的區間。

2018年，1月至5月黃金平均價格超過1300美圓。長期的夏季經濟衰退加上強勢美圓在8月中旬將黃金價格降至1173美圓的2。5年低點。雖然黃金價格已經下跌，但油價已經反彈至每桶65美圓至74美圓的崩盤後高位。

最近的表現代表商品比率在適當的時候老是正常化; 咱們已經看到過去幾個月的黃金和石油。從6月到8月的17.3 - 17.6，黃金 - 石油比率如今處於最多見的48年曆史範圍內，與平均值15.9和中值14.7相差不遠。

黃金和石油相對價格的波動受如下因素驅動：

• 總體健康和世界經濟的增加。

 

• 經濟和/或地緣政治的不肯定性致使黃金做爲避風港的積累;

 

• 原油的供需基本面，主要用做內燃機的燃料，也用於發電，供熱和化學品;

 

• 致使石油供應和交付中斷的地緣政治事件;

 

• 中央銀行買賣黃金;

 

• 在紙質市場上交易和投機兩種商品，包括黃金交易所，ETF，期貨和期權以及其餘衍生品市場。

黃金和石油的實物交易是巨大的市場。也就是說，他們的紙張和衍生工具比現有的實物供應量大幾個數量級，構成了世界商品交易所交易的兩個最大市場。

黃金與石油的比率對於肯定一種商品是否相對於另外一種商品的公平價值是有用的，而且是預測將來價格變更的有用參數。該比率還能夠幫助肯定實體商品自己，期貨，期權和其餘衍生品，和/或做爲供應鏈一部分的股票和企業的投機時機。

在過去的24年期間（1946年至1969年），價格由法定固定，一盎司黃金平均購買13桶石油。在這48年間（1970-2018）期間，美圓從1973年開始對黃金浮動，並在1980年後徹底解除對WTI價格的管制，一盎司黃金平均買入約16桶石油。

然而，最大的變化是金 - 油比率的高差別和極端波動。

夥計們，這是資本主義運做方式的一個很好的教訓。

在自由市場中，因爲各類緣由，價格上下波動，其中一些緣由列在上面，表示黃金和石油。自由市場爲投資者，交易者和投機者提供多個進入和退出點以獲利。我接受這種波動，並建議你也應該這樣作。

如今談談實際問題：

跟隨者都知道，我認爲黃金是惟一的錢。這是個人財政災難和經濟崩潰的保險政策。我不投資或推測黃金。

做爲一個囤積者，我積累黃金或其餘貴金屬的基本策略是在價格低迷期間購買，不管牛市仍是熊市週期。

事實上，這就是我過去幾周金價走向南方時所作的。

 

Today I document and analyze gold and oil prices and their ratios from January 1970 to August 2018. This is the second part of our research and analysis on gold-oil ratios since World War II.

As a reminder, we use monthly average London gold prices provided by Kitco.com and monthly average oil prices for West Texas Intermediate Crude (WTI) sourced from the United States Energy Information Administration (EIA).

Last week, I reviewed prices and ratios of gold and oil from 1946 thru 1969 when both commodities were fixed by fiat in US dollars.

In a series of three steps from 1971 to 1973, the United States withdrew from the 1944 Bretton Woods agreement, devalued the dollar, and freely floated it against gold. When other industrialized countries floated their currencies in March 1973, a new world economic system was established with the US dollar as the world's reserve fiat currency

The monthly average price chart for gold (red) and oil (blue) from January 1970 thru July 2018 is shown below:

 

The chart shows that the prices of gold and crude oil are most often positively correlated but oil is generally more volatile. At times there is a strong negative correlation. Both commodities are subject to exponential rises, parabolic falls, and short-lived spikes.

Over the 584-month period, gold to oil ratios exhibit wide variance, extreme volatility, and a very broad range from lows near six to highs above 30:

The ratios are distributed in a positively skewed bell curve with a mean of 15.9, a median of 16.2, and very few outliers on the lower end:

The distribution is shown in tabular and histogram formats below:

Distribution of Au:WTI Ratios 1970-2018

From our data set and the distribution of monthly average gold to oil ratios from January 1970 thru August 2018, observations follow:

• Ratios < 8.0 are quite unusual, occurring over 11 months or less than 2% of the time. They occurred in November 2000, six months during the spring, summer, and fall of 2005, and from May to August of 2008.

• Ratios from 8.0 to 10.0 constitute one-tenth of the record.

• Au:WTI from 10.0-12.5 comprises over a fifth of the monthly ratios.

• The ratios between 12.5 and 17.5 occupy nearly a third of the distribution.

• Ratios from 17.5-23.0 make up slightly more than one-fifth of the data.

• The 23.0-30.0 interval covers about one-tenth of the months in our compendium.

• The 12 monthly outliers at > 30.0 comprise slightly more than 2% of the total record. These abnormally high ratios occurred twice in 1973, 1986, and 1988 respectively, and six times during the summer and winter of 2016.

Our treatment begins in January 1970 when both gold and oil prices were largely fixed with an anomalously low ratio at 10.4. The ratio remained quite low at 11.5 or less until the so-called Nixon Shock in August 1971 when the "gold window" was closed. This action was followed by two official dollar devaluations before it was completely severed from gold in February 1973. Other industrialized countries floated their currencies on world exchanges a month later.

Rampant US inflation from oil imports, the Vietnam War, expanding social programs, and the Federal Reserve expanding money supply resulted in a five times increase in gold prices in the early '70s.

In July 1973, gold soared to $120 an ounce while oil remained fixed at $3.56 a barrel. The gold-oil ratio rose dramatically to nearly 34. In the next five months, WTI was officially priced at $4.31/bbl but because of ample supplies, actually sold for less than that on the open market.

In 1956, King Hubbert predicted that US oil production would peak in 1970. And indeed that came to pass in late 1970. Production declined rapidly and imports doubled from three million to over six million bbl/day in 1973.

Turmoil hit the industrialized world in October when OPEC initiated an embargo targeting eight countries that supported Israel during the 20-day Yom Kippur War. The embargo lasted for six months and the posted WTI price rose 235 % to $10.11 in January 1974. Despite a steadily rising gold price that reached over $170 in April, this effectively halved the gold-oil ratio to its common range in the middle teens.

Fallout from the devaluation of the dollar, its free-float to gold, and the rise in oil prices led to the 1973-1974 stock market crash. The Dow lost 45% of its value, there was a severe recession with GDP contracting over two percent, and inflation surged to 12%.

With steadily increasing prices for both commodities, the gold-oil ratio remained low for the entire remainder of the decade, generally from 10 to 15. It briefly fell below 10 from mid-1976 to early 1977 when the set price of WTI was bumped 15%.

The Iranian Revolution in early 1979 and the eight-year Iran-Iraq War that started in 1980 were catalysts for a commodities boom from early 1979 to mid-1981. Both gold and oil had exponential rises. Global oil supplies were cut by about 14% by these two events, another recession ensued, and rampant inflation followed in the early '80s.

Gold spiked 400% from the low $200s in January 1979 to $843 an ounce in January 1980, a price level not reached again for 28 years. Its January monthly average was $675. Oil went up 260%, from $15.85 in April 1979 to a record high of $39.50 in April 1980. Ratios were not much affected, staying mostly at the mid-teen level except for the spike in gold in January-February 1980.

In April 1979, President Carter began deregulation of oil that had remained in place since Nixon instituted price controls in 1973. In January 1981, President Reagan signed an executive order finally allowing US oil to trade freely in the open market.

In late 1981, an oil glut developed with slowing of economic activity in industrial countries, increasing production driven by high prices, and a decrease in consumption spurred by conservation measures. Oil and gold prices trended somewhat lower over the next four years and the ratio generally ranged from 11 to 13 thru 1985.

In early 1986, the Saudis got fed up with other OPEC members' non-compliance with production quotas, opened the taps to full capacity, and flooded the world with surplus oil. Prices dropped like a rock, bottoming at little more than $10 in the US and $7 in the Middle East.

The gold-oil ratio jumped into the 20s and stayed above that mark thru February of 1989. It reached highly anomalous levels above 30 for two months during 1986 and for two months in 1988. Gold traded above $400 while WTI was generally priced in the high teens after the market readjusted.

This long-lived drop in oil prices severely affected the USSR's balance of payments, leading to economic instability and its demise in 1991.

When the Exxon Valdez ran aground in southern Alaska in March 1989 and spilled 250,000 barrels of crude oil, prices popped above $20 for the first time in nearly two years. Au:WTI fell below 20 for the first time in more than three years.

The next big shock to oil markets happened when Iraq invaded Kuwait in August 1990. While gold hardly reacted to this geopolitical event, oil doubled in price. It averaged $39.57 a barrel in September and the ratio fell below 10 for that month. But much like the Gulf War, high oil prices were short-lived and in January 1991 were back to the $20 level.

The Soviet Union collapsed in December 1991 and the prices of gold and oil barely moved. For the next six years both commodities were range bound, in the $300s for gold and high teens to low twenty dollar range for oil; ratios were in the middle intervals. The 1997 world economic recession known as The Asian Contagion knocked gold below resistance at $300 in December of that year and oil fell below $12 in November 1998.

Gold remained below $300 for the next 3.5 years and many mines were shuttered. Fueled by the dotcom bubble, US stock markets were roaring by mid-1999 and world oil prices surged to $33 a barrel in November of 2000. Very low ratios were the result, commonly less than 10.

Tech stocks took NASDAQ to record highs above 5000 in March 2000 and its subsequent crash took 78% off the market value at bottom in October 2002.

Despite the chaos that ensued after the 9-11 terrorism in 2001, this geopolitical event that continues to negatively affect America's economic well-being and foreign policy had no discernible effect on gold and oil prices or ratios.

Soon an incipient bull market for commodities commenced when gold broke thru 4.5 year resistance at $310 in April 2002. Oil remained in the $30 range before starting its rise in conjunction with gold going above $400 in late 2003.

Thus began a five-year boom across the sector with record highs for the major world-exchange traded commodities including gold, oil, copper, and uranium. Gold and oil rose concomitantly and ratios were uniformly very low including record outliers below 7.0 in the spring and fall of 2005 and in mid-2008.

Gold reached a high of $1008 in mid-March 2008 and averaged $968/oz that month. Oil's all-time high of $145/bbl was set in June and the ratio hit an all-time low of 6.4.

Then Lehman Brothers failed in September and the global economic crisis followed. All commodities, including gold and oil, went parabolic within a couple of months. Gold fell to $714 in mid-November as speculators liquidated holdings to cover margin calls. Oil touched $30 in late December.

The downturn was short-lived for gold with safe-haven buying in early 2009. Gold-oil ratios more than doubled to levels in the mid- to high-teens versus the outlying single-digit base of the previous two years. Oil recovered slowly but steadily as a second leg of the secular bull market for resources commenced.

Gold soared in an exponential pattern, hitting its all-time high of $1895 an ounce in mid-September 2011 with a monthly average of $1772. A two-year top became a predictable parabolic fall in May 2013. Gold reached its nadir at $1049 in mid-December 2015 for a 45% drop off the all-time high.

Oil prices were volatile during this time, ranging mostly from the mid-$80s to low $100s a barrel. Ratios fell within our most populated range in the mid-teens.

These ratios shifted dramatically when oil crashed in Q4 of 2014, falling from an average of $106 in June to $28/bbl in January 2016. Gold was overvalued with respect to WTI (ratio >23.0) during the three-year crude oil downturn. In fact, it reached the two highest ratios ever in January and February of 2016 at 38.5 and 37.8 as all hard commodities bottomed.

Late January 2016 was the nadir of a five-year down market for gold and it rallied strongly from there, topping out at $1341 for the month of August. Oil prices also bottomed but remained severely depressed until mid-2017. Ratios were at high to anomalously high intervals until recently.

In 2018, gold averaged over $1300 from January to May. A long summer downturn combined with a strong US dollar took gold to a 2.5-year low of $1173 in mid-August. While gold has fallen, oil has rallied to a post-crash high ranging from $65 to $74 per barrel.

Recent performance illustrates that commodity ratios always normalize in due course; we have seen that over the past few months with gold and oil. At 17.3 - 17.6 from June to August, the gold-oil ratio is now within its most common 48-year historical range and is not far off the mean of 15.9 and median value of 14.7.

Fluctuations in the relative prices of gold and oil are driven by:

• overall health and growth of the world's economy.

• economic and/or geopolitical uncertainty resulting in accumulation of gold as a safe haven;

• supply-demand fundamentals for crude oil, which is used mainly as fuel for internal combustion engines but also for power generation, heating, and chemicals;

• geopolitical events that cause disruptions in oil supply and delivery;

• buying and selling of gold by central banks;

• trading and speculating in paper markets of both commodities including bullion exchanges, ETFs, futures and options, and other derivative markets.

Physical trading of gold and oil are huge markets. That said, their paper and derivative instruments are orders of magnitude larger than the physical supplies available and constitute the two largest markets traded on world commodity exchanges.

The gold to oil ratio is useful to determine if one commodity is valued fairly with respect to the other and is a useful parameter to predict future price movements. The ratio can also help determine the timing of speculations in the physical commodity itself, futures, options, and other derivatives, and/or equities and businesses that are part of the supply chain.

In the previous 24-year period (1946 to 1969), prices were fixed by fiat and an ounce of gold bought on average 13 barrels of oil. In this 48-year interval (1970-2018) with the dollar floating against gold starting in 1973 and completely deregulated WTI prices after 1980, an ounce of gold on average bought about 16 barrels of oil.

However, the greatest change has been the high variance and extreme volatility of gold-oil ratios.

Folks, this is a good lesson in how capitalism works.

In a free marketplace, prices move up and down for a variety of reasons, some of which are tabulated above for gold and oil. A free market presents multiple entry and exit points for investors, traders, and speculators to profit. I embrace this volatility and suggest that you should, too.

Now on to practical matters:

As followers are aware, I view gold as the only money. It is my insurance policy against financial calamity and economic collapse. I do not invest or speculate in gold.

As a hoarder, my basic strategy for accumulating gold or other precious metals is to buy during downticks in price regardless of bull or bear market cycles.

And indeed folks, this is what I did over the past few weeks when the price of gold headed south.

Ciao for now,         

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