黄金跨市场价差多维透视之二：关税政策增添波动，跨市套利机会上升

Report Industry Investment Rating - No relevant content provided Core Viewpoints of the Report - The gold cross - market spread structure mainly comes from regional gold price differences and is also affected by exchange - rate expectation changes. Short - term fluctuations in regional gold price differences may still lead to obvious arbitrage opportunities in the gold cross - market spread, but the current opportunities from exchange - rate expectations are small. Future attention can be paid to the impact of changes in US tariff expectations on the gold cross - market spread [3][32] Summary by Relevant Catalogs 1. Spread Market Tracking - Gold, as a global asset, should theoretically have convergent prices in various markets. However, due to exchange - rate fluctuations, tariff policies, transportation costs, and market liquidity differences, cross - market spreads persist. When the COMEX gold price is higher than the SHFE price, forward arbitrage can be carried out; when the domestic price is higher than the international price, reverse arbitrage can be carried out [10] - From January to April, the Sino - US gold spread (Shanghai gold price minus the converted New York gold price) had relatively stable fluctuations with an average of about - 1 yuan/gram, providing basically no obvious arbitrage space. Since May, the spread has fluctuated significantly, with the average rising to 10.2 yuan/gram, creating many opportunities for cross - market spread arbitrage [11] 2. Gold Cross - Market Spread Structure Analysis - The gold cross - market spread is mainly composed of two variables: the price changes of Shanghai gold and New York gold, and the US dollar - to - RMB exchange rate [5][15] - Globally, gold prices generally fluctuate in the same direction. From 2014 - 2025, after removing outliers, the change in the gold cross - market spread was mainly affected by regional gold price fluctuations, with the exchange - rate impact accounting for an average of 11.4% and the gold - price impact accounting for an average of 87.9% [16] - The US dollar - to - RMB exchange rate is one of the factors affecting the Sino - US gold spread, but its impact is relatively smaller than that of regional gold price changes. When the RMB appreciates against the US dollar, the gold spread widens; when the RMB depreciates, the spread narrows. However, arbitrage trading makes the gold cross - market spread tend to converge, and when the exchange rate fluctuates significantly, the impact of the gold price and the exchange rate on the spread is often opposite, offsetting each other [20] 3. Spread Formation Reason Analysis - Regional gold price differences may mainly come from regional policy changes or short - term supply - demand imbalances. For example, in early 2025, the expectation of the US to impose tariffs on imported gold led to a significant widening of the COMEX - London spot gold spread. In early 2020, the COVID - 19 pandemic also caused the Sino - US and Euro - US gold price spreads to widen. In the long term, the gold cross - market spread center may slowly rise [24][25] - Although the impact of exchange - rate changes on the gold cross - market spread is small, large exchange - rate changes can cause short - term spread fluctuations. The gold cross - market spread implies the market's expectation of the exchange rate. When the market has no obvious expectation of exchange - rate changes, the exchange - rate impact on the gold cross - market spread is weak. Currently, there is no obvious deviation between the exchange rate implied by the gold price and the actual offshore exchange rate, so it has little impact on the gold spread [28][29] 4. Gold Cross - Market Spread Summary - The report analyzes the gold cross - market spread structure, formation reasons, and future development expectations. The spread structure mainly comes from regional gold price differences and exchange - rate expectation changes. Short - term regional gold price differences may bring arbitrage opportunities, while current exchange - rate expectations offer few opportunities. Future attention can be paid to US tariff expectations [32]