Empirical Study Of The Relationship Among Gold Price, Foreign Exchange And Crude Oil Price

China is about to face the full liberalization of China's financial markets, with the further liberalization of state control of gold present. Gold investment in this emerging market is rapidly expanding, and individuals gradually speculate in gold which is being developed as gold investment. As it is becoming an increasingly hot topic, gold market is expected to be following the stock market and foreign exchange markets, and to be becoming the new focus of financial management.Mature financial markets have four parts, that is, money market, capital markets, foreign exchange market and gold market. At present, because China's gold market is at an early stage, trading volume and trading range are too small, which probably accounted for only 0.2% of the share of the overall financial products in the country. The present situation and the international community is completely two. concepts, because now in fact the major international markets, including the New York market, the London market, all have a real variety of financial investment, futures and spot matching operation. Such as the London market, according to statistics, in 2005 futures transactions is 1000 times of spot transactions. What is the concept if our country enlarges 1000 times of the gold market size now? It can be imagined, according to our country's current environment and the population size, the gold market can be comparable with securities and capital market.With the development of economic globalization, financial market volatility in various markets increasingly close ties, and thus the research of relevant market which affect the gold price movements is particularly urgent. In the gold investment market, almost everyone do care about the foreign exchange market and commodity market trend. U.S. dollar is the most active currencies of foreign exchange market transactions, while crude oil is the representatives of those commodities of commodity market.Recently, as the dollar continuing to slide and the continuing rise in oil prices, most people are uncertain of the future development trends of the United States and the world economy, so they have preferred to invest in gold as a safe haven.After a 20-year bear market, the price of gold started in 2001 and began a long-term highs. Since 2006, there have bean a substantial increase in gold price volatility. On November 8,2007, gold price broke through a record high 850 U.S. dollars/ounce; On March 17,2008 the price of gold hit a 1032 U.S. dollars/ ounce to a new high. In August collapse of U.S. investment bank triggered the global financial crisis, commodity markets showed a panic selling, crude oil prices fell below 50 U.S. dollars a barrel, a sharp unwinding of carry trades stop, the Fund suspended redemption of the stock and property markets fall by more than 40%, investment activities, leverage ratio dropped substantially, the company was forced to cut the credit ratings. A large number of investment accounts are required margin. Although gold is a traditional hedging instrument, in a strong dollar and weak commodity prices background, gold is also inevitable in October hit a recent 12-month low of 681 U.S. dollars/ounce. After more than a month after the consolidation, gold price was back to 850 U.S. dollars/ounce at the end, with the maximum rose to 890 U.S. dollars/ounce. Gold in the December 31 closed highly to 881.8 U.S. dollars/ounce; its performance is the best of a number of metals.Gold investment is often seen as a hedge for inflation and exchange rate fluctuations, which means gold is the last resort available of the central bank and a number of international agencies. To investors in need of cash, gold can provide a higher mobility, like stock and bond trading. For asset managers, investing in gold can effectively diversify their investment portfolio because the changes of gold prices and stocks, bonds, and many other asset prices in the long run, show a weak reverse trend. In today's highly developed financial system, gold has been given a new property, that is, hedge funds in a crisis to help preserve and increase the financial attributes. The 2008 outbreak of the financial crisis is to strengthen the dependence of the gold to the economic situation. The outbreak of the crisis also highlights the financial attributes of gold, which appears to be inconsistent with the study done in the past scholars economic background. Therefore, we wanted to know, whether after the outbreak of the crisis, the trend of gold prices will broadly consistent with the trend with the absence of a crisis, or there are still significant deviations? In the context of the financial crisis, the linkage among the price of gold, the dollar index, and crude oil prices has yet to be further in-depth study concluded. The price of gold on earth showed a positive correlation or negative correlation with the U.S. dollar index and crude oil prices? Both require further in-depth study.This paper is divided into four chapters; the basic contents of each chapter are as follows:The first chapter is the introduction, which contents the main topics of the background set out to study, the literature review, research ideas and the basic framework. Chapter II first and foremost on the natural properties of gold to do some detailed narrative, and pointed out that the social properties of gold (including product attributes, and financial attributes) derived from the natural properties. In different stages of economic and social development, gold, showing a different attribute, in turn leads to judgments of gold properties. Next, introduce the foreign exchange market, pointed out that the dollar is the most actively traded currencies, the dollar index made the impact on asset prices, which pushed up the transmission mechanism that the U.S. dollar index affect gold prices. Finally introduce the crude oil market. Crude oil as the most important strategic material is closely linked with the dollar and gold. Then the paper analyzed the transmission mechanism that the crude oil price affects gold prices.The third chapter is the focus of this article-empirical analysis, using econometrics in the VAR model to analyze the relationship among the U.S. dollar index, gold price and crude oil prices, and then goes to an in-depth analysis of the above-mentioned theory.The fourth chapter is a summary of the first empirical analysis of the results summarized, and then shows the writer's view of the future direction of the U.S. dollar index, crude oil prices and gold prices. On this basis, the last part is policy recommendations. As China's foreign exchange reserves is large, and the dollar accounted for nearly 70% the proportion of foreign exchange and structure is also irrational, there is an urgent need for China's policy authorities to deal with the problem of foreign exchange structural unity. The author proposed that in the current economic and social situation, the policy authorities could be considered converting part of the foreign exchange reserves into gold reserves and other measures to enrich the varieties of foreign exchange reserves currency and optimize foreign exchange reserve structure.