A Study Of Linkage And Risk Measurement Of International Gold Markets

In recent decades, in the background of international political and military strife, inflationand high prices, the financial crisis breaking out and the rapid development of industrialtechnology, gold as a safe-haven store of value and alternative financial assets, the price pushedup in the bull market. The gold market has largely affected the operation of the internationalfinancial markets, and therefore has an important significance.Firstly, the first two chapters review previous research results on the gold market andoutline the basic situation of the international gold market.The third chapter analyzes theinfluencing factors of the gold price, which are divided into internal and external factors. Theinternal factor is the relationship between supply and demand of gold, when external factors suchas foreign exchange, equities, commodities markets, the geopolitical situation, inflation andcurrency interest rate policy, the financial crisis and economic environment.The fourth chapter begins by Granger causality test, the establishment of VAR model andimpulse response analysis of variance dynamic measurement methods in economics linkagebetween the gold market and other financial markets. Empirical studies have shown that after thefinancial crisis, the gold price fluctuations in one direction caused by the fluctuations of oilprices, and the interaction between the price of gold and the U.S. dollar index; disturbance fromoil prices, the U.S. dollar index enables gold prices immediately made varying degrees ofresponse. And then through the Granger causality relationship test, cointegration test, theestablishment of the VEC model and impulse response and variance analysis of empirical studiesof the price guide the relationship between domestic and international gold market. The studyfound that the London gold in one direction to guide the Shanghai spot gold and gold futuresprices, the spot price of gold in one direction to guide the Shanghai futures price of gold. Andthere is a long-run equilibrium relationship among the three gold markets.Chapter V uses GARCH model to study the characteristics of the gold market volatilityfirtly, to test gold market yields with a fat tail distribution for general financial assets, the impactof fluctuations denaturation and aggregation, asymmetric effect (positive than negative theimpact of fluctuations in the price of gold is greater) as well as the benefits and risks are relatedand other features. Then use VaR Method Based on GARCH class model to measure the goldmarket risk, empirical studies find that to the GJR-VaR-GED model can be a good measure ofthe gold market risk and can be effectively applied to the gold market risk monitoring andmanagement.