The Analysis Of Spillover Effects Between The Gold Market And The Dollar And Euro Market

Gold as a precious metal, has the unmatched intrinsic value. And it gradually becomes an important medium of exchange, value scale, also play an important function of storage. Gold is a kind of important financial assets, has been widely accepted and has high liquidity on the international community. Some international institutions take it as an important reserve assets and the final payment.In April2007, the bankruptcy of New Century Financial Corporation has exposed the risk of subprime mortgage bonds. Lehman Brothers Holdings Inc. filed for bankruptcy on September15,2008and it marked the U.S. financial crisis broke outAs the beginning of the financial crisis broke out in US, The Republic of Iceland’s sovereign debt problems begin to show. In December20,2009, The Hellenic Republic’s sovereign debt problems marked the Europe’s sovereign debt crisis broke out.The financial crisis and the European debt crisis impacted on the world financial market, and the quantitative easing policy has the big impact on the international monetary market. At this point, the role of gold as a "safe haven" more and more highlighted, became the institutional investors optimize investment combination, important tool to reduce portfolio risk and hedge risk.The gold market and money market information spillover effect is mainly refers to the mean spillover effect and volatility spillover effect. The Foreign scholars’study in the related field is relatively early, the research method aiso gradually complex and in-depth. But the domestic related research is relatively less, many of them focus on the domestic gold market and currency market literature. Market is changing, especially when some big events happening, such as the financial crisis and European debt crisis. Summarizing the predecessors’ research method, I noticed that some scholars adopt the method of segmentation to study the change of the market. This article also USES this approach, the entire time period is divided into three segments, it does not appear in the academic literature before, it is also one of important innovation point of this article.This paper established two models to review the spillover effects between the two groups of markets. The VAR model is used to analyze the mean spillover effect between the markets. BEKK model used to analysis the spillover effects of variance between the market.This article through empirical analysis, obtained the meaningful conclusion as below:(1) The mean spillover effect:1, The gold market is significant and persistent negative spillover effects, not interrupted by the outbreak of the crisis. However, the size of the mean spillover effect has changed because of the crisis.2, No matter in which period, the gold market for the dollar doesn’t has mean spillover effect.3, Before the outbreak of European debt crisis, the euro market impact on the gold market is significant and stable. But after the outbreak of the European debt crisis, euro market mean spillover effect of gold market has disappeared.4, After the outbreak of the European debt crisis, the mean spillover effect of gold market to the euro market is disappeared. When the gold market has the mean spillover effect to the euro market, the effect is not stable.(2) The spillover effects of variance:1, The dollar market plays a significant role in the gold market and continued volatility spillover effect, not interrupted by the outbreak of the crisis.2, The euro market has a significant and continued volatility spillover effect in the gold market, not interrupted by the outbreak of the crisis.3, After the financial crisis, the gold market has volatility spillover effect against the dollar and the euro market there.4, After the outbreak of European debt crisis, the market volatility spillover effect in the gold market against the dollar and the euro has disappeared.