The Interactive Relationship Between Gold,Oil And Dollar

Gold accepted as hard currency, Oil used as the representative of industrial raw materials, Dollar used as base currency in financial transactions, they must have special relationships. They also influence the change and development of the international financial situation directly. Recently, investors are very concerned about the significant changes in gold price, oil price and the dollar index. So it’s meaningful to research their interactive relationship.Firstly, this paper analyzes the interactive relationship between gold, oil and the dollar in theory combined with their natures and the trend of historical development. Secondly, this paper selects their price data from 1986 to 2015 and use the VAR model and related test to discuss the long-term stable relationship. Thirdly, this paper use the GARCH model and the EGARCH model with exogenous variables to discuss the volatility relationships of their yields. Fourthly, this paper use the DCC-GARCH to find the dynamic relationship between them. Fifthly, this paper use the Quantile Regression model to discuss the change of their correlation coefficients in each quantile.Through the research, this paper argues that these three prices have a stable long-term relationship, firstly. Secondly, their volatility have a high sustained degree and the oil yield’s volatility is strongest. Yields of gold and oil exist "lever effect" because of their asymmetries of volatility. And the oil yield’s volatility will slow down the gold yield’s volatility, but the dollar index’s volatility will increase the gold yield’s volatility. Thirdly, this paper find that the dynamic relationship between them is different in different period of time. Fourthly, this paper find that there is a negative stable long-term correlation between the gold yield and dollar yield. The inverse relationship between oil yield and dollar yield is gradually formed since 2001.According to the dynamic characteristics of relationship between gold, oil and the dollar, this paper put forward the investment and policy recommendations. Firstly, the investment of gold must be cautious recently. Secondly, under the background of the negative relationship between oil and the dollar is becoming more and more strong, the decline in oil price caused by exit from easy money policies of USA can be regarded as a new kind of QE, Chinese Government should seize the opportunity to establish the reasonable G.O.D reserves.