Font Size: a A A

Research On The Correlation Between US Dollar Exchange Rate And Gold Price

Posted on:2018-10-15Degree:MasterType:Thesis
Country:ChinaCandidate:Y P OuFull Text:PDF
GTID:2359330542474469Subject:Finance
Abstract/Summary:PDF Full Text Request
In August 11,2015,the RMB exchange rate began a new round of exchange rate reform,the central bank announced the RMB against U.S.dollar formula,the RMB exchange rate formation mechanism gradually clear,and in this process,the RMB exchange rate against the dollar in the shock gradually decline,which means that China's foreign exchange investors and import and export enterprises will face more the exchange rate risk.At the same time,gold as a commodity and financial assets of the dual attributes,so in theoretical research and practical applications,the status of gold as a safe haven assets has been basically confirmed.In this paper,on the basis of previous studies,selected Gold yields and four developed countries and five emerging market countries,which are related to the Euro zone,UK,Japan,Australia,South Africa,India,Brazil,Russia and Chinese currency against the dollar in comparative study.In this paper,a DCC-GARCH model is constructed to obtain the dynamic correlation coefficient between the two models.In order to explore whether there is a change in the hedge effect of gold on the devaluation of the currency during the crisis period,the quantile regression model is used to study the relationship between the extreme market conditions.The empirical results show that the gold exchange rate returns and countries($/other currencies)general relativity and dynamic correlation was positive,namely gold yields and the dollar denominated currencies against the dollar positive correlation between exchange rate returns,based on the developed countries and emerging market countries comparative analysis,correlation between developed countries currencies the dollar between the exchange rate and gold yield was significantly higher than that in emerging market countries;by quantile regression analysis,can be used as the gold foreign exchange hedge assets and safe haven assets,the dynamic correlation between gold price and currency exchange rate depreciation period declined sharply in the dollar,that hedge against the dollar nature of gold weakened in times of crisis.The correlation coefficient of the gold to the RMB against the U.S.dollar is the lowest,and the volatility is small,indicating that the impact of the RMB exchange rate system by the long-term management of the low degree of marketization.In the context of the gradual liberalization of the RMB exchange rate control,volatility,China should be introduced in a timely manner,many varieties,low-cost foreign exchange derivatives for foreign exchange investors and import and export enterprises to carry out risk management.
Keywords/Search Tags:Gold Return, Exchange Rate, DCC-GARCH Model, the Quantile Regression Model
PDF Full Text Request
Related items