Cross-correlation Analysis Between US Dollar And Bulk Commodity Market

As the fed raised interest rates,the global market and commodity market is facing a huge impact,the volatility also rockets sharply,bringing unprecedented risk environment for investors and make a new requirements for their asset allocation under the new environment.This article put relevant investment strategies by analyzing the dollar and the bulk commodity market and make some suggestions of energy and resource security strategy for the commodity market in China under the new situation in the global economy.On the basis of multifractal theory,this essay respectively research the correlation of between dollar and gold and its multifractal characteristics,and the crude oil yield as well.We also compared with crude oil,gold' correlation and characteristics with the strength of the dollar index respectively.On the basis of the the research,we put some polices to optimize asset allocation and construction of China's commodity markets and energy resources security risk prevention actions.The results show that the North Sea Brent crude oil spot market and London Gold spot market has the risk of cross correlation and multifractal characteristics with the dollar index.We studied the cross correlation and multifractal characteristics between the dollar index and the gold and crude oil spot market by correlation test,MF-X-DFA methods.The results show that the North Sea Brent crude oil spot market and London gold spot has the sustaining cross correlation and multifiractal characteristics with the dollar index.This paper also compare the differences between the North Sea Brent crude oil spot market and London gold's risk control effect against the us dollar index.For the commodity futures market,the empirical results show that the the COMEX gold continuous contract have certain advantages on continuous Brent futures contracts in the aspect of risk control ability and cross correlation.On the characteristics of the multifractal spectrum,intensity of gold are more than crude oil in both the futures and spot market,which means the dollar index and the gold market have more continuously ascending trend of cross correlation and more obviously mutifractal characteristics than crude oil market.