Research And Empirical Evidence On The Long-term Relationship Between Interest Rate Spreads And Gold Prices

Gold is both a physical commodity and a physical currency of natural credit,even more a reserve asset for central Banks.It is independent of the credit asset,has the unprintable quality,is an integral part of the international financial market.Gold is a broad category of asset allocation,a variety that is very focused on macro research.There is a realistic analysis needs of the volatility of gold prices.The correlation between gold and other asset classes is the basis of the gold price prediction.The carry trade is a kind of market speculation,which makes a profit by selling(borrowing)currencies with lower interests,and buying(holding)a high-yielding currency for taking interest rates.The carry trade is the embodiment of the capital-follow-profitability in the world wide.The emergence of the gold rental business and the gold forward exchange rate,GOFO,makes gold an important part of the carry trade structure as a kind of interest-bearing currency.The relationship between gold and the carry spreads is a significant issue because of the importance of gold and carry trade in the financial system.This paper researches the relationship between arbitrage space change and the price of gold,from 2001 to 2015 days.On the other hand,in-depth study of gold at the different range of arbitrage space,the price of gold and other asset varieties,respectively,with what kind of correlation properties.The main conclusions of this paper are that:there is a long-term negative equilibrium relationship between gold price and arbitrage space.Then,this paper further proposes the idea of using LIBOR-GOFO-MC(friction cost)= 0 to separate the positive and negative arbitrage space.In addition,this paper also deeply explores the different correlation characteristics of gold price in positive and negative arbitrage spaces respectively.Compared with the negative space,the correlation between the gold price and the US dollar index is enhanced in the positive arbitrage space,where the long-term equilibrium relationship between the gold price and the US dollar index is proven to exist.In contrast to the positive arbitrage space,the anti-inflation of gold is more pronounced in negative arbitrage space,and is more relevant to inflation-related varieties or indicators.When studying relevant fluctuation characteristics of the gold price,this paper divides the arbitrage space with the condition LIBOR-GOFO-MC = 0.It focuses on the research of multiple financial varieties and evaluation indexes related to the four main attributes of gold,and uses the econometric method to conduct comparative study of the relation between positive and negative arbitrage spaces against the interest rate of gold-related crude oil,copper,yen,GOFO,10-year US bond,US dollar index,US CPI,US real interest rate,etc.