An Empirical Study On Gold Hedge Inflation Risk,stock Market Risk And Exchange Rate Risk

As we all know,gold as a special metal with multiple characteristics has been hailed as a gold risk haven for the investment market.The financial feature of gold determines its own price.As an investor's invisible credit currency,more safe-haven value of gold is reflected in the moment when the credit currency loses order.The previous financial crisis has brought greater economic instability and investment risks to the destructive power of the real economy and financial markets.The cross-market asset allocation helps to spread the benefits of risk diversification and also allows investors to potentially create the need to invest in a safe haven.As a representative of the socialist developing countries,China's political and economic development is undoubtedly particular,and gold,as the most sought-after hedging tool for investors,deserves our in-depth discussion on the ability to hedge in the Chinese market.Investors often face various unpredictable risks in the investment process,such as changes in the supply and demand relationship in the domestic currency market and inflation risks caused by the introduction of national policies;financial assets investment Risks for investment in stocks,futures and other markets;the relative centralization of the US dollar in the financial crisis,the renminbi is exposed to exchange rate risks relative to the depreciation of the US dollar.Therefore,this article chooses the Chinese market for gold hedging inflation risk,stock market risk and exchange rate risk,and try to finds out whether gold has a risk aversion ability by finding out the relationship between gold market and CPI,stock market and exchange rate market.The previous empirical results usually do not classify the level of gold market returns,but the reality is that the prosperity and recession of the gold market may have a certain impact on gold's ability to hedge.In order to characterize the gold hedging capabilities at different levels of returns,we use nonlinear quantile regression to study the correlation between the gold market and other financial markets.This article introduces the Copula quantile regression curve to describe the fluctuation relationship between China's gold market and CPI,stock market and exchange rate market.The quantile regression model was first proposed by Roger Koenker and Gilbert Bassett in 1978.The traditional linear regression model can only describe the conditional mean affected by the sample's independent variables.It also needs to assume the nature of the residual item.However,financial market data often fails to meet these assumptions,usually showing the distribution characteristics of peaks and thick tails,while the condition of quantile regression is more relaxed,describing the relationship between independent variables X and the different quantiles of dependent variable Y.So this paper decided to use nonlinear quantile regression model to estimate the correlation between markets.We chose the Copula model as a nonlinear function,and uses ARMA-GARCH-EVT based on extremum theory to describe the characteristics of financial market data.Models to establish the marginal distribution of gold,stocks,exchange rates,and CPI returns.Finally,we get the correlation between gold income and stocks,exchange rates and CPI returns in different levels of the gold market.This article is intended to study the gold hedging capabilities of different levels of the gold market.There will be positive significance to the investment direction of Chinese investors and the formulation of national policies.Although having a stable safe haven for all investment markets is what all investors expect.However,the empirical results show that the safe-haven effect of gold may not be as good as the imagination of investors.But the stable price performance of gold can still provide new ideas for investors' demand for arbitrage and protection.