黄金市场与外汇市场的联动性-研究

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1、万方数据摘要万方数据ABSTRACTABSTF认CTInJuly2005，ChinastartedRMBexchangeratereformwhichaimedatimprovingtheformationmechanismofRMBexchangerate，then，RMBexchangeratestartedfloating．Foralongtimeafterthat，Renminbihasappreciatedcontinuouslyrelativetothedollar．In2014，RMBexchangerateagainstthedollarende

2、dthelongtimelastedappreciating，andbegantofloatBi—directionally,whichmeansthatforeigninvestorsinChinaandimportandexportEnterprisewillfacegreaterforeigncurrencyrisks．Meanwhile，asgoldhasadoublenatureofcommoditiesandfinancialassets，andwasDollar-denominated，intheoryandpractice，gold’Ssafeh

3、avenstatusagainstUSdollarshasbeenconfirmed．Basedonpreviousstudy,thispaperstudiestheCorrelationrelationshipbetweengoldpriceandUSdollarexchangerates．Inordertodiscusswhethergold’ShedgeabilityagainstUSdollar’sdepreciationchangesovertime，thispapercreatedasemi·parameterstime—varingcopulamo

4、del，tocalculatethedynamiccorrelationbetweengoldpriceandUSdollarexchangerate．Meanwhile，thispaperusesathresholdregressionmodeltotestthespillovereffectbetweenthetwovariables．Empiricalresultsshowthat，theaveragedependenceandtaildependencebetweengoldpriceandUSdollarexchangerate(usdollarper

5、othercurrencies)remainpositiveovertime，whichmeansgoldcouldbeusedasbothhedgeandsafehaven．Thedynamiccorrelationdecreasedduringthecrisisperiod，demonstratinggold’ShedgeabilityagainstUSdollardepreciationisweakenincrisisperiod．Thespill-overeffectfromUSdollarexchangeratetogoldpriceisstatist

6、icallysignificant，andbecomesweakerduringthecrisisperiod．Thispaperalsoverifiesthegold’ShedgeeffectagainstUSdollarexchangerate，theresultsshowthatgold’shedgeeffectsagainsteuro／USDandAUD／USDarebetterthanotherexchangerate，andgold’ShedgeeffectagainstRMB／USDisbad．ThisremindsChinashouldprovi

7、demoreforeigncurrencyderivativestohelpchineseinvestorsandenterprisesavoidrisks．KEYWORDS：USDexchangerate，goldprice，dynamiccorrelation，spillovereffect，hedgeeffect万方数据目录摘要⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．IABSTRACT⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯III目录⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯IV第一章绪论⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯

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