中国科学技术大学学报 ›› 2017, Vol. 47 ›› Issue (9): 778-787.DOI: 10.3969/j.issn.0253-2778.2017.09.010

• 研究论文:管理科学与工程 • 上一篇    

金融危机期间黄金价格与汇率的联动性

潘婉彬,熊欣慰   

  1. 中国科学技术大学管理学院,安徽合肥 230026
  • 收稿日期:2017-01-24 修回日期:2017-05-31 接受日期:2017-05-31 出版日期:2023-03-27 发布日期:2017-05-31
  • 通讯作者: 潘婉彬
  • 作者简介:潘婉彬(通讯作者),女,1977年生,博士/副教授.研究方向:行为金融与公司金融. E-mail: wbpan@ustc.edu.cn
  • 基金资助:
    国家自然科学基金青年基金(71301158),教育部人文社会科学研究青年基金(13YJCZH134)资助.

Co-movement between the price of gold and foreign exchange rate during the financial crisis

PAN Wanbin, XIONG Xinwei   

  1. School of Management, University of Science and Technology of China ,Hefei 230026, China
  • Received:2017-01-24 Revised:2017-05-31 Accepted:2017-05-31 Online:2023-03-27 Published:2017-05-31

摘要: 基于分位点相协回归模型对黄金价格与汇率的关系进行实证研究.结果表明,非金融危机期间黄金价格与汇率呈现显著为负的极端尾部相依,即市场低迷或高涨时两者走势相反;危机期间由于全球投资者避险情绪的高涨转变为正的极端尾部相依,即市场低迷或高涨时两者走势趋同.此外,危机期间黄金价格与欧元、澳元、英镑、加元汇率存在对称的极端尾部相依,但长期呈非对称的极端尾部相依.最后,黄金价格与汇率的尾部相依随分位点变小而增强,即市场高涨或低迷时相依程度更强.

关键词: 黄金, 外汇, 金融危机, 联动性

Abstract: The relation between the price of gold and foreign exchange rate was studied based on a model of quantile association regression. It was found that the price of gold and foreign exchange rate are usually negatively related. But during the financial crisis, evidence of a positive tail dependence was found, because of investors’ risk aversion. Furthermore, existence of symmetric extreme tail dependence between the price of gold and the exchange rates of the Euro, Australian dollar, British pound and Canadian dollar during the crisis, but asymmetric extreme tail dependence existed in the long term. Empirical findings also indicate that the dependence strength significantly increases on upper and lower quantiles.

Key words: gold, foreign exchange, financial crisis, co-movement

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