Statistical Investigation into the Accelerating Cyclical Dynamics Among Gold, Dollar and US Interest Rate

doi:10.1007/978-3-642-18387-4_8

CORC > 上海财经大学 > 上海财经大学

	Statistical Investigation into the Accelerating Cyclical Dynamics Among Gold, Dollar and US Interest Rate
	Yang, Nan; He, Jieyi
刊名	MODELING RISK MANAGEMENT FOR RESOURCES AND ENVIRONMENT IN CHINA
	2011
页码	67-76
关键词	Counter-cyclical pattern Cross correlation Gold price HP filter VAR
ISSN号	2191-1436
DOI	10.1007/978-3-642-18387-4_8
英文摘要	Based on time-series decomposition, HP filter and cycle locating procedure, the paper extracts the concrete cycle information from gold, US$ exchange rate, and US interest rate time series, on all four durations of the past 30 years. (In this paper the US$ exchange rate is reflected by U.S. Dollar Index, and the interest rate refers to the US$ interest rate.) It shows that the cycle length has shortened and a more sensitive interaction among the three variables appeared since 2008 financial crisis. Further, application of VAR model indicates not only auto-regressive relationship among the three variables, but also gold price to be the leading indicator, with 1-month ahead of the dollar exchange rate and 2-months ahead of the interest rate. This significant counter-cyclical pattern may be suggestive of government's reserve portfolio allocation, especially when facing the uncertainty of the economy and the underlying inflation expectation.
WOS研究方向	Mathematical Methods In Social Sciences
语种	英语
出版者	SPRINGER-VERLAG BERLIN
WOS记录号	WOS:000294234900008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2320]
专题	上海财经大学
通讯作者	Yang, Nan
作者单位	Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Yang, Nan,He, Jieyi. Statistical Investigation into the Accelerating Cyclical Dynamics Among Gold, Dollar and US Interest Rate[J]. MODELING RISK MANAGEMENT FOR RESOURCES AND ENVIRONMENT IN CHINA,2011:67-76.
APA	Yang, Nan,&He, Jieyi.(2011).Statistical Investigation into the Accelerating Cyclical Dynamics Among Gold, Dollar and US Interest Rate.MODELING RISK MANAGEMENT FOR RESOURCES AND ENVIRONMENT IN CHINA,67-76.
MLA	Yang, Nan,et al."Statistical Investigation into the Accelerating Cyclical Dynamics Among Gold, Dollar and US Interest Rate".MODELING RISK MANAGEMENT FOR RESOURCES AND ENVIRONMENT IN CHINA (2011):67-76.