loading文献出处：Blose L. The research of gold prices and the dollar index [J]. Journal of Economics and Business, 2015, 12(3): 31-39. 原文
The research of gold prices and the dollar index
Blose L
Abstract
This paper USES the data between January 2009 and December 2009, using quantitative finance analysis method, in the time series data for single whole test, co integration test, determine the data stability and long-term relationships between variables, on the basis of building a vector autoregressive (VAR) model, using the impulse response function and Granger causality test on the relationship between the international gold prices and the dollar index is analyzed. The results showed that the dollar index and the international gold price, not only there exists negative long-term equilibrium relationship between causality and the Granger sense, namely, the dollar index rose will cause international gold prices fell.
Keywords: International price of gold; Dollar index; Gold futures prices 1 Introduction
Since March 2013, the international gold prices begin to fall sharply, a short span of more than three months, the New York mercantile exchange gold futures trading have lost $1500, $1400 and $1300, down more than 20%, since then, the international gold prices. In 2013, has become the worst performance since 1920, the international gold prices annual. Some scholars pointed out that the international gold prices in recent years, with the world's major economies after the financial crisis era in order to stimulate its economy development create the measures taken are inseparable, and suddenly the world gold prices fell again by the recent global inflation pressure to reduce and the impact of the exchange rates to rise. In the gold market, gold prices by dollars, said the dollar exchange rate directly affect the international price of gold. Theoretically, the dollar exchange rate movements affect the international price of gold mainly comes from two aspects: one is the dollar exchange rate changes will change the world market, the demand for gold. The dollar falling is investment
institutions and individuals holding gold as the value of tool preference increases, which makes the world market demand for gold increases, so as to promote the international gold prices to rise. Second, as an international currency, gold dollar purchasing power changes will directly cause the international gold price movements, purchasing power increases, the dollar exchange rate rise, will cause international gold prices fell. Since November 2008, one after another round of quantitative easing, on the implementation of the Federal Reserve will inevitably cause the dollar more, leading to the dollar, prompting international gold prices are soaring. However, as in 2013, the Federal Reserve early exit intentions obvious gradually, the dollar is expected to intensify, triggering the international gold prices fell sharply. The dollar as the international currency, its exchange rate is movements by the dollar index comprehensive reflection. For the sake of the thorough analysis after the world financial crisis in 2008 the international gold price and the relationship between the dollar index, this paper adopts between January 2009 and December 2009, the monthly data, using the quantitative economic analysis method, in the data sheet, on the basis of the whole test and integration test, vector autoregressive (VAR) model was constructed, and by using Granger causality test to analyze the relationship between the variables, in order to get objective conclusions. 2 Variables and data selection
2.1 Variable selection and data preprocessing
The United States as the world's largest economy, its mature gold trading system has an important effect on the international gold market, gold on the market in the United States.
Price changes to a great extent, decides the direction of the international price of gold, and the dollar as the world's currency, the international gold priced in dollars, so in the international gold market, the relevant data is of great significance. In order to study the international financial crisis era, the relationship between gold prices and the dollar index in this paper, choose between January 2009 and December 2009, the monthly data for empirical analysis.
The international gold price data
The New York mercantile exchange (COMEX gold futures and options trading to the United States and the world gold market provides an important trade channels, its gold futures to a certain extent, has a decisive influence on the international price of gold. Therefore, this article choose the New York mercantile exchange COMEX gold futures price data as the international gold price data.
The dollar index
The Dollar Index (US Dollar Index) aims to measure the Dollar to a basket of currencies exchange rate changes, is the comprehensive reflection the Dollar exchange rate movements in the international foreign exchange market indicators, through the calculation of integrated rate of US Dollar to a basket of currencies. The dollar index rose, means that the dollar exchange rate against other currencies rise. The dollar index fell, means that the dollar decline relative to other currencies. In this paper, the dollar index is chosen as the model independent variables. The dollar index data is needed by the New York foreign exchange market (NYFXM USDI) trading day's closing price data of averaging. 3 Empirical test and results 3.1 List the whole inspection
Single whole inspection to time series stationary in constructing vector autoregressive model and Granger causality test, must be to list the inspection of time series data, in order to determine the data stability. This article USES the extension of dick - fuller (ADF test) test, respectively, for the New York mercantile exchange gold futures (CG) and the dollar index (USDI) test. Use Eviews 6. 0 software to draw the line chart data, through the graphic method to observe the movements of data to determine whether the groups of data in the ADF test contains relating to intercept and time trend, the lag order number by the Eviews software is accords to Schwartz (Schwarz) automatic selection information standards. 3.2 Co integration test
No stationary sequence to regression analysis, and often get absurd conclusions. Co integration test is based on non-stationary time series based on the test, to test the dependent variable and whether there is a long-term equilibrium relationship between
the independent variables. By a single whole test CG and USDI sequences are stationary series, and the first order difference sequence is stationary series, namely the CG and USDI are I (1) process, with the football association the whole inspection. This article selects the Engel Granger (Engle Granger co integration analysis method (EG test) co integration analysis was carried out on the two variables. 4 Conclusions
This paper choose the commodity trading markets in New York gold futures prices as substitution variables of the international price of gold, commodities trading on the New York gold futures market (CG) and the dollar index (USDI) on the basis of single whole, co integration test, the structure of vector autoregressive (VAR) model, and Granger causality test
Check, get the following conclusion:
Co integration analysis results show that the dollar index (USDI) with the New York gold futures commodities trading market (CG), there is a long-term equilibrium relationship between the dollars indexes every unit of growth, the New York mercantile exchange gold futures prices fell about 1. 52 units; The dollar index every lower unit, the New York mercantile exchange gold futures prices rose about 1.52 units.
The impulse response analysis results show that the dollar index (USDI) on the New York mercantile exchange gold futures (CG) existing negative dynamic effect. The Granger causality test results show that the dollar index (USDI) as the New York gold futures commodities trading market (CG) one-way Granger reason, the dollar index changes can cause changes in the New York gold futures commodities trading market. According to the above empirical analysis, the author thinks that the dollar index changes and a negative correlation between the international gold price change effects, namely, the dollar index rose to cause a decline in the international price of gold; the dollar index decline will lead to the international gold prices to rise. After the 2008 financial crisis, some countries are led by the United States, in order to promote its economic recovery by use of quantitative easing, the direct causes of international gold prices. Overly loose monetary policy, and has given rise to