Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method

• Main Authors: Zhonghui Ding, Kai Shi, Bin Wang
• Format: Article
• Language: English
• Published: Hindawi Limited 2021-01-01
• Series: Discrete Dynamics in Nature and Society
• Online Access: http://dx.doi.org/10.1155/2021/5558967

This paper analyzed the influence of dollar on crude oil and gold based on the multifractal detrended partial cross-correlation analysis method. It showed that affected by the dollar, the crude oil and gold markets have a partial cross-correlation relationship which is stronger than their own cross-correlation. The partial cross-correlation is long-term and has multifractal characteristics. Through shuffled and Fourier-phase randomization, it is found that this multifractal feature is caused by the combined effect of the long-term cross-correlation between the returns and the fluctuation fat-tailed distribution, where the influence of the fat-tailed distribution is slightly greater than that of the long-term cross-correlation between the returns.