| Summary: | 碩士 === 元智大學 === 商學碩士班(財務金融學程) === 102 === Joint Dynamics in Precious Metal and US Dollar Markets
Student: Mao-Yu Chen Adivisor: Dr. Chih-Chiang Wu
Submitted to Master of Science Program
Major in Finance
College of Management
Yuan Ze University
Abstract
US dollar has been a dominant currency for decades; its status becomes more and more outstanding since the World War I broke out in year 1914. The Federal Reserve Bank serves the US dollar as numeraire ever since the war and this leads to inflation. But its leading position has begun to sink due to the turmoil--- financial crisis, meanwhile, the performance of gold start to shed some light. Recently, the gold market worldwide captures lots of attention of financial media due to its historical role to money and a higher price compared to the way it used to be. Also, from the past studies we can find out that the depreciation of US dollar will lead to an increase in price of gold. Gold used to serves as a hedge, but this idea changes over time. and silver also receive attentions from investors due to its increase in use in industrial.
We use a skew-t copula model to exam the volatility asymmetry and correlation asymmetry among gold, silver and US dollar markets, so that we can know how to react the financial market under different kinds of market condition. We discover that gold and silver can be served as safe-haven under certain financial turmoil.
Key Words
US dollar, gold, silver, safe-haven, Copula model
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