The Discussion of Gold Futures and Crude Oil Futures Hedging Behavior: During the US Quantitative Easing and Tight Monetary Policy

• Main Authors: Jing-Hah Deng, 鄧敬翰
• Other Authors: Pei-Shan Wu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/75fvq9

碩士 === 健行科技大學 === 財務金融系碩士班 === 104 === This study analyzed the hedge performance of gold and crude oil futures during the US quantitative easing and tight monetary policy. We used the hedging model included OLS model, GARCH model and EGARCH model. This study could help hedger to understand monetary policy and hedging model effect of hedging performance, and then make optimal hedging strategies. The empirical results showed crude oil futures had better hedge effect during the quantitative easing monetary policy, and the hedge effect is poor during the quantitative easing monetary policy. However, the gold futures had better hedge performance during the tightening monetary policy, had worse hedge performance during the quantitative easing monetary policy.