The Investigation of the Commodity Hedging During the Period of the US Quantitative Easing Monetary Policy：A Case of Gold Spot Price and Gold Futures

• Main Authors: Mei-Jung Lo, 羅美蓉
• Other Authors: Pei-Shan Wu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/z9cawz

碩士 === 健行科技大學 === 財務金融系碩士班 === 104 === Affected by subprime mortgage crisis, US Fed in 2009 and 2010, for the introduction of a total of up to $ 2.3 trillion bailout plan, this is known as quantitative easing (QE). Results substantial funds flooded, over the market to create a relaxed environment, we will increase the risk of inflation, and gold is the best tool against inflation; in addition, excess liquidity leads to a weaker dollar, use of gold denominated in US dollars, the price more so posting gains. Therefore, if the market is expected to push the US Fed quantitative easing, this is expected to increase again the psychological make hedging demand, gold prices also followed up. This study through bivariate GARCH (1,1) model with US dollar index, gold and gold futures reward. We consider in the QE policy background, gold investors how to construct a portfolio circumvent the policy risk We also compare the effect of spot gold and gold futures hedging in order to understand these two different assets during monetary easing really can become a commodity hedging. This empirical results provide investment advice for investors interested in global asset allocation.