Regular and Extreme Dependence between US Exchange Rate and Gold Price Changes

• Main Authors: LU,CHI-CHUAN, 呂季娟
• Other Authors: LAI,YI-HAO
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/08519313230850861977

碩士 === 大葉大學 === 管理學院碩士在職專班 === 104 === 　　This paper discusses the general correlation and extreme correlation between the fluctuation of US dollars and gold. Picking the US dollars index of Federal Reserve System and Gold dates of World Gold Council from Jan 1, 2001 to Jan 15, 2016, total is 3925 pieces of data. First, we uses unit root test, confirming variables are stationery time sequence data. If they are not stationary, we use logarithms to do first difference, making it stationary. Then we use Schwarz Criterion to get the most fit difference. Using VAR model, Granger causality test, we do related analysis. 　　The empirical research shows that when at general and extreme change, the rate of change between US dollars index and gold price presents negative correlation. As for the causality test part, when at general change, the US dollars index rate of change of prior period one-way affects present gold price rate of change. When at extreme change, only under four combinations (the gold price rises extremely and US dollars index rises extremely, the gold price declines extremely and US dollars index rises extremely, the gold price changes generally and US dollars index rises extremely, and the gold price changes generally and US dollars index declines extremely), showing that the US dollars index rate of change affects present gold price change of rate one-way. Besides, after considering extreme changing factors, there is extra effect.