Can Gold Hedge Against The Risks of Exchange Rate? – The Analysis of Intraday Data

• Main Authors: ZHU YINGHUI, 朱穎慧
• Other Authors: Tsai, Li-Ju
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/j3w847

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 106 === In this paper, I use the intraday data of gold price and exchange rate as samples, and establish the model, which is based on the Realized BiPower Covariance model proposed by Barndorff-Nielsen & Shephard (2004a), to estimate the covariance of the gold return along with the exchange rate return. The Median Realized Volatility model proposed by Andersen, Dobrev & Schauumburg (2010) was used to estimate the corresponding realized volatility and calculate the regression coefficient of the daily gold price to exchange rate, which is referred to as “β”. For examing the factors, that influence the hedge ability against the devaluation of USD, we analyse VIX index, S&P500, TIPS, CPI and its announcement date to see their relationship with the regression coeffient of the realized beta. We find that there are different combinations of variables that have significant impacts on beta of the three foreign exchange markets. Gold-related news and changes in the expected inflation rate on the announcement date put significant impacts on the beta of European Dollar. And the VIX index significantly affects the beta of British Pond. The return on stock price index, the change in daily commodity price index、 treasury inflation protected securities and expected inflation rate influence the beta of Japanese Yen. In threshold regression, we find a gold-related news threshold effect on the beta of European Dollar, and the return on stock price has a threshold effect on the beta of Japanese Yen. We also use logistic regression to analyse the factors that affect the beta coeffcient while it is greater than zero, that is, gold under hedge status. The empirical results show that the factors influence the hedging effect of gold are different among the three exchange markets.