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AN INTERVAL METHOD FOR STUDYING THE RELATIONSHIP BETWEEN THE AUSTRALIAN DOLLAR EXCHANGE RATE AND THE gold price

Journal of Systems Science & Complexity 2012年第1期25卷 121-132,132+131页

作者： Ai HAN K.K.LAI Shouyang WANG Shanying XU Academy of Mathematics and Systems Sciences Chinese Academy of Sciences Department of Management Sciences City University of Hong KongTat Chee AvenueKowloonHong KongChina

This paper proposes an interval method to explore the relationship between the exchange rate of Australian dollar against US dollar and the gold price, using weekly, monthly and quarterly data. With the interval method, interval sample data are formed to present the volatility of variables. The ILS approach is extended to multi-model estimation and the computational schemes are provided. The empirical evidence suggests that the ILS estimates well characterize how the exchange rate relates to the gold price, both in the long-run and short-run. The comparison between the interval and point methods indicates that the difference between the OLS and the ILS estimates is increasing from weekly data to quarterly data, since the lowest frequency point data lost the most information of volatility.

关键词： Exchange rate gold price interval method.

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Dynamic response pattern of gold prices to economic policy uncertainty

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Transactions of Nonferrous Metals Society of China 2019年第12期29卷 2667-2676页

作者： Gao CHAI Da-ming YOU Jin-yu CHEN School of Business Central South UniversityChangsha 410083China Institute of Metal Resources Strategy Central South UniversityChangsha 410083China

Based on a time-varying parameter structural vector autoregression with stochastic volatility(TVP-SVAR-SV)model,the time-varying effects and country differences of economic policy uncertainty(EPU)on gold prices from August 2006 to December 2017 were *** results show that the effects of global economic policy uncertainty(GEPU)shock on gold prices change over *** changes were positive during 2006-2008 and 2013-2017,while the impacts were negative during 2009-2012,implying that the efficiency of gold as a safe haven is not stable and depends on economic *** are significant country differences regarding the impact of EPU on the price of gold,particularly during the international financial crisis,European debt crisis and Trump *** the international financial crisis,EPU exerts a positive impact on gold prices in most *** the European debt crisis,the impact of EPU on gold prices is mainly negative in the examined *** during the Trump election,the impact displays positive and negative alternating in most countries.

关键词： economic policy uncertainty gold price time-varying effects TVP-SVAR-SV model

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Regression Analysis on the Causes of the International gold prices Rising

Regression Analysis on the Causes of the International Gold ...

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第三届教学管理与课程建设学术会议

作者： Xiaoxue Wang 1 , Zhiqiang Luan 2 1 International College Beijing, China Agricultural University, Beijing, China, 100083 2 : International College Beijing, China Agricultural University, Beijing, China, 100083

gold has experienced appreciation for nine years since 2001. This paper analyzes the causes of the international gold price rise. From the data of gold prices for recent years, the causes are summaried: political cause and economic causes which include the price of the silver, the price of oil, S&P500 (stock market), inflation of the U.S. and the federal interest rate. And illustrate what different with widely accepted outcomes of the relationships with the trend of dollar exchange rate, supply of gold.

关键词： gold price regression model dummy variable financial analysis

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Analysis on the influence factors of Bitcoin’s price based on VEC model

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Financial Innovation 2017年第1期3卷 37-49页

作者： Yechen Zhu David Dickinson Jianjun Li School of Finance Central University of Finance and EconomicsBeijing 100081China Department of Economics Birmingham Business SchoolUniversity of BirminghamBirmingham B152TTUK

Background:Bitcoin,the most innovate digital currency as of now,created since 2008,even through experienced its ups and downs,still keeps drawing attentions to all parts of *** relies on peer-to-peer network,achieved decentralization,anonymous and *** the most representative digital currency,people curious to study how Bitcoin’price changes in the ***:In this paper,we use monthly data from 2011 to 2016 to build a VEC model to exam how economic factors such as Custom price index,US dollar index,Dow jones industry average,Federal Funds Rate and gold price influence Bitcoin ***:From empirical analysis we find that all these variables do have a long-term *** dollar index is the biggest influence on Bitcoin price while gold price influence the ***:From our result,we conclude that for now Bitcoin can be treated as a speculative asset,however,it is far from being a proper credit currency.

关键词： Bitcoin price gold price US dollar index VEC model

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gold prices as a Mechanism of Control and Equilibrium in Financial Markets

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Management Studies 2020年第2期8卷 134-148页

作者： Ewa Drabik Warsaw University of Technology WarsawPoland

gold is used as a currencies comparative measure and,because of its properties(it does not rust)and use(in space industry,for example),it has a significant role in balancing both financial markets and *** crises,gold seldom loses *** aim to show that price of gold is a stabilizing factor for the economic *** will do so utilizing the chaos theory,which gains more and more popularity in social sciences.

关键词： gold price equilibrium fractal market hypothesis(FMH) attractor fractals

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Can gold Effectively Hedge Risks of Global Economic Policy Uncertainty?

Can Gold Effectively Hedge Risks of Global Economic Policy U...

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现代化经济体系与高质量发展——第十三届中华发展经济学年会

作者： Meng Qin Qingdao University Department of Economy

This paper investigates the ability of gold to hedge worldwide risks from the perspective of global economic policy uncertainty(CEPU).By applying the full and sub-sample rolling-window bootstrap causality tests to analyze the dynamic interaction between GEPU and gold price(GP).It can be observed that gold can effectively hedge risks of GEPU during the Asian financial crisis,dot-com bubble and global economic crisis,but this result does not hold in non-crisis *** manifests two-way impacts on the GP in a few periods,this relationship between GEPU and GP being consistent with the hypothesis in the general equilibrium model,which states that changes in GEPU lead to the fluctuations of *** turn,GP has the same impacts on *** the current complex economic situation,governments and investors can consider gold to hedge risks of GEPU,especially during the economic crises

关键词： Global economic policy uncertainty gold price Causality Rolling-window

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