Gold and the Dollar (and the Euro, Pound, and Yen)

被引：100

作者：

Pukthuanthong, Kuntara ^{[2
]}

Roll, Richard ^{[1
]}

机构：

[1] Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA 90024 USA

[2] San Diego State Univ, San Diego, CA 92182 USA

来源：

JOURNAL OF BANKING & FINANCE | 2011年 / 35卷 / 08期

关键词：

Commodities; Exchange rate; Correlation; Autoregression; Granger causality; Dynamic conditional correlation;

D O I：

10.1016/j.jbankfin.2011.01.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Usually, gold and the Dollar are negatively related; when the Dollar price of gold increases. the Dollar depreciates against other currencies. This is intuitively puzzling because it seems to suggest that gold prices are associated with appreciation in other currencies. Why should the Dollar be different? We show here that there is actually no puzzle. The price of gold can be associated with currency depreciation in every country. The Dollar price of gold can be related to Dollar depreciation and the Euro (Pound, Yen) price of gold can be related to Euro (Pound, Yen) depreciation. Indeed, this is usually the case empirically. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：2070 / 2083

页数：14

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