The Dynamic Relationships between Gold Return and U.S. Dollar Depreciation

黃金報酬與美元貶值之動態關係

李源明(Yuan-Ming Lee) ； 王冠閔(Kuan-Min Wang)

《風險管理學報》 10卷1期 (2008/03) Pp. 47-71

https://doi.org/10.30003/JRM.200803.0003

摘要

本文利用線性模型以及採用美元匯率變動率為門檻變數的非線性模型，檢定黃金報酬與美元匯率之間的動態關係，藉以探討黃金是否能夠有效地規避美元匯率貶值的風險。實證結果發現：一、黃金是可以有效地規避美元匯率貶值的風險；二、黃金報酬與英鎊／美元匯率、黃金報酬與日圓／美元匯率這兩組變數之間具有非線性關係，並發現當英鎊／美元匯率變動幅度小於2.34%時、日圓／美元匯率變動幅度小於2.94%時，投資黃金才可有效地規避美元貶值的損失，反之則否。三、透過樣本外預測效能的比較，發現非線性模型相對於線性模型，在預測黃金價格變動上具有優勢，而投資或持有黃金是最能規避日圓／美元匯率貶值的風險。本文的結果可提供投資人以黃金來規避美元貶值時，應注意匯率變動（貶值）幅度的大小，方可有效。

關鍵字

黃金報酬 ； 美元貶值 ； 門檻模型 ； 樣本外預測

並列摘要

This paper examines the dynamic relationships between gold return and U.S. dollar depreciation which testing the effectiveness of gold as an exchange rate hedge against U.S. dollar depreciation. We utilize the linear model and the non-linear threshold model with exchange rate fluctuation as the threshold variable to investigate this problem. The empirical findings are summarized as follows. First, the estimation result suggests that gold indeed could serve as an effective hedge against U.S. dollar depreciation. Second, there exist two sets of non-linear relationships in our sample: one between the gold return and the sterling-dollar exchange rate, and another between the gold return and the yen-dollar exchange rates. Moreover, we find that gold's hedge performance is efficient only when the sterling-dollar exchange rate fluctuates less than 2.34% and the yen-dollar exchange rate fluctuate less than 2.94%. Third, the out-of-sample forecast results suggest that the non-linear model outperforms the linear model and that gold performs best as a hedge against the yen-dollar exchange rates. In conclusion, our findings could serve as advice to investors that gold's hedge effectiveness depends on the depreciation percentage of the U.S. dollar.

並列關鍵字

Gold return ； U.S. dollar depreciation ； Threshold model ； Out-of-sample Forecasting

參考文獻

Ariovich, G.(1983).The Impact of Political Tension on the Price of Gold.Journal for Studies in Economics and Econometrics.16,17-37.

Baker, S.A.,R.C. Van Tassel(1985).Forecasting the Price of Gold: A Fundamentalist Approach.Atlantic Economic Journal.13,43-51.

Capie, F.,T.C. Mills,G. Wood(2005).Gold as a Hedge Against the Dollar.Journal of International Financial Markets, Institutions and Money.15,343-352.

Chappell, D.,K. Dowd(1997).A Simple Model of the Gold Standard.Journal of Money, Credit and Banking.29,94-105.

Diba, B.,H. Grossman(1984).Rational Bubbles in the Price of Gold.(NBER Working Paper,No.1300).