| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 97 === This research is based on the Euro exchange rate, and gold price of the New York closed between Jan. 1999 and the end of Sep. 2008. The methods of the Dynamic Conditional Correlation (DCC), the Exponential Smoothing (ES) and the Rolling Correlation (RC) have been used to observe the correlation coefficients, and we also employ the regression analysis to discuss the influences of certain economic factors on the correlation between Euro exchange rate and gold price. The results are as follows.
1. The correlations of DCC, ES and RC do not have big differences in our sample period. Mostly, Euro exchange rate and gold price are positively correlated. Among these three correlation methods, the result analyzed by DCC is more stable than the other two.
2. There are six economic factors that will influence the correlation between Euro exchange rate and gold price, and they are: (1) the inflation rate of US Consumer Price Index (2) the Oil price(3)the real effective exchange rate index of U.S. dollar (4) the Euro interest rate(5) the USD interest rate (6)US trade balance. We found that the increase of US CPI inflation rate and Euro interest rate will increase the correlation between Euro exchange rate and gold price. However, the increase of the other four factors will decrease the correlation between Euro exchange rate and gold price. Therefore, the following conditions could be referred by investors and speculators for the purposes of convenience and low hedge costs, by investing on Euro dollar instead of on gold:(1)US FED cuts USD rate (2)USD index decreases (3)US trade deficit increases (4)ECB raises the Euro interest rate (5) the US CPI inflation rate increases.
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