The Volatility Spillover Effects among Oil, Gold and US Dollar Index Futures

• Main Authors: Ya-hui Wu, 吳雅惠
• Other Authors: Wan-hsiu Cheng
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/72907275009464132919

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 97 === 　　The volatilities of oil prices are important to global economics, and gold also plays an important hedge role for predicting the depreciation in U.S. dollar and the inflation. Therefore, investigating the relationship among oil, gold and U.S. dollar are essential. This paper analyzes the spillover effects among oil futures, gold futures and the U.S. dollar futures using VARMA-GARCH(1,1) model, and we also discuss that whether the relationships are different in the period of depreciation and appreciation of U.S. dollar. The empirical results find that the relationships are much closer and the volatility spillover effects are also stronger after 2001, the period of depreciation. In the period of appreciation, the factors that appreciating the U.S dollar are not related to oil or gold price volatilities. The bi-direct spillover effects only exist between gold and U.S. dollar index, and the volatilities of gold and U.S. dollar are spillover to oil volatility, but the reverse spillover effects are not exist. However, along with the depreciation in U.S. dollar, the substitute effects are paid much attention in gold assets, at the same time, oil prices turn upward and the leading role in economy is much improved. The spillovers are turn into the opposite situation, that is, the volatility of oil price is spillover to the volatilities of gold and U.S. dollar, and the reverse spillovers effects are not exist. The relationships among three assets change over time, therefore, the results are important for investors.