How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models

Dong, Manh Cuong; Chen, Cathy W. S.; Lee, Sangyoel; Sriboonchitta, Songsak

doi:10.1007/s10614-017-9743-z

Cited by 11 publications

(5 citation statements)

References 34 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…They further find the unusual movement of USD during the GFC of 2007–2009 spurred on the co-movement between those exchange rates and gold prices. Dong et al (2019) also similarly reveal results for the nexus between exchange rates (USD → GBP and USD → EUR) and gold prices during the GFC differ from those in other periods they investigate. Furthermore, Dong et al (2019) document that the correlation coefficients between USD → GBP and USD → EUR exchange rates and gold prices have higher absolute values during the GFC than those in other periods they investigate.…”

Section: Resultssupporting

confidence: 60%

“…The rationale in selecting these leading exchange rates is that they are commonly used and thus can provide a rich understanding of the relationships between the exchange rates and gold prices. For example, Goldman (2000) uses USD → GBP; Pukthuanthong and Roll (2011) , USD → EUR, USD → GBP, and USD → JPY; Bedoui, Braeik, Goutte, and Guesmi (2018) , USD → GBP, USD → EUR, USD → CAD, USD → JPY, and USD → CHF; Mirkov, Pozdeev, and Söderlind (2019) , USD → CHF; Dong, Chen, Lee, and Sriboonchitta (2019) , USD → GBP and USD → EUR; Cumperayot and Kouwenberg (2020) , USD → GBP, USD → CAD, USD → JPY, USD → NOK, and USD → DKK; Li, Lu, Jiang, and Petrova (2021) and Ding (2021) , USD → GBP, USD → EUR, USD → CAD, and USD → JPY.…”

Section: Data and Research Methodsmentioning

confidence: 99%

See 1 more Smart Citation

Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period

Tanin

Sarker

Brooks

2021

International Review of Financial Analysis

View full text Add to dashboard Cite

Section: Resultssupporting

confidence: 60%

Section: Data and Research Methodsmentioning

confidence: 99%

Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period

Tanin

Sarker

Brooks

2021

International Review of Financial Analysis

View full text Add to dashboard Cite

“…Several test models for structural change exist, which can be routinely applied in finance research to statistically identify structural breakpoints in financial time-series data. For example, Dong et al [ 36 ] employed the cumulative sum of squared residuals (CUSUM) test [ 37 ] based on GARCH residuals to identify the locations of breaks or sudden changes in the volatility of gold and USD exchange rate markets. The method assumes that the given time series consists of a stable sub-series and captures the change points during market volatility.…”

Section: Related Workmentioning

confidence: 99%

PGraphD*: Methods for Drift Detection and Localisation Using Deep Learning Modelling of Business Processes

Hanga

Kovalchuk

Gaber

2022

Entropy

View full text Add to dashboard Cite

This paper presents a set of methods, jointly called PGraphD*, which includes two new methods (PGraphDD-QM and PGraphDD-SS) for drift detection and one new method (PGraphDL) for drift localisation in business processes. The methods are based on deep learning and graphs, with PGraphDD-QM and PGraphDD-SS employing a quality metric and a similarity score for detecting drifts, respectively. According to experimental results, PGraphDD-SS outperforms PGraphDD-QM in drift detection, achieving an accuracy score of 100% over the majority of synthetic logs and an accuracy score of 80% over a complex real-life log. Furthermore, PGraphDD-SS detects drifts with delays that are 59% shorter on average compared to the best performing state-of-the-art method.

show abstract

“…The results indicate that stock markets in emerging economies are more vulnerable to bad news and events that result in uncertain economic conditions. The dynamic relationship among gold and USD exchange rates is examined by Dong et al (2019) and a negative association is shown while indicating the significance of structural breaks on the relationship. Using the quantile-on-quantile approach, they argued that dependence between stock-gold is not uniform and this relationship is market state and country-specific.…”

Section: Related Literaturementioning

confidence: 99%

Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach

2021

View full text Add to dashboard Cite

In this paper, we contribute to the old debate on the dynamic correlation between gold and stock markets by considering a spectral approach within the framework of portfolio hedging. Specifically, we consider eight MENA stock markets (Tunisia, Egypt, Morocco, Jordan, UAE, Saudi Arabia, Qatar, and Oman) and examine the optimal composition between gold and the stock market index, with a minimum portfolio risk and a high expected return. Based on the spectral approach, we propose seven portfolio structures and evaluate them through a comparison with the conventional DCC-GARCH method and the most best 10 portfolios constructed by using wavelet approach. The main results show that the spectral-based approach outperforms the DCC-GARCH and the wavelet methods. In fact, the optimal gold-stock composition depends on the spectral density of each stock market index, where a stock market index with a stable spectral density requires more investments in gold than a stock market index with an unstable spectral density.

show abstract

How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models

Cited by 11 publications

References 34 publications

Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period

Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period

PGraphD*: Methods for Drift Detection and Localisation Using Deep Learning Modelling of Business Processes

Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach

Contact Info

Product

Resources

About