上海黄金是人民币汇率风险的对冲工具和安全港吗？——基于常量和动态Copula模型

doi:10.16381/j.cnki.issn1003-207x.2020.1710

Abstract

Abstract: This paper investigates whether Shanghai gold can hedge against RMB exchange rate risks in the process of RMB internationalization, particularly under extreme market conditions. We use constant and GAS time-varying Copula models to analyze the data of seven RMB exchange rates and Shanghai gold prices from August 17, 2015, to December 31, 2019. We find that Shanghai gold can generally serve as a hedge against RMB movements against the euro, Australian dollar, Singapore dollar, British pound and the currencies of its main trading partners presented by the BIS effective exchange rate. The symmetric tail dependence between the returns of gold and exchange rates indicates that gold can act as a reliable safe haven in the event of extreme RMB movements against these currencies. Furthermore, the dependence between Shanghai gold and JPY/CNY changes over time. Shanghai gold is a hedge and a safe haven against JPY/CNY exchange rate risks throughout the considered sample period.

Key words: Shanghai gold; RMB exchange rate; hedge; safe haven; GAS time varying copula model

CLC Number:

LIN Juan, WU Chun-xiao, ZHANG Ming. Is Shanghai Gold a Hedge and a Safe Haven for the RMB?——Based on the Constant and Time-varying Copula Models[J]. Chinese Journal of Management Science, 2023, 31(5): 104-115.

References

［1］ Capie F, Mills T C, Wood G. Gold as a hedge against the dollar［J］. Journal of International Financial Markets, Institutions and Money, 2005, 15: 343-352.
［2］ Joy M. Gold and the US dollar, hedge or haven［J］. Finance Research Letters, 2011, 8: 120-131.
［3］ Reboredo J C. Is gold a safe haven or a hedge for the US dollar? Implications for risk management［J］. Journal of Banking & Finance, 2013, 37(8): 2665-2676.
［4］ Hoang T H V, Wong W K, Zhu Zhenzhen. Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange［J］. Economic Modelling, 2015, 50: 200-211.
［5］ Lei Ming, Zhang Xinran, Liu Qianqiu, et al. A revisit to the hedge and safe haven properties of gold: new evidence from China［J］. Journal of Futures Markets, 2020, 40(9): 1-15.
［6］ Baur D G, Lucey B M. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold［J］. Financial Review, 2010, 45: 217-229.
［7］ Baur D G, McDermott T K. Is gold a safe haven? International evidence［J］. Journal of Banking and Finance, 2010, 34: 1886-1898.
［8］ Bekiros S, Boubaker S, Nguyen D K, et al. Black swan events and safe havens: the role of gold in globally integrated emerging markets［J］. Journal of International Money and Finance, 2017, 73: 317-334.
［9］刘炳越, 姬强, 范英. 黄金是否为原油的“避险天堂”？——基于组合收益及其波动视角［J］. 中国管理科学, 2018, 26(11): 1-10.Liu Bingyue, Ji Qiang, Fan Ying. Is the gold safe haven of the oil? The portfolio return and volatility perspectives［J］. Chinese Journal of Management Science, 2018, 26(11): 1-10.
［10］ Reboredo J C, Rivera-Castro M A. Can gold hedge and preserve value when the US dollar depreciates［J］. Economic Modelling, 2014, 39: 168-173.
［11］谭德凯, 田利辉. 黄金是股票市场的“避险天堂”吗？——基于动态条件相关混频数据抽样模型［J］. 中国管理科学, 2022, 30(10): 14-24.Tan Dekai, Tian Lihui. Is gold a safe haven of the stock market? Based on dynamic conditional correlation mixed data sampling model［J］. Chinese Journal of Management Science, 2022, 30(10): 14-24.
［12］刘志蛟, 刘力臻. 黄金能对冲人民币汇率和股市风险吗?［J］. 金融论坛, 2018(4): 43-55.Liu Zhijiao, Liu Lizhen. Can gold hedge the RMB exchange rate and the stock market risk［J］. Finance Forum, 2018(4): 43-55.
［13］ Creal D D, Koopman S J, Lucas A. Generalized autoregressive score models with applications［J］. Journal of Applied Econometrics, 2013, 28: 777-795.
［14］ Sklar A. Fonctions de rpartition n dimensions et leurs marges［J］. Publications de l’Institutde Statistique de l’Universit de Paris, 1959, 8: 229-331.
［15］ Nelsen R B. An introduction to copulas［M］. Springer Science & Business Media, 2007.
［16］ Zhang Mingheng. Modelling total tail dependence along diagonals［J］. Insurance: Mathematics and Economics, 2008, 42, 73-80.
［17］ Embrechts P, Klüppelberg C, Mikosch T. Modelling extremal events: for insurance and finance［M］. Springer Science & Business Media, 2013.
［18］ Patton A J. A review of copula models for economic time series［J］. Journal of Multivariate Analysis, 2012, 110: 4-18.
［19］ Hansen B E. Autoregressive conditional density estimation［J］. International Economic Review, 1994, 35 (3): 705-730.
［20］ Patton A J. Modelling asymmetric exchange rate dependence［J］. International economic review, 2006, 47: 527-556.
［21］ Creal D D, Tsay R S. High dimensional dynamic stochastic copula models［J］. Journal of Econometrics, 2015, 189: 335-345.
［22］ Oh D H, Patton A J. Time-varying systemic risk: Evidence from a dynamic copula model of CDS spreads［J］. Journal of Business & Economic Statistics, 2018, 36: 181-195.
［23］叶五一, 谭轲祺, 缪柏其. 基于动态因子Copula模型的行业间系统性风险分析［J］. 中国管理科学, 2018, 26(3): 1-12.Ye Wuyi, Tan Keqi, Miao Baiqi. Analysis of systemic risk among industries via dynamic factor copulas［J］. Chinese Journal of Management Science, 2018, 26(3): 1-12.
［24］蔡光辉, 徐君, 应雪海. 基于GAS的混频Copula模型的投资组合风险预测［J］. 系统工程理论与实践, 2021, 41(8): 2030-2044.Cai Guanghui, Xu Jun, Ying Xuehai. Risk forecast of investment portfolio based on GAS MIDAS copula model［J］. Systems engineering-Theory & Practice, 2021, 41(8): 2030-2044.
［25］ Cheung Y W, Hui C H, Tsang, A. The renminbi central parity: an empirical investigation［J］. Pacific Economic Review, 2018, 23: 164-183.
［26］ Diebold F X, Gunther T A, Tay A S. Evaluating density forecasts with applications to financial risk management［J］. International Economic Review, 1998, 39: 863-883.

Is Shanghai Gold a Hedge and a Safe Haven for the RMB?——Based on the Constant and Time-varying Copula Models

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 0

Metrics

Comments

Recommended 0