| In a latest report by the World Gold Council,investors now see gold as a key portfolio risk hedge.At present,the increasingly normalized epidemic situation will have a sustained impact on investors’ asset allocation plan to some extent,and this situation will continue to strengthen the position of gold as a strategic reserve asset.In addition,the current global trade situation is still tense,trade impact on the economy,the fed’s rate cut did not let the market has significantly improved,pessimism still spread,investors reduce risk appetite,the capital generally into the bond market and gold market,short-term trade situation is difficult to ease.Gold will therefore be highly sought after by market investors and become one of the first choice for asset allocation.Based on the above market background,we can draw a question about whether the impact of good news and bad news in the market on the fluctuation of gold price and yield has asymmetric leverage effect? Mastering the changing trend of gold price is not only conducive to the mature development of China’s gold market,but also provides a huge boost for investors to keenly capture market information and make appropriate judgments on gold trading.Taking the objective logic of gold price fluctuation as the foundation and clarifying the internal law of gold price and yield fluctuation can further clarify the global market trend of gold market,which is of great significance for the allocation ratio of gold and investment institutions or individuals in the foreign exchange reserves of China’s central bank.First,the daily closing price of gold AU99.95 and dollar index volatility from October30,2002 to May 8,2020,Shenzhen Composite index volatility,CPI volatility,interbank lending rate,Brent crude oil spot price yield and other indicators were selected for Granger causality test and pulse response test,The results show that the past information of the above indicators can have a certain impact on the future fluctuation trend of gold price yield;thenceforth,in this paper,the variance decomposition of these influencing factors is integrated,Conclusion In the short term,the largest contribution to the fluctuation of gold price yield is the dollar price volatility;on this basis,Explore the leverage effect of gold price and yield fluctuation at the same time.In this part,the ARMA model is first fitted to the gold price yield to determine the optimal lag order,which is the ARMA(4,4)model.Based on the threshold GARCH model(TGARCH)and exponential GARCH model(EGARCH)are two typical models used to describe the asymmetry of yield rate,TGARCH model and EGARCH model are selected successively to study whether there is leverage effect in the fluctuation of gold price yield rate.The results suggest a clear ARCH effect in AU99.95 from 2002 to2020.Further empirical test found that the gold yield showed obvious leverage effect,under the same degree of information impact,the market reaction to the gold positive news than the gold negative news,which is the opposite of the leverage effect of the stock market,that is,the gold price yield will be easy to rise but difficult to fall.Based on the above work,this paper believes that investors can buy gold products in advance to hedge the risk in order to minimize the loss.However,investors should still pay close attention to the changes of gold fluctuation cycle and price range,and accurately grasp the influence of many factors on gold price yield fluctuation,such as the fluctuation of international crude oil price.In addition,for the supervisors and norms of the gold market,raise the entry threshold of individual investors and institutional investors,and enhance the popularization of gold and related derivatives,which is also the key factor to protect the interests of retail investors and effectively reduce the market shock caused by herd effect. |
