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首页> 外文会议>International Symposium on Social Science and Management Innovation >Revisiting the Dynamic Correlation between Gold and Oil Returns in the Aftermath of 2008 Global Financial Crisis
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Revisiting the Dynamic Correlation between Gold and Oil Returns in the Aftermath of 2008 Global Financial Crisis

机译：在2008年全球金融危机后，重新审视黄金与石油回报的动态相关性

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摘要

Dynamic relationship between gold and oil market has attracted increasing amounts of scholarly interest. In this paper, we propose a novel nonlinear analysis framework including VAR-BDS, ARIMAX-BDS, non-parametric structural change detection model, DCC-GARCH model to clearly reveal the time-varying correlation between the crude oil price and the gold price after the 2008 GFC. Firstly, the results of VAR-BDS and ARIMAX-BDS show that the interactions between these two markets are suggested to be nonlinear in contrast to previous work. Secondly, by employing non-parametric structural change detection model, we find that the linkage between oil and gold market after the 2008 GFC experience nine different regimes and turn to be nonlinear and asymmetry. Finally, DCC-GARCH model is adopted to examine the different interactions in the case of different regimes depending specific threshold variables. In the end of our paper, some significant implications are summarized, and the link between oil and gold market has go through a nonlinear, dynamic and asymmetric evolution process, also our conclusions present a comprehensive and timely reference information for different market participants confronting with similar global risks.
机译：黄金与石油市场之间的动态关系吸引了越来越多的学术利益。在本文中，我们提出了一种新的非线性分析框架，包括var-bds，arimax-bds，非参数结构变化检测模型，DCC-GARCH模型，以清楚地揭示原油价格与黄金价格之间的时变相关性2008年GFC。首先，Var-BDS和ARIMAX-BDS的结果表明，与之前的工作相比，这两个市场之间的相互作用表明是非线性的。其次，通过采用非参数结构变化检测模型，我们发现2008年GFC后石油和黄金市场之间的连锁体验九个不同的制度，转向非线性和不对称。最后，采用DCC-GARCH模型来检查不同制度的情况下的不同交互，这取决于特定的阈值变量。在本文结束时，总结了一些重大影响，石油和黄金市场之间的联系经历了非线性，动态和不对称的演进过程，我们的结论对不同的市场参与者面临相似的不同市场参与者提供了全面及时的参考信息全球风险。

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