...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>International Review of Financial Analysis >Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor
【24h】

Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor

机译：主要贵金属和主要货币市场之间的溢出和关联：频率因子的作用

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

We examine the volatility spillovers and hedging characteristics between four major precious metals futures (gold, palladium, platinum, and silver) and seven major currencies (Australian dollar, British pound, Canadian dollar, Chinese yuan, Euro, Japanese yen, and Swiss franc) at three time horizons (short term, intermediate term, and long term). We draw our empirical results using the index methods of Diebold and Yilmaz (2012, 2014) and Barunik and K.rehlik (2018). The results show that the precious metals, except for gold, have the largest spillovers on the Australian dollar and Canadian dollar and receive the largest spillovers from these currencies for all the time horizons. In addition, with the exception of gold, the smallest spillovers from the precious metals are exerted on the Japanese yen and Chinese yuan and these currencies have the smallest spillovers to the precious metals. The Japanese yen and Chinese yuan act primarily as spillover receivers, whereas the other currencies act as both spillover transmitters and receivers in different time periods. The spillovers for most of the pairs are asymmetric for all the time horizons, are more pronounced in the short term, and noticeably increase during times of financial and economic uncertainty. Finally, adding precious metal futures contracts to currency portfolios provides diversification and hedging advantages, with hedging effectiveness higher in the short term than in the intermediate and long terms.
机译：我们研究了四大贵金属期货（金，钯，铂金）和七种主要货币（澳大利亚，英镑，加拿大元，中国人，欧元，日元和瑞士法郎）之间的波动率溢出效果和对冲特征在三个时间（短期，中期，长期）。我们使用Diebold和Yilmaz（2012,2014）和Barunik和K.Rehlik（2018）的索引方法绘制了我们的实证结果。结果表明，除黄金外，贵金属除了黄金，澳大利亚元和加拿大元最大的溢出率，并为所有时间视线收到这些货币的最大溢出效果。此外，除了黄金之外，贵金属的最小溢出渗透出杂货在日元和中国人民币上施加，这些货币对贵金属的最小溢出剂。日元和中国元主要作为溢出接收器，而其他货币在不同的时间段中充当溢出发射器和接收器。大多数对的溢出效应对于所有时间范围不对称，在短期内更加明显，在金融和经济不确定性期间明显增加。最后，将贵金属期货合约添加到货币投资组合提供多样化和对冲优势，短期内比中间和长条款更高的对冲效果。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号