法定货币真的能对冲黄金价格吗?基于范围的 DCC 模型提供的证据

IF 3.8 Q2 BUSINESS
Yousra Trichilli, Hana Kharrat, Mouna Boujelbène Abbes
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引用次数: 0

摘要

目的 本文评估了大同黄金与六种法定货币之间的共同走势。本文使用小波分析、BEKK-GARCH 模型和范围 DCC-GARCH 框架研究了 Pax 黄金和法定货币之间的波动溢出。此外,本文还建议使用从新的范围 DCC-GARCH 框架中获得的协方差和方差结构来估算随时间变化的最优对冲比率、最优权重和对冲效果。研究结果小波相干性方法显示,在低频下,黄金/欧元、黄金/日元和黄金/卢布货币对出现了较大的共动区。此外,BEKK 结果显示了黄金与欧元、英镑、日元和人民币(印度卢比、卢布)法定货币之间的单向(双向)传导效应。此外,Range DCC 结果显示,税金与法定货币收益之间的相关性较弱,系数较低,接近于零。因此,大同黄金似乎是抵御法定货币市场系统性风险的避风港资产。此外,最佳权重的结果表明,理性投资者应更多地投资黄金,而减少对法定货币的投资。关于对冲比率结果,研究结果显示,印度卢比(日元)法定货币似乎是对冲黄金市场最昂贵(最便宜)的对冲工具。然而,日元法币似乎是最便宜的。至于对冲有效性结果,作者发现,包括法币-大同黄金对在内的对冲策略最有可能大幅降低投资组合的风险。这项研究强调了把握这些货币之间波动性传递的重要性,为指导投资者的决策过程提供了宝贵的见解。此外,它还鼓励进一步探索数字货币之间的相互依存关系。此外,本研究还揭示了有效的传染风险管理,尤其是在 Covid-19 和俄乌冲突等危机期间。它强调了黄金作为避险资产的作用,并为在各种经济条件下调整投资组合提供了实用指导。最终,这项研究推动了我们对黄金协会风险收益状况的理解,将其定位为不确定时期的潜在对冲工具,从而为不断发展的加密货币文献做出了贡献。此外,它还通过创新性的 Range-DCC-GARCH 模型确定了最佳时变对冲比率,该模型最初由 Molnár(2016 年)引入,其与众不同之处在于同时纳入了低价和高价。值得注意的是,该分析是在 Covid-19 大流行和俄乌冲突的独特背景下展开的,标志着该领域的一项新贡献。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Can fiat currencies really hedge Pax gold? Evidence from range-based DCC models

Purpose

This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax gold as a diversifier and hedge asset.

Design/methodology/approach

This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework to estimate the time-varying optimal hedge ratios, the optimal weighs and the hedging effectiveness.

Findings

Wavelet coherence method reveals that, at low frequency, large zone of co-movements appears for the pairs Pax gold/EUR, Pax gold/JPY and Pax gold/RUB. Further, the BEKK results show unidirectional (bidirectional) transmission effects between Pax gold and EUR, GBP, JPY and CNY (INR, RUB) fiat currencies. Moreover, the Range DCC results show that the Pax gold and the fiat currency returns are weakly correlated with low coefficients close to zero. Thus, Pax gold seems to serve as a safe haven asset against the systematic risk of fiat currency markets. In addition, the results of optimal weights show that rational investor should invest more in Pax gold and less in fiat currencies. Concerning the hedge ratios results, the findings reveal that the INR (JPY) fiat currency appears to be the most expensive (cheapest) hedge for the Pax-gold market. However, the JPY’s fiat currency appears to be the cheapest one. As for hedging effectiveness results, the authors found that hedging strategies including fiat currencies–Pax gold pairs are most likely to sharply decrease the portfolio’s risk.

Practical implications

A comprehensive understanding of the relationship between Pax Gold and fiat currencies is crucial for refining portfolio strategies involving cryptocurrencies. This research underscores the significance of grasping volatility transmissions between these currencies, providing valuable insights to guide investors in their decision-making processes. Moreover, it encourages further exploration into the interdependencies of digital currencies. Additionally, this study sheds light on effective contagion risk management, particularly during crises such as Covid-19 and the Russia–Ukraine conflict. It underscores the role of Pax Gold as a safe-haven asset and offers practical guidance for adjusting portfolios across various economic conditions. Ultimately, this research advances our comprehension of Pax Gold’s risk-return profile, positioning it as a potential hedge during periods of uncertainty, thereby contributing to the evolving literature on cryptocurrencies.

Originality/value

This study’s primary value lies in its pioneering empirical examination of the time-varying correlations and scale dependence between Pax Gold and fiat currencies. It goes beyond by determining optimal time-varying hedge ratios through the innovative Range-DCC-GARCH model, originally introduced by Molnár (2016) and distinguished by its incorporation of both low and high prices. Significantly, this analysis unfolds within the unique context of the Covid-19 pandemic and the Russian–Ukrainian conflict, marking a novel contribution to the field.

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来源期刊
CiteScore
9.80
自引率
19.20%
发文量
61
期刊介绍: The EuroMed Journal of Business (EMJB) is the premier publication facilitating dialogue among researchers from Europe and the Mediterranean. It plays a vital role in generating and disseminating knowledge about various business environments and trends in this region. By offering an up-to-date overview of emerging business practices in specific countries, EMJB serves as a valuable resource for its readers. As the official journal of the EuroMed Academy of Business, EMJB is committed to reflecting the economic growth seen in the European-Mediterranean region. It aims to be a focused and targeted business journal, highlighting environmental opportunities, threats, and marketplace developments in the area. Through its efforts, EMJB promotes collaboration and open dialogue among diverse research cultures and practices. EMJB serves as a platform for debating and disseminating research findings, new research areas and techniques, conceptual developments, and practical applications across various business segments. It seeks to provide a forum for discussing new ideas in business, including theory, practice, and the issues that arise within the field.
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