特定国家宏观风险变量对黄金期货合约及其资产类别地位的影响分析:来自印度的证据

IF 0.3 4区数学 Q4 MATHEMATICAL & COMPUTATIONAL BIOLOGY

Statistics and Its Interface Pub Date : 2023-01-01 DOI:10.4310/21-sii697

Rupel Nargunam, William W. S. Wei, N. Anuradha

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引用次数: 0

摘要

本文利用多元线性回归模型探讨了黄金期货价格对宏观风险因素的依赖关系。本文采用了近年来引入的地缘政治风险指数和经济政策不确定性指数等不确定性指标。我们还研究了黄金期货合约在其他资产中的投资性质。研究结果提供了这些相互关联的宏观经济变量对新兴经济体金融衍生品合约的影响及其在投资组合配置中的独特地位的见解，旨在帮助从业者和政策制定者。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India

This paper discusses the dependence of gold futures prices on macro risk factors using a multiple linear regression model. Recently introduced uncertainty indexes such as geopolitical risk index and economic policy uncertainty index are included in this study. We also examine the investment nature of gold futures contract among other assets. The results provide insights on the inﬂuence of these inter-related macro economic variables on a ﬁnancial derivative contract in an emerging economy and its unique position in portfolio allocation and are aimed to help practitioners and policy makers.

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来源期刊

Statistics and Its Interface MATHEMATICAL & COMPUTATIONAL BIOLOGY-MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

CiteScore

0.90

自引率

12.50%

发文量

审稿时长

6 months

期刊介绍： Exploring the interface between the field of statistics and other disciplines, including but not limited to: biomedical sciences, geosciences, computer sciences, engineering, and social and behavioral sciences. Publishes high-quality articles in broad areas of statistical science, emphasizing substantive problems, sound statistical models and methods, clear and efficient computational algorithms, and insightful discussions of the motivating problems.