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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/38918


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/38918


    Title: Does the Value of US Dollar Matter with the Price of Oil and Gold? A Dynamic Analysis from Time?Frequency Space
    Authors: Sheng?Yung Yang, Fu?Lai Lin,Yu?Fen Chen
    Contributors: Department of Finance, Da?Yeh University,Department of Finance, National Chung?Hsing University
    Date: 2012-05-01
    Issue Date: 2013-07-26 11:22:48 (UTC+8)
    Publisher: Department of Finance, Da?Yeh University
    Abstract: Is the commodity market still dominated by the US dollar? What has been the effect of the financial crisis on this
    relationship? This paper applies wavelet analysis to examine the contemporaneous and dominant dynamics between US
    dollar, oil price and gold price. By decomposing the relationships into short term and long term components, the results
    will enable investors with different decision making horizons to construct different portfolio management. Our findings
    indicate that the returns dynamics between crude oil, gold and US dollar are different at different frequencies and these
    relations are time?varying. This noteworthy heterogeneity across frequencies and over time highlights the usefulness of
    the wavelet approach. Moreover, the evidence shows that the crude oil market has been found to be dominated by the
    US dollar but the gold leads US dollar in the long term. Finally, we find that financial crisis has a temporary effect on the
    dynamics between commodities and US dollar. This finding suggests that the short term commodity investors should
    take care of the US dollar’s tendency during the crisis periods.
    Relation: 2012中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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