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摘要: 在实际的研究中，黄金价格和汇率市场都是间接和直接考量世界经济发展 状况的重要数据来源。他们之间存在的相关性也成为众多学者研究的方向。探究 两者之间的联动性也对使众多投资者参与到黄金市场、汇率市场有着重要的意义。66260
本文选取了自 2003 年 3 月 2 日至 2017 年 3 月 31 日所有工作日的美元-人民 币汇率、美元-欧元汇率、美元-日元汇率和黄金价格进行数据的分解并进行相关 性分析。本文介绍了 EMD 方法，并采用改进后的 EEMD 方法，将每组数据序列 拆分成十个 IMF 的分量以及一个 RES 剩余分量，再对已经得到的十个 IMF 分量 进行 IMF 重构，将数据进一步划分为高频项、低频项以及趋势项（剩余变量）。
之后，通过 EViews 采用 GARCH 模型对各国汇率的高频项和黄金价格的高 频项进行相关性分析；用 Granger 因果检验来分析各国汇率的低频项与黄金价格 低频项之间的因果关系；用 EViews 将各国汇率和黄金价格的趋势项绘制成图分 析其相关性。
汇率市场与黄金市场有着密不可分的联系，相互影响，相辅相成。从高频项 中看到美元对各国汇率与黄金价格都有着很强的传递性；低频项中，在金融危机 的影响下汇率与黄金价格之间有着不同的因果关系；剩余变量预示着未来的趋势， 黄金价格的趋势与各国的汇率走势存在着反向的关系。
关键词： EMD 分解；GARCH 模型；相关性；汇率；黄金价格
Research on Scale Correlation Analysis of Exchange Rate and Gold Price
Abstract: In the actual study, the gold price and the exchange rate market are the indirect and direct consideration of the world economic development status of important data sources. The correlation between them has become the direction of many scholars to study. Exploring the linkage between the two is also the participation of many investors in the gold market, the exchange rate market has important significance.
This paper selects the US dollar - RMB exchange rate, dollar - euro exchange rate, dollar - yen exchange rate and gold price for all working days from March 2, 2003 to March 31, 2017, and analyzes the correlation. In this paper, we introduce the EMD method, and use the improved EEMD method to split each data sequence into ten IMF components and a RES residual component, and then reconstruct the already obtained IMF component, the data is further pided into high frequency Item, low frequency item, and trend item (residual variable).
Afterwards, the GARCH model is used to analyze the correlation between the high frequency and the gold price of the exchange rate. The Granger causality test is used to analyze the causal relationship between the low frequency and the low price of the gold price. The trend of national exchange rate and gold price is plotted and analyzed.
Exchange rate market and the gold market has inextricably linked, mutual influence, complement each other. From the high-frequency items to see the dollar on the national exchange rate and gold prices have a very strong transfer; low-frequency items, under the influence of the financial crisis exchange rate and the price of gold has a different causal relationship between the remaining variables indicate the future Trends, the trend of gold prices and the exchange rate movements of countries there is a reverse relationship.
Keywords: EMD decomposition,;GARCH model,;correlation exchange rate,;gold price
目录
第一章 绪论 1
1.1 课题研究目的和意义 1
1.2 国内外研究概况 1
1.3 论文的主要研究内容 3
第二章 EMD 算法