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Co-movement between the price of gold and foreign exchange rate during the financial crisis

  • School of Management, University of Science and Technology of China ,Hefei 230026, China

Cite this:
https://doi.org/10.3969/j.issn.0253-2778.2017.09.010
  • Received Date: 24 January 2017
  • Accepted Date: 31 May 2017
  • Rev Recd Date: 31 May 2017
  • Publish Date: 30 September 2017
    Abstract

  • Abstract

    The relation between the price of gold and foreign exchange rate was studied based on a model of quantile association regression. It was found that the price of gold and foreign exchange rate are usually negatively related. But during the financial crisis, evidence of a positive tail dependence was found, because of investors’ risk aversion. Furthermore, existence of symmetric extreme tail dependence between the price of gold and the exchange rates of the Euro, Australian dollar, British pound and Canadian dollar during the crisis, but asymmetric extreme tail dependence existed in the long term. Empirical findings also indicate that the dependence strength significantly increases on upper and lower quantiles.

    Abstract

    The relation between the price of gold and foreign exchange rate was studied based on a model of quantile association regression. It was found that the price of gold and foreign exchange rate are usually negatively related. But during the financial crisis, evidence of a positive tail dependence was found, because of investors’ risk aversion. Furthermore, existence of symmetric extreme tail dependence between the price of gold and the exchange rates of the Euro, Australian dollar, British pound and Canadian dollar during the crisis, but asymmetric extreme tail dependence existed in the long term. Empirical findings also indicate that the dependence strength significantly increases on upper and lower quantiles.
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    • References(12)
  • [1]
    SHAPLEY L S. A value for n-person games[C]// Contributions to the Theory of Games Ⅱ. Princeton: Princeton University Press, 1953: 307-317.
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    NOWAK A S, RADZIK T. A solidarity value for n-person transferable utility games [J]. International Journal of Game Theory, 1994, 23: 43-48.
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    WEBER R J. Probabilistic values for games [C]// The Shapley Value. Cambridge: Cambridge University Press, 1988: 101-119.
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    KAMIJO Y, KONGO T. Whose deletion does not affect your payoff? The difference between the Shapley value, the egalitarian value, the solidarity value, and the Banzhaf value[J]. European Journal of Operational Research, 2012, 216(3): 638-646.
    [6]
    KAMIJO Y, KONGO T. Axiomatization of the Shapley value using the balanced cycle contributions property[J]. International Journal of Game Theory, 2010, 39(4): 563-571.
    [7]
    KOJIMA K. On connections between individual values and coalition values for games in characteristic function form [J]. Applied Mathematics and Computation, 2014, 229: 60-69.
    [8]
    CASAJUS A. The Shapley value without efficiency and additivity [J]. Mathematical Social Sciences, 2014, 68: 1-4.
    [9]
    FLORES R, MOLINA E, TEJADA J. Pyramidal values [J]. Annals of Operations Research, 2014, 217(1): 233-252.
    [10]
    HAMMER P L, HOLZMAN R. Approximations of pseudo-Boolean functions; applications to game theory [J]. Zeitschrift für Operations Research, 1992, 36(1): 3-21.
    [11]
    SHAPLEY L S. Cores of convex games [J]. International Journal of Game Theory, 1971, 1(1): 11-26.
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    RAPOPORT A, GOLAN E. Assessment of political power in the Israeli Knesset [J]. American Political Science Review, 1985, 79(3): 673-692.
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    [1]
    SHAPLEY L S. A value for n-person games[C]// Contributions to the Theory of Games Ⅱ. Princeton: Princeton University Press, 1953: 307-317.
    [2]
    BANZHAF J F Ⅲ. Weighted voting does not work: A mathematical analysis [J]. Rutgers Law Review, 1965, 19: 317-343.
    [3]
    NOWAK A S, RADZIK T. A solidarity value for n-person transferable utility games [J]. International Journal of Game Theory, 1994, 23: 43-48.
    [4]
    WEBER R J. Probabilistic values for games [C]// The Shapley Value. Cambridge: Cambridge University Press, 1988: 101-119.
    [5]
    KAMIJO Y, KONGO T. Whose deletion does not affect your payoff? The difference between the Shapley value, the egalitarian value, the solidarity value, and the Banzhaf value[J]. European Journal of Operational Research, 2012, 216(3): 638-646.
    [6]
    KAMIJO Y, KONGO T. Axiomatization of the Shapley value using the balanced cycle contributions property[J]. International Journal of Game Theory, 2010, 39(4): 563-571.
    [7]
    KOJIMA K. On connections between individual values and coalition values for games in characteristic function form [J]. Applied Mathematics and Computation, 2014, 229: 60-69.
    [8]
    CASAJUS A. The Shapley value without efficiency and additivity [J]. Mathematical Social Sciences, 2014, 68: 1-4.
    [9]
    FLORES R, MOLINA E, TEJADA J. Pyramidal values [J]. Annals of Operations Research, 2014, 217(1): 233-252.
    [10]
    HAMMER P L, HOLZMAN R. Approximations of pseudo-Boolean functions; applications to game theory [J]. Zeitschrift für Operations Research, 1992, 36(1): 3-21.
    [11]
    SHAPLEY L S. Cores of convex games [J]. International Journal of Game Theory, 1971, 1(1): 11-26.
    [12]
    RAPOPORT A, GOLAN E. Assessment of political power in the Israeli Knesset [J]. American Political Science Review, 1985, 79(3): 673-692.
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