Gold and the U.S. dollar: tales from the turmoil
研究金融危机如何影响黄金价格与美元的关系，发现黄金与美元汇率存在稳定联动，且黄金价格对市场不确定性反应更稳定。
We investigate how the relation between gold prices and the U.S. dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the euro and the British pound to study the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by Spargoli and Zagaglia to gauge the causal relations between volatility changes in the two assets. We also apply the tests for change of co-dependence of Cappiello et al. to study the impact of the turmoil on the relation between gold and the U.S. dollar. We document the ability of gold to generate stable comovements with the dollar exchange rate that have survived the recent phases of market disruption. Our findings also show that exogenous increases in market uncertainty have tended to produce reactions of gold prices that are more stable than those of the U.S. dollar.