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Study of the VAR-Based Correlation between China's Gold and the US Dollar Index (USDX)

Author(s)

Yifei Xiong, Yutong Huang*

Affiliation(s)

School of Economics and Management, North China University of Technology, Beijing, China *Corresponding Author.

Abstract

Based on the VAR model, this paper conducts an empirical study on the correlation between the closing price of the US dollar index (USDX) and the closing price of China's gold from January 2022 to January 2024, and finds that the fluctuation of the US dollar index (USDX) drives the price of China's gold, while the fluctuation of China's gold price has a limited impact on the US dollar index (USDX), which reveals the one-way dynamic correlation between the US dollar and the price of gold in the financial market, and also provides an important perspective for investors and policymakers to analyze market trends, and make recommendations for risk management and investment decisions. This finding reveals the unidirectional dynamic correlation between the dollar and the gold price in the financial market, and also provides investors and policy makers with an important perspective to analyze the market trend, and puts forward targeted suggestions for risk management and investment decision-making.

Keywords

Dollar Index; Chinese Gold Stock Price; VAR; Correlation

References

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