Abstract
This paper analyzed the influence of dollar on crude oil and gold based on the multifractal detrended partial cross-correlation analysis method. It showed that affected by the dollar, the crude oil and gold markets have a partial cross-correlation relationship which is stronger than their own cross-correlation. The partial cross-correlation is long-term and has multifractal characteristics. Through shuffled and Fourier-phase randomization, it is found that this multifractal feature is caused by the combined effect of the long-term cross-correlation between the returns and the fluctuation fat-tailed distribution, where the influence of the fat-tailed distribution is slightly greater than that of the long-term cross-correlation between the returns.
Highlights
Since the establishment of the Bretton Woods system, the dollar’s status as a world currency has been established
Some experts in Morgan predict that the outlook for the dollar index will continue to weaken [8]. e spread of COVID-19 has made the global economy extremely difficult [9]
We take the modulus of the detrended partial cross-covariance function in order to compare the results with MF-detrended cross-correlation analysis (DCCA) method, and we consider the external force U.S dollar on crude oil and gold markets
Summary
Since the establishment of the Bretton Woods system, the dollar’s status as a world currency has been established. E status of U.S dollar in the international financial system has been challenged. Some countries such as China and Russia are increasingly looking to dedollarize and use their domestic currencies in international transactions [2]. Part of the reason for the decline in oil future prices is the structural imbalance between supply and demand, especially, after the COVID-19 outbreak in large emerging countries such as China, energy demand has fallen sharply [10, 11]. Refinitiv’s metal research team believes that gold prices will continue to be supported by unprecedented stimulus measures, low to negative interest rates, global economic downturn, and ongoing geopolitical tensions [13]
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