Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method

Zhonghui Ding, Kai Shi, Bin Wang and Florentino Borondo

Discrete Dynamics in Nature and Society, 2021, vol. 2021, 1-10

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.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:5558967

DOI: 10.1155/2021/5558967

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