The samples are selected from daily COMEX copper futures closing price (continuous), LME copper futures closing price, LME aluminum futures closing price, LME lead futures closing price, LME zinc futures closing price and US dollar index ranging from 1989 1.2 to 20 13.
I. Maximum sample size
The sample is all the data within the above range. The results are shown in table 1. According to the data from 1989 to 20 13 in recent 24 years, the correlation coefficients between the US dollar index and the daily closing prices of COMEX copper futures, LME copper futures, LME aluminum futures, LME lead futures and LME zinc futures are -0.7 15, -0.704 and -0.542, respectively.
Second, a year's sample data.
The sample is the daily data from March 7th, 20 12 to March 6th, 20 13. The results are shown in Table 2. According to the daily data from March 7th, 20 12 to March 6th, 20 13, the correlation coefficients between the US dollar index and the daily closing prices of COMEX copper futures, LME copper futures, LME aluminum futures, LME lead futures and LME zinc futures are -0.833, -0.843 and -0.743 respectively.
Third, the sample data is two months.
The sample is the daily data from 20 1 310/0 month1to 201March 6th. The results are shown in Table 3. According to the daily data from June 20 13 to March 6, 20 13, the correlation coefficients between the US dollar index and the daily closing prices of COMEX copper futures (continuous), LME copper futures, LME aluminum futures, LME zinc futures and LME lead futures are -0.836 and -0, respectively. The correlation between US dollar index and copper futures price is the highest, followed by aluminum.
Four. conclusion
Based on the above correlation analysis results, it can be seen that the medium and long-term US dollar index is negatively correlated with the futures prices of non-ferrous metals such as copper, aluminum, zinc and lead. The correlation between short-term dollar index and zinc futures is not significant; The correlation between dollar index and copper futures price is the highest; The smaller the sample size, the higher the correlation may be. For copper futures operation, the dollar index is an important reference index. For other non-ferrous metals, the reference significance of the US dollar index is limited. Dollars and gold
The Bretton Woods system established by 1944 stipulates that the US dollar is the most important international reserve currency. The dollar is directly linked to gold, the currencies of all countries are linked to the dollar, and gold can be exchanged with the United States at the official price of $35 per ounce. This is what we usually call the "gold standard", that is to say, all countries' currencies are based on gold, but later, due to the revival of Europe and Japan, all countries used dollars to buy gold in large quantities; And the Vietnam war in the 1960 s led to the deterioration of the American economic situation, the collapse of the Bretton Woods system, and finally the IMF gave up this system.
American index and gold price
When the dollar index falls, gold is rising, and when gold falls, the dollar index is often on the way up, and gold and the dollar are negatively correlated for most of the year. Why can the dollar affect the price of gold so strongly?
There are three main reasons for this:
0 1. USD is the pillar of the current international monetary system, and USD and gold are the most important reserve assets. The strength and stability of the US dollar weakened the position of gold as a reserve asset and a value-preserving function.
02. The GDP of the United States still accounts for 1/4 of the world GDP, and the total foreign trade is the highest in the world, which deeply affects the world economy, and the price of gold is generally inversely proportional to the quality of the world economy.
03, the world gold market is generally priced in dollars, so the depreciation of the dollar will inevitably lead to an increase in the price of gold. For example, at the end of the 20th century, when the price of gold reached a low point, people threw out gold in succession, which was closely related to the continuous growth of American economy 100 months and the strength of the US dollar.
International oil price relationship
In the 1970s, the United States and Saudi Arabia, the world's largest oil producer, reached an "unshakable" agreement, and the two sides decided to use the US dollar as the sole pricing currency for oil. This agreement was agreed by other members of the Organization of Petroleum Exporting Countries (OPEC). Since then, the strength of the dollar has been affecting the trend of international oil prices. As the pricing currency of oil, the appreciation of the dollar means that oil is cheaper; The depreciation of the dollar means that oil is becoming more and more expensive. The dollar index is used to measure the degree of exchange rate change of the dollar against a basket of currencies, which directly reflects the relative strength of the dollar. However, the international oil price is not always negatively correlated with the US dollar index. So what is the long-term relationship between international oil prices and the US dollar index? Based on some econometric models, this paper makes a quantitative analysis of the relationship between the US dollar index and international oil prices.
1. Petrodollars The United States is the largest crude oil consumer in the world, so the economic situation of the United States directly affects the global crude oil market. When the American economy rises rapidly, the global demand for crude oil will also increase rapidly, thus pushing up the international oil price. On the other hand, high oil prices will bring some negative effects to the US economy, because as a basic energy source, high oil prices will increase the cost and price of enterprises, and even make the United States face greater inflationary pressure, thus curbing the demand for crude oil in the United States. Generally speaking, when the US economy performs strongly, the international oil price rises and the US dollar appreciates. However, the appreciation of the US dollar does not mean that the US dollar index must be strong. Because the dollar index is used to measure the degree of exchange rate change of the dollar against a basket of currencies, if the dollar weakens against other currencies at this time, then the dollar index will show a downward trend. In this case, the trend of the US dollar index and the international oil price is just the opposite. On the other hand, if the US dollar strengthens against other currencies at this time, then the US dollar index is rising, and the US dollar index is in the same direction as the international oil price. In addition, the dollar is often a "safe haven" for funds, so when a large number of funds choose the dollar as a "safe haven", these funds are likely to flow out of the international crude oil futures market, which will also strengthen the dollar index and weaken the international oil price. It can be said that the US dollar index is not simply positively or negatively correlated with the international oil price. The following will use some econometric models to quantitatively analyze the relationship between the US dollar index and international oil prices.
2. Correlation between international oil price and US dollar index First, calculate the correlation coefficient between international oil price and US dollar index. Correlation coefficient is an indicator of the degree of correlation between variables and a statistical analysis indicator that shows the degree of correlation between two variables. The degree of correlation between two variables is generally divided into four grades: if there is positive correlation, R is positive, and when r= 1, it is perfect positive correlation; If they are negatively correlated, R is negative and r=- 1 is completely negatively correlated. Perfect positive correlation or negative correlation, all points are on the linear regression line; The more discrete the distribution of the upper and lower points on the linear regression line, the smaller the absolute value of R. When the number of columns is equal, the closer the absolute value of the correlation coefficient is to 1, and the closer the correlation is. The closer to 0, the less closely related. When r=0, there is no linear relationship between x and y variables. Generally, when |r| is greater than 0.8, two variables are considered to have a strong linear correlation.
3. Causality between the international oil price and the US dollar index After analyzing the correlation between the international oil price and the US dollar index, we will further analyze the causality between the international oil price and the US dollar index. Granger proposed a causality test method based on time series sequential guiding relationship. The basic idea is that the cause often happens first, and the result often happens later. If the change of x causes the change of y, then the change of x should be before the change of y; If y can be explained by the past value of x, then y is the Granger cause of X. Therefore, Granger causality actually represents the lead-lag relationship between time series, which is only a "causal" relationship in time, focusing on the confirmation of the direction of influence, rather than the real causal relationship. In this paper, Ward test is used to make Granger causality test for international oil price and dollar index. But the cointegration relationship between the two variables is the premise of Granger causality, so we first test whether there is a cointegration relationship between the international oil price and the US dollar index.