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

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  • Zhonghui Ding
  • Kai Shi
  • Bin Wang
  • Florentino Borondo

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.

Suggested Citation

  • Zhonghui Ding & Kai Shi & Bin Wang & Florentino Borondo, 2021. "Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2021, pages 1-10, June.
    • Handle: RePEc:hin:jnddns:5558967
    DOI: 10.1155/2021/5558967
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