美元指数与CRB指数的相关性研究——基于GARCH模型的实证分析

The Correlation Research between Dollar Index and CRB Index——Empirical Analysis Based on GARCH Model

近年来,美元指数与大宗商品价格指数之间的互动关系越来越密切。文章首先对美元指数和CRB指数的相关关系进行理论分析,然后结合2000年1月3日至2016年5月26日美元指数和大宗商品现货综合价格指数每日收盘价数据,采用GARCH模型进行实证分析。实证结果表明,美元指数对大宗商品指数存在明显的负向均值溢出效应,而大宗商品指数对美元指数不存在明显的均值溢出效应,美元指数收益率和大宗商品指数收益率存在双向波动溢出效应。

In recent years, the interactive relationship between dollar index and CRB index is more and more closely, In this article, we first analyze the theoretical relationship between these two indexes, and then gather daily closing price from Jan 3, 2000 to May 26, 2016 to make empirical analysis with GARCH model. The Results show that, dollar index has significant negative mean spillover effect on CRB index, however, CRB index doesn＇t have significant negative mean spillover effect on dollar index. Both the return rates of dollar index and CRB index have bidirectional volatility spillover effects on each other.