Hedging Currency Risk with SHFE Gold Futures: A Tale of Two Regimes
Description
This dataset contains the raw data and replication code for the paper “Hedging Currency Risk with SHFE Gold Futures: A Tale of Two Regimes”. The study investigates the dynamic relationship between the Renminbi (RMB) exchange rate and gold futures traded on the Shanghai Futures Exchange (SHFE), and evaluates the effectiveness of SHFE gold futures as a hedge against currency risk for Chinese investors. The dataset is organized into two main components: the original time series data and the complete set of code files used in the empirical analysis. 1. Data Files (/data) (1) price.xlsx: Daily closing prices for the USD/CNY exchange rate (USDCNY) and SHFE gold futures (AUSHF) from August 2015 to December 2024. (2) CMXprice.xlsx: Daily closing prices for COMEX gold futures, included for comparison. (3) regression.xlsx: Macro-financial variables, including the yield spread between 10-year U.S. Treasury bonds and Chinese government bonds (InterestSpread10y), market uncertainty (LNVIX), the Amihud illiquidity measure (Amihud), returns on the CSI 300 (r_CSI) and S&P 500 (r_SP500), and a COVID-19 dummy variable (COVID). 2. Code Files (/codes) (1) R scripts for marginals: marginal_USDCNY_SHGold.R and marginal_COMEX.R estimate AR(p)-GARCH models and generate standardized residuals and PIT series. (2) R scripts for determinants of SHFE gold futures’ hedging effectiveness: regression_lead_lag_neweywestlm.R and its AR-version examine the economic drivers of hedging effectiveness using Newey-West standard errors. (3) MATLAB main script (Markov_copula_code/): main_USDCNY_SHGold.m estimates constant, time-varying, and Markov regime-switching copula models; conducts both in-sample and out-of-sample portfolio analysis (MVP and HP) with RVar, VaR, and ES evaluation.