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.