| 標題：Relationship of Threshold Effect among Gold, Oil, and Exchange Rate | |
|---|---|
| 學年 | 103 |
| 學期 | 2 |
| 出版（發表）日期 | 2015/05/01 |
| 作品名稱 | Relationship of Threshold Effect among Gold, Oil, and Exchange Rate |
| 作品名稱（其他語言） | |
| 著者 | Nieh, Chien-Chung; Yeh, Chia-Yen |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | The Empirical Economics Letters 14(5) |
| 摘要 | We employ smooth transition autoregressive (STAR) model to investigate the nonlinear dynamic behavior of gold price, oil price, and the dollar/euro. Results indicate that these variables exist in a nonlinear relationship. We consider the change rate of the dollar/euro as the threshold value that represents the dynamic LSTAR-type process, whereas the oil price as the threshold value represents the smooth symmetric ESTAR-type process. The results present the greater threshold effect that exists between the gold price and
the change rate of the dollar/euro. |
| 關鍵字 | |
| 語言 | 英文 |
| ISSN | 1681-8997 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | Nieh, Chien-Chung |
| 審稿制度 | 是 |
| 國別 | 中華民國 |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 | |
