標題:Relationship of Threshold Effect among Gold, Oil, and Exchange Rate | |
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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 | |