教師資料查詢 | 類別: 期刊論文 | 教師: 葉佳燕 YEH CHIA-YEN (瀏覽個人網頁)

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Chien-Chung Nieh, Chia-Yen Yeh
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Gold, Oil, Exchange rate, Threshold effects, STAR
語言英文
ISSN1681 8997
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度0
國別中華民國
公開徵稿
出版型式,電子版
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