|標題：Relationship of Threshold Effect among Gold, Oil, and Exchange Rate|
|作品名稱||Relationship of Threshold Effect among Gold, Oil, and Exchange Rate|
|著者||Chien-Chung Nieh, Chia-Yen Yeh|
|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|