期刊論文

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
ISSN 1681 8997
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 中華民國
公開徵稿
出版型式 ,電子版