Threshold effects in the relationships between USD and gold futures by panel smooth transition approach
學年 100
學期 1
出版（發表）日期 2012-01-01
作品名稱 Threshold effects in the relationships between USD and gold futures by panel smooth transition approach
作品名稱（其他語言）
著者 Lee, Wo-Chiang; Lin, Hui-Na
單位 淡江大學財務金融學系
出版者 Abingdon: Routledge
著錄名稱、卷期、頁數 Applied Economics Letters 19(11), pp.1065-1070
摘要 Using a Panel Smooth Transition Regression (PSTR) model, this study sets crude oil as threshold variable, and Volatility Index (VIX) and Morgan Stanley Capital International (MSCI) for Emerging Market Index (MSCI-E) as control variables to investigate the nonlinear dynamic relationship between USD/yen and gold futures in the Commodity Exchange, Inc. (COMEX). Empirical results show that the transition function is a logistic type. In region 1, the price of crude oil is low. The sign of VIX is positive. USD/yen exerts negative impact on gold market due to the way that gold market functions as a factor of hedge against portfolio and geopolitical risk. In region 2, the price of crude oil is higher (the demand for crude oil may be stronger). The economy is prosperous; VIX turns low; USD/yen increases. Investors have more money from other financial markets to buy gold, thus, causing gold futures price to rise. Besides, gold is both a hedge and a safe haven for developing countries but not for emerging countries; therefore, the relationships between gold and MSCI-E are positive in both regions.
關鍵字 Panel Smooth Transition Regression model; VIX; transition function; threshold effects
語言 en
ISSN 1350-4851; 1466-4291
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Lee, Wo-Chiang
審稿制度 是
國別 GBR
公開徵稿
出版型式 紙本
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