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標題:Relationship of Threshold Effect among Gold, Oil, and Exchange Rate
學年
學期
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
ISSN1681-8997
期刊性質國外
收錄於
產學合作
通訊作者Nieh, Chien-Chung
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
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