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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108525

    Title: Relationship of Threshold Effect among Gold, Oil, and Exchange Rate
    Authors: Nieh, Chien-Chung;Yeh, Chia-Yen
    Date: 2015-05
    Issue Date: 2016-11-26 02:10:41 (UTC+8)
    Abstract: 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.
    Relation: The Empirical Economics Letters 14(5)
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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