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    题名: Relationship of Threshold Effect among Gold, Oil, and Exchange Rate
    作者: Nieh, Chien-Chung;Yeh, Chia-Yen
    关键词: Gold;Oil;Exchange rate;Threshold effects;STAR
    日期: 2015-05
    上传时间: 2018-08-10 12:10:40 (UTC+8)
    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.
    關聯: The Empirical Economics Letters 14(5)
    显示于类别:[財務金融學系暨研究所] 期刊論文

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