淡江大學機構典藏:Item 987654321/77750
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 62822/95882 (66%)
Visitors : 4017286      Online Users : 583
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/77750


    Title: Threshold effects in the relationships between USD and gold futures by panel smooth transition approach
    Authors: Lee, Wo-Chiang;Lin, Hui-Na
    Contributors: 淡江大學財務金融學系
    Keywords: Panel Smooth Transition Regression model;VIX;transition function;threshold effects
    Date: 2012
    Issue Date: 2012-07-18 07:42:35 (UTC+8)
    Publisher: Abingdon: Routledge
    Abstract: 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.
    Relation: Applied Economics Letters 19(11), pp.1065-1070
    DOI: 10.1080/13504851.2011.613747
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML95View/Open
    Journal paper-publication2011(Lee_Lin).pdf218KbAdobe PDF275View/Open
    Threshold effects in the relationships between USD and gold futures by panel smooth transition approach.pdf300KbAdobe PDF110View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback