期刊論文
| 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 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77750 ) |