Threshold effects in the relationships between USD and gold futures by panel smooth transition approach

Lee, Wo-Chiang; Lin, Huina

doi:10.1080/13504851.2011.613747

Cited by 16 publications

(10 citation statements)

References 5 publications

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“…Zhang and Wei (2010) examined the relation between gold and oil prices and found a causal relationship between the variables. A nonlinear dynamic relationship between the oil and gold price examined by Lee and Lin (2012) found that the role of gold is determined by the oil price fluctuations. Contrary to the earlier studies, Chang et al (2013) examined the interrelation between gold, oil and exchange rate and conclude that there is no relation between the selected variable.…”

Section: Review Of Literaturementioning

confidence: 99%

The Nonlinear Asymmetric Relationship Among Implied Volatility Indices of Indian Stock Market, Gold, and Oil: Evidence From Nardl Model

2022

IJFB

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The paper aims to examine the nonlinear asymmetric relationship among the implied volatility indices of the Indian stock market, gold, and oil for the period from 2nd March 2009 to 29th October 2021. Nonlinear Autoregressive Distributed Lag (NARDL) model results provide evidence of asymmetric nonlinear relationship among the selected variables in the short-run and the long-run. The positive and negative shocks to gold and oil implied volatility indices have a positive and significant influence on the implied volatility of the Indian stock market. The expected volatility of gold has a short-term symmetric impact on expected stock market volatility in the short run. Whereas, the implied volatility of oil has a long-run asymmetric impact on the implied volatility of the stock market. Increasing volatility in oil prices can be viewed as a signal for the starting point for the volatility of the Indian stock markets. In the long run, positive shocks to gold volatility have more impact on the expected volatility of the Indian stock market than the negative. This indicates that investors are shifting their investments from gold to stocks for higher returns when the gold prices are fluctuating.

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Section: Review Of Literaturementioning

confidence: 99%

The Nonlinear Asymmetric Relationship Among Implied Volatility Indices of Indian Stock Market, Gold, and Oil: Evidence From Nardl Model

2022

IJFB

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“…Earlier literature has extensively focused on the importance of using linear models. However, linear models fail to detect short‐term and long‐term asymmetries and most of the macroeconomic variables entail structural breaks (Lee & Lin, 2012). Thus, in order to study short‐run and long‐run asymmetries and structural breaks, this study will investigate the effect of crime, corruption and EC on tourism demand in Pakistan (Figure 1).…”

Section: Literature Reviewmentioning

confidence: 99%

Energy consumption, institutional quality and tourist arrival in Pakistan: Is the nexus (a)symmetric amidst structural breaks?

Meo

Nathaniel

Shaikh

et al. 2020

Journal of Public Affairs

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Energy consumption is a prerequisite for economic growth especially in developing countries, and its demand is expected to increases as population increases. The quality of institutions is also germane for tourism development, as weak institutions may discourage the arrival of tourists into a country. This study examines the asymmetric impact of energy consumption (EC) and institutional quality (IQ) on tourist arrival (TA) in Pakistan for the period 1984–2017 by employing the non‐linear autoregressive distributive lag model. The bounds test result reveals a long‐run relationship among the variables used in the model. The findings of the study suggest an asymmetric relationship among EC, IQ and TA. The results imply that an improvement in IQ will increase TA. From the results, it can be said that reducing environmental pollution by switching into clean sources of energy may have an indirect positive effect on the tourism industry. Therefore, policies for enhancing TA, quality institutions and curtailing environmental degradation were suggested.

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“…It mentions that the futures market for gold and silver produces best measure of how well the country currently is protecting the value of dollar. Based on the smooth transition regression model, Lee and Lin [14] investigate the nonlinear dynamic relationship between USD/yen and gold futures in the commodity exchange. The empirical results show the transition function is a logistic type.…”

Section: Review Of the Literaturementioning

confidence: 99%

Analysis on the Impact of the Fluctuation of the International Gold Prices on the Chinese Gold Stocks

Jin

Chen

Zhang

2014

Discrete Dynamics in Nature and Society

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Five gold stocks in Chinese Shanghai and Shenzhen A-share and Comex gold futures are chosen to form the sample, for the purpose of analysing the impact of the fluctuation of the international gold prices on the gold stocks in Chinese Shanghai and Shenzhen A-share. Using the methods of unit root test, Granger causality test, VAR model, and impulse response function, this paper has analysed the relationship between the price change of the international gold futures and the price fluctuation of gold stocks in Chinese Shanghai and Shenzhen comprehensively. The results suggest the fluctuation of the international gold futures has a strong influence on the domestic futures.

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Threshold effects in the relationships between USD and gold futures by panel smooth transition approach

Cited by 16 publications

References 5 publications

The Nonlinear Asymmetric Relationship Among Implied Volatility Indices of Indian Stock Market, Gold, and Oil: Evidence From Nardl Model

The Nonlinear Asymmetric Relationship Among Implied Volatility Indices of Indian Stock Market, Gold, and Oil: Evidence From Nardl Model

Energy consumption, institutional quality and tourist arrival in Pakistan: Is the nexus (a)symmetric amidst structural breaks?

Analysis on the Impact of the Fluctuation of the International Gold Prices on the Chinese Gold Stocks

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