Cointegration with Regime Shift between Gold and Financial Variables
نویسندگان
چکیده
منابع مشابه
Cointegration and Causal Relationship among Crude Price, Domestic Gold Price and Financial Variables-an Evidence of Bse and Nse
The present study investigates the cointegration relationships among crude oil price, domestic gold price and selected financial variables (exchange rates and stock price indices) in India. Increasing crude oil prices will increase the production costs which will affect cash flow and will decrease stock prices. Investors are showing fewer concerns in the stock markets and investing in yellow me...
متن کاملRegime-Switching Cointegration∗
We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g. Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of cointegrating relationships to change when the regime changes. We show how Bayesian model averaging or model se...
متن کاملCausality and Cointegration Analysis between Macroeconomic Variables and the Bovespa
The aim of this study is to analyze the causality relationship among a set of macroeconomic variables, represented by the exchange rate, interest rate, inflation (CPI), industrial production index as a proxy for gross domestic product in relation to the index of the São Paulo Stock Exchange (Bovespa). The period of analysis corresponded to the months from January 1995 to December 2010, making a...
متن کاملEstimation of Relation between Financial Variables and Gold Price Using Fuzzy Multiple Linear Regression
Price forecasting is an integral part of economic decision making. Forecasts may be used in numerous ways; specifically, individuals may use forecasts to try to earn income from speculative activities, to determine optimal government policies or to make business decisions. The importance of this topic is caused by instability in the world economy and stock markets; there is a growing interest i...
متن کاملSavings and financial sector development : Panel cointegration
The paper uses different measures of financial sector development for a dynamic heterogeneous panel of 17 African countries to examine the impact of financial sector development on private savings. An innovative econometric methodology is also employed related to a series of cointegration tests within a panel. This is an important contribution since traditional panel data analysis adopted in pr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Financial Research
سال: 2014
ISSN: 1923-4031,1923-4023
DOI: 10.5430/ijfr.v5n4p90