Gold Price Before and After the Subprime Crisis

Gold Price Before and After the Subprime Crisis. 

 By: Vatti, Raja R. 

Proceedings of the Northeast Business & Economics Association. 2010, p388-390. 3p. 2 Charts. 

Abstract: Despite the disappearance of the gold standard in international exchange markets, gold is still perceived by the governments and people as a commodity of unquestionable value. With the Bretton Woods agreements in 1944, and with a major share of global GDP and innovative technology, the US dollar gained a premium role as a most sought after currency reserve in the international exchanges. The recent economic union of several countries in Europe brought the Euro as a currency to reckon with, and the Euro intends to compete with the US dollar as a reserve currency. The current study investigates the relationship between gold price fluctuations and exchange rates between the US dollar and Euro. The strength or weakness of the dollar relative to the Euro would be related to gold price behavior. A simple non-linear regression model would be developed to quantify the impact of the dollar's value in Euros on gold price. Another key objective of the current research is to observe whether the relationship changed after the US subprime crisis. Two regression models would be developed, one with the daily data before the subprime crisis, and the other with the daily data after the subprime crisis. If the differences exist, they will be discussed. [ABSTRACT FROM AUTHOR] (AN: 56100880)

http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=56100880&lang=zh-tw&site=ehost-live

A Century of Global Equity Market Correlations

作者:

Dennis P. Quinn and Hans-Joachim Voth

資料來源:

A century of Global Equity Market Correlations

作者提供的關鍵字:

Equity Market Correlations 

Country Indices

Cross-Sectional Variation

   摘要:    

研究方法:

In this paper, we use a unique long-run dataset of regulatory constraints

 on capital account openness to explain stock market correlations.

Regressions.

期中影片:
10292009，沈孟薇，期中影片

期末影片:
10292009 沈孟薇 期末影片

COINTEGRATION AND SHORT-RUN DYNAMICS OF U.S. LONG BOND RATE AND INFLATION RATE

作者:

Kasibhatla, Krishna M.1

資料來源:

North American Journal of Finance & Banking Research. 2010, Vol. 4 Issue 4, p50-61. 12p. 4 Charts.

文件類型:

Article

主題術語:

*COINTEGRATION
*BONDS (Finance) -- Ratings & rankings
*BONDS (Finance)
*INTEREST rates -- Effect of inflation on
*FISHER effect (Economics)
*BANKING industry -- United States

地理詞彙:

UNITED States

作者提供的關鍵字:

cointegration
degree of integration
erro-correction
Granger causality
unit root

NAICS/產業代碼:

522298 All Other Nondepository Credit Intermediation

摘要:

According to the Fisher hypothesis the nominal bond interest rate adjusts to changes in the expected rate of inflation. This also implies the efficiency of the financial asset markets. Optimizing behavior of agents in asset markets requires that the nominal yield on bonds and expectations of inflation move in the same direction. The original Fisher hypothesis stipulates a one-to-one relationship between expectedrate of inflation and nominal interest rates, unadjusted for taxes. This dynamic relationship between the long-bond yield and expectedinflation rate as well as the long-run equilibrium relationship between the two rates, in the presence of the Federal Reserve's close monitoring of the inflation rate, is investigated using the Johansen and Juselius (JJ) (1990, 1995) cointegration and equilibrium error correction methodology. The empirical results of our study strongly indicate that bond rate and consumer inflation rate are cointegrated. Secondly, bond rate is caused by consumer price inflation and consumer inflation is not caused by bond rate. Further, our empirical results support Darby's (1975) finding of 'augmented Fisher effect.' The implication of this finding is that the interest rate, not adjusted for taxes, has to increase by nearly 1.52 when the inflation rate rises by one unit in order to keep the real rate constant. [ABSTRACT FROM AUTHOR]

 

Copyright of North American Journal of Finance & Banking Research is the property of Global Business Investment & Publications and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.(Copyright applies to all Abstracts.)

作者所屬機構:

1North Carolina A&T State University, USA

ISSN:

1933-3447

入藏號碼:

52918221

http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?vid=3&sid=2a36f3d7-466a-43be-9973-8cee24db6ad1%40sessionmgr198&hid=128&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=52918221

The cointegration of Asian currencies revisited

文獻來源
Japan and the World Economy, Volume 9, Issue 1, March 1997, Pages 109-114
Y.K. Tse, L.K. Ng

主題

The cointegration of Asian currencies revisited 

資料庫

Science Direct

http://0-www.sciencedirect.com.cylis.lib.cycu.edu.tw/science/article/pii/S0922142596002393

期中影片

https://www.youtube.com/watch?v=fmbiDEcWGW0&feature=youtu.be

期末影片

http://www.youtube.com/watch?v=2UKpWXhIt0s&feature=youtu.be

Exchange rate market efficiency: further evidence from cointegration tests

文獻來源 :
Applied Economics Letters. Jun95, Vol. 2 Issue 6, p196-198. 3p. 3 Charts.

主題 :
FOREIGN exchange
ECONOMETRIC models

資料庫 : 
http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/pdfviewer/pdfviewer?sid=cede64e5-6fdb-439e-a9b3-359c9eb50130%40sessionmgr15&vid=4&hid=23

Exchange rate market efficiency: further evidence from co-integration tests

Abstract

本篇論文所探討外匯市場是有效率的假說。一些實證結果與早些時候的研究報告為基礎進行了隱含的假設：時間序列資料是定態的。但是本篇論文使用共整合方法，這意味著都是非定態的時間序列數據，以檢驗市場效率，採用日本數據來自華爾街日報是從1983年至1992年期間得到這些數據。研究結果表明，日本外匯市場效率假說不一致。

Data

1983年至1992年

時間序列數據

Methodology 

Unit Root Test 單根檢定

Co-integration Test 共整合檢定

Estimation of Equation 誤差修正模型

Empirical Results

本文章的實證結果大多數研究評估時序特性的經濟系列使用Dickey-Fuller單根檢定，但為確保無序列相關性，以進行擴充的Dickey-Fuller檢定(ADF)就是使用在有兩個以上的落後期。

Conclusion

這篇文章主要探討外匯市場在日本市場使用是有效的。遠期與即期匯率在個別序列是使用單根檢定來確定該序列是定態還是非定態。在這個序列它是非定態但是經過第一階差分後則出現定態，然後，它必要確定如果兩個系列具有共整合關係會跑出回歸式。這兩個測試似乎支援共整合之間的遠期與即期匯率。然而，使用額外的測試誤差修正模型(ECM)這似乎拒絕聯合市場假說的外匯為日本市場。

Difficultly

英文閱讀能力需再加強

模型的定義與了解並不夠

資料期間的選擇

Other Useful Resources

楊奕農，《時間序列分析：經濟與財務上之應用》，雙葉書廊有限公司，台北，2009年8月 二版。

THE RELATIONSHIP BETWEEN INFLATION AND INTEREST RATES: A Co-Integration

題目:THE RELATIONSHIP BETWEEN INFLATION AND INTEREST RATES: A Co-Integration 網址: http://0-web.ebscohost.com.cylis.lib.cycu.edu.tw/ehost/detail?vid=3&sid=2231cbaf-4a01-4cc6-ba15-5ce534bf3b39%40sessionmgr15&hid=25&bdata=Jmxhbmc9emgtdHcmc2l0ZT1laG9zdC1saXZl#db=bth&AN=79967258 作者:Kasibhatla, Krishna M.1 資料來源:International Journal of Finance. 2011, Vol. 23 Issue 4, p7034-7044. 11p. 文件類型:Article 主題術語: *INFLATION (Finance) *INTEREST rates *ECONOMISTS *ECONOMIC structure *ECONOMICS -- Research LITERATURE reviews ERRORS NAICS/產業代碼: 541720 Research and Development in the Social Sciences and Humanities 摘要: The relationship between interest rate and inflation rate has been a question in the minds of theoretical economists for a long time. Instead of looking at the theoretical analysis examined in the existing literature, here we attempt to explore the link between 10-year Treasury bond yield and the long-term expected inflation rate via co-integration and error correction structures of analytical vehicles. 作者所屬機構:1North Carolina A & T State University ISSN:1041-2743 入藏號碼:79967258 資料庫:EBSCO Business Source Complete

AEC's Exchange Rates Risk on Interbank Money Market: Evidence from Thailand

作者:

Rujira, Gongkhonkwa; Zongjun, Wang

作者關係機構:

Huazhong U Science and Technology; Huazhong U Science and Technology

資料來源:

International Journal of Economics and Finance, June 2013, v. 5, iss. 6, pp. 20-33

出版日期:

June 2013

摘要:

Exchange rate risk is one part of systematic risk that able to be transfer between countries and markets. Therefore, many researchers are seeking the suitable way to reduce the exchange rate risk. This study aims to analyze the AEC's exchange rates risk on interbank money market thereby we perform our test with econometric test by using the linear regression to be our model. This study has found some evidence from the variance decomposition test and impulse response test that suggested the exchange rates of AEC member countries such the Indonesian Rupiah (IDR), and Philippine Peso (PHP) can be explained the interrelationship between exchange rate and BIBOR better than other currencies. Moreover, we also found the degree of relation of the exchange rates vary direction with the tenor of BIBOR as well. And, almost every currency of the AEC's exchange rates had positive relation on BIBOR except the PHP. The results from this study will be extending knowledge and understanding of exchange rate risk on BIBOR to the central bank, financial institution, and everyone who interesting in exchange rate risk moreover this result can apply for risk management as well.

描述項:

Foreign Exchange (F310)
International Financial Markets (G150)
Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance (O160)
International Linkages to Development; Role of International Organizations (O190)

關鍵字:

Exchange Rate

地理位置描述項:

ASEAN; Thailand

Geographic Region:

Asia

ISSN:

1916971X

出版品類型:

Journal Article

有無:

http://ccsenet.org/journal/index.php/ijef

更新代碼:

201307

入藏號碼:

1380748

資料庫:

EconLit

全文資料庫：

Business Source Complete

期中影片
https://www.youtube.com/watch?v=nwYwFHH7sGY

期末影片