Interactive relationships between crude oil prices, gold prices, and the NT-US dollar exchange rate-A Taiwan study

被引：42
|
作者：
Chang, Hsiao-Fen [1 ]
Huang, Liang-Chou [2 ]
Chin, Ming-Chin [2 ]
机构：
[1] Aletheia Univ, Dept Accounting Informat, New Taipei City, Taiwan
[2] Aletheia Univ, Dept Econ, New Taipei City, Taiwan
来源：
ENERGY POLICY | 2013年 / 63卷
关键词：
Johansen co-integration test; Vector auto-regression (VAR) model; Impulse response; COINTEGRATION;
D O I：
10.1016/j.enpol.2013.09.029
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This investigation examines the correlations of oil prices, gold prices and the NT dollar versus U.S. dollar exchange rate during 2007/09/03-2011/12/28. Johansen co-integration test, VAR model, Granger causality test, impulse response analysis, and variance decomposition method were used to clarify the interactive relationships among the three variables. These tests and models show that the oil price, gold price and exchange rate remain considerably independent from one another, which implies policymakers should consider the separation of energy and financial policies. (C) 2013 Elsevier Ltd. All rights reserved.
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页码：441 / 448
页数：8
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