Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach
AbstractThis study employs the bounds testing approach to cointegration to investigate the relationships between the prices of two strategic commodities: gold and oil and the financial variables (interest rate, exchange rate and stock price) of Japan – a major oil-consuming and gold-holding country. Our results suggest that the price of gold and stock, among others, can help form expectations of higher inflation over time. In the short run, only gold price impacts the interest rate in Japan. Overall the findings of this study could benefit both the Japanese monetary authority and investors who hold the Japanese yen in their portfolios. For instance, our findings imply that the optimal choice in a long term for those investors who buy the Japanese yen would be to include either gold or oil or both in their portfolios.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 33030.
Date of creation: 19 Aug 2011
Date of revision:
oil price; gold price; interest rate; exchange rate; stock price; bounds test to cointegration;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- F31 - International Economics - - International Finance - - - Foreign Exchange
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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