Dynamics between strategic commodities and financial variables: Evidence from Japan

被引：15

作者：

Thai-Ha Le ^{[1
]}

Chang, Youngho ^{[2
]}

机构：

[1] RMIT Univ Vietnam Campus, Ctr Commerce & Management, 702 Nguyen Van Linh Blvd,Dist 7, Ho Chi Minh City, Vietnam

[2] Nanyang Technol Univ, Div Econ, 14 Nanyang Dr, Singapore 637332, Singapore

来源：

RESOURCES POLICY | 2016年 / 50卷

关键词：

Strategic commodities; Financial variables; Bounds test to cointegration; Japan; OIL PRICE SHOCKS; EXCHANGE-RATES; EUROPEAN COUNTRIES; STOCK-MARKET; UNIT-ROOT; TIME-SERIES; MONETARY-POLICY; GOLD PRICES; US; RETURNS;

D O I：

10.1016/j.resourpol.2016.08.006

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This study applies the bounds testing approach to cointegration to the daily data from 01-December-1997 to 15-July-2016, in order to investigate the relationships between the prices of two strategic commodities (oil and gold) and the macro-financial variables (interest rate, exchange rate and stock price) in Japan, a major oil-consuming-and-importing as well as gold-holding-and-exporting country. The results suggest that oil prices seem to have limited information for the Japanese policy-makers in the long run. In the short run, however, oil and gold prices seem to have more useful information to presage fluctuations in the Japanese macro-financial variables including stock price and interest rate. (C) 2016 Elsevier Ltd. All rights reserved.

引用

页码：1 / 9

页数：9

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