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首页> 外文期刊>The North American journal of economics and finance >Gold price and exchange rates: A panel smooth transition regression model for the G7 countries
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Gold price and exchange rates: A panel smooth transition regression model for the G7 countries

机译：黄金价格和汇率：七国集团（G7）国家的面板平滑过渡回归模型

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摘要

In this paper we investigate whether the price of gold is affected by internal and external macroeconomic performance, which is mainly reflected in exchange rate movements. Based on the G7 countries and using annual data for the period 1980-2016, we test the impact of the effective exchange rate and the interest rate on the price of gold. Departing from previous studies, we propose that the observed exchange rate should be taken into account in accordance with the equilibrium value of the currency and the implied misalignment. The equilibrium real effective exchange rate is estimated using recent panel cointegration techniques, which are strengthened with the theoretical assumptions of an external balance model. Next, we estimate a two-regime Panel Smooth Transition Regression model with a monotonic transition function to capture the nonlinear dependency between the gold price and the macroeconomic variables. Our results show that investors tend to invest in gold as the misalignment rate of the real effective exchange rate increases. Furthermore, when the interest rate increase is rather high, investors are less willing to sell gold for higher return assets. Overall, our evidence confirms that gold serves as a hedge only when financial risk is high.
机译：在本文中，我们研究了黄金价格是否受内部和外部宏观经济表现的影响，这主要反映在汇率变动中。基于七国集团（G7）成员国并使用1980-2016年期间的年度数据，我们测试了有效汇率和利率对黄金价格的影响。与以往的研究不同，我们建议应根据货币的均衡值和隐含的失调因素考虑观察到的汇率。平衡的实际有效汇率是使用最新的面板协整技术估算的，该技术通过外部平衡模型的理论假设得到了加强。接下来，我们估计具有单调过渡函数的两区域面板平滑过渡回归模型，以捕获金价与宏观经济变量之间的非线性相关性。我们的结果表明，随着实际有效汇率的错位率增加，投资者倾向于投资黄金。此外，当利率提高得很高时，投资者就不太愿意出售黄金来获得更高的回报资产。总体而言，我们的证据证实，只有在金融风险较高时，黄金才可以用作对冲。

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