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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：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，我们调查了黄金价格是否受到内部和外部宏观经济表现的影响，主要反映在汇率变动中。基于G7国家和1980 - 2016年期间使用年度数据，我们测试有效汇率的影响和对黄金价格的利率。离开以前的研究，我们建议根据货币的均衡价值和隐含的未对准，考虑所观察到的汇率。使用最近的面板协整技术估计平衡实际有效汇率，这些技术与外部平衡模型的理论假设加强。接下来，我们估计具有单调转换功能的双政策面板平滑转换回归模型，以捕获金价格与宏观经济变量之间的非线性依赖性。我们的研究结果表明，投资者往往投资黄金，因为实际有效汇率的未对准率增加。此外，当利率增加相当高，投资者不太愿意为更高的回报资产销售黄金。总体而言，我们的证据证实，只有当金融风险高时，黄金才能作为对冲。

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