Study on the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price

Zitao Zhang and Yun Qin

Resources Policy, 2022, vol. 77, issue C

Abstract: To investigate the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price, we construct a Markov-switching vector autoregression (MS-VAR) model that contains the three aforementioned variables and conduct an empirical study with monthly data from July 2005 to December 2017. The results verify that the nonlinear interactions exhibit regime switching, which can be precisely represented using three regime states. A significant momentum effect exists between the international oil price and the RMB exchange rate. China's gold price is mainly affected by international factors, such as the international oil price, while the influence of the RMB exchange rate on China's gold price is limited. Additionally, the dynamic interactions among the three variables vary in different regimes and have obvious asymmetric effects.

Keywords: International oil price; RMB exchange Rate; Gold price; MS-VAR model (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722001313
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001313

DOI: 10.1016/j.resourpol.2022.102683

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().