Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach
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- Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2015.
"The dynamic relationship between stock, bond and foreign exchange markets,"
Economic Systems, Elsevier, vol. 39(4), pages 592-607.
- Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner, 2015. "The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets," Working Papers 1512, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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More about this item
Keywords
Gold Price; Gold Oil Ratio; Stock Price; Interest Rates; Exchange Rates; Time Series Analysis; Markov Switching Regimes;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2014-11-22 (Macroeconomics)
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