Time-Varying Effect of Gold and Crude Oil prices to Stock Price Index

摘要：

　　This paper proposes time-varying effect of gold and crude oil price to stock price index with Markov switching state space model which provided the time-varying coefficients to analyze the time-varying behaviors of the stock index.A Bayesian approach is employed to predict the parameters of the model whereas Kalman filter is applied to predict the time-varying coefficients in each regime.The stock price index,gold price and oil price dataset from 1st April 1996 to 31st March 2016 with the total 5,219 observations were used.The result shows that the proposed model is able to significantly capture the real economic situation and it can capture the movement of the coefficients in each period.

关键词： Time-Varying coefficient Markov Switching Kalman filter Bayesian estimation

作者: Sukrit Thongkairat Roengchai Tansuchat

作者单位: Faculty of Economics,Chiang Mai University,Chiang Mai,Thailand

会议类型: 国际会议

会议名称: ICEFS2017(International Conference on Economics, Finance and Statistics 2017) (2017经济、金融与统计国际会议)

会议地点: 香港

会议语种:英文

页码: 398-402

在线出版日期: 2017-01-14（万方平台首次上网日期，不代表论文的发表时间）