Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan
Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan
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DOI：
10.1016/j.resourpol.2019.03.003
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发表时间：
2019-08-01
期刊：
影响因子：
10.2
通讯作者：
Noor, Farzana
中科院分区：
文献类型：
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作者：
Akbar, Muhammad;Iqbal, Farhan;Noor, Farzana
了解经济变量之间的复杂关系对投资者、研究人员和政策制定者都具有重要意义。本研究使用2001-1至2014-12年巴基斯坦经济的月度数据来研究黄金价格，股票价格，汇率和利率关系之间的动态联系。搜索最佳模型激发了贝叶斯推理的使用。因此，本研究也被用来比较经典VAR模型和贝叶斯VAR模型在四种先验下的表现。它可以被认为是方法框架方面的另一个重要贡献。这四个变量在水平上都是非平稳的，但在一阶差分上是平稳的。然而，通过不考虑结构突变的JJ检验、考虑一个未知结构突变的GH检验和考虑两个未知结构突变的FLY检验，发现变量之间没有长期关系。因此，研究中分析了短期关系。选择独立正态逆Wishart先验下的贝叶斯VAR模型作为最佳模型，并利用该模型进行脉冲响应分析。股票价格和黄金价格之间以及卢比价值和黄金价格之间的反向双边关系被确定，而股票价格和卢比价值之间的正双边关系被探索。这意味着在经济衰退期间，股票价格和卢比价值会下降，但黄金会变得更漂亮，反之亦然。因此，黄金不仅被认为是安全的避风港，而且在巴基斯坦股票和外汇市场出现不利波动时，也被认为是一种替代投资。巴基斯坦货币政策制定者对股价和卢比价值的变化做出了负面反应，但货币当局并未考虑黄金价格的变化。研究结果还表明，货币政策行动显着和不利的影响下考虑的三个市场。巴基斯坦名义利率与汇率之间的直接关系符合国际费雪效应理论。
Understanding of complex relationships among economic variables has much significance for investors, researchers and policy makers alike. This study is conducted to examine dynamic linkages among gold price, stock prices, exchange rate and interest rate nexus using monthly data of Pakistan economy ranging from 2001-1 to 2014-12. Search of the best model motivates the use of Bayesian inference. Hence, the study is also used to compare performance of classical VAR model and Bayesian VAR model under four types of priors. It may be considered another significant contribution in terms of methodological framework. All the four variables are nonstationary at level but stationary at first difference. However, no long-run relationship among the variables is found by employing three cointegration tests, i.e. JJ test without considering structural break, GH test considering one unknown structural break and FLY test allowing two unknown structural breaks. Hence short-run relationship is analyzed in the study. Bayesian VAR model under independent normal inverse Wishart priors is selected as the best model which is then used to conduct impulse response analysis. Inverse bilateral relationships between stock prices and gold price as well as between rupee value and gold price are determined where as positive bilateral relationship between stock prices and rupee value is explored. It implies that stock prices and rupee value move downward during recessionary periods but gold becomes more pretty and vice versa also hold. Hence, gold is not only considered as safe haven but it is also considered as an alternative investment during adverse fluctuations in stock and foreign exchange markets of Pakistan. Changes in stock prices and rupee value are negatively responded by monetary policy makers in Pakistan but changes in gold prices are not considered by monetary authorities. Results also reveal that monetary policy actions significantly and adversely affect the three markets under consideration. Direct relationship between nominal interest rate and exchange rate in Pakistan conform to the International fisher effect theory.