지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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There has been the vast literature about the relationship between the inflation and the commodity market returns. The most researches have not been following the bi-directional, rather uni-directional approaches.
The paper studies the relationship between the real gold return and the inflation rate using the monthly 475 observations from January 1, 1974 to July 1, 2013 through the model: VGARCH-M.
The findings on the interaction between the real gold return and inflation, including both the return and volatility, would be the great contributions for the policy maker, financial practitioner for portfolio diversification, global world trader including the exchange market and crude oil exporter, risk management, derivatives, fund performance appraisal, and etc. The paper shows weakly supporting results for the hedging vehicle against the inflation fluctuation. However the paper also indicates that maintaining the gold as the hedging vehicle should pay much attention on the interaction between return and volatility. This would help to expand to the research about the interactions between the global financial markets and the commodities markets.
목차
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참고문헌 (26)
참고문헌 신청
Baillie, R.T. / 1996 / Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 74 : 3 ~ 30
Black, F. / 1976 / Studies of Stock Market Volatility Changes / Proceedings from the American Statistical Association, Business and Economics Statistics Section : 177 ~ 188
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroscedasticity / Journal of Econometrics 31 : 307 ~ 327
Bollerslev, T. / 1996 / Modeling and Pricing Long Memory in Stock Market Volatility / Journal of Econometrics 73 : 151 ~ 184
Campbell, J. / 1992 / No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns / Journal of Financial Economics 31 : 231 ~ 318
Black, F. / 1976 / Studies of Stock Market Volatility Changes / Proceedings from the American Statistical Association, Business and Economics Statistics Section : 177 ~ 188
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroscedasticity / Journal of Econometrics 31 : 307 ~ 327
Bollerslev, T. / 1996 / Modeling and Pricing Long Memory in Stock Market Volatility / Journal of Econometrics 73 : 151 ~ 184
Campbell, J. / 1992 / No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns / Journal of Financial Economics 31 : 231 ~ 318
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