Abstract
This study applies the bounds testing approach to cointegration to the sampling period from Jan-1986 to Dec-2011 to investigate the relationships between the prices of two strategic commodities (oil and gold) and the macro-financial variables (interest rate, exchange rate and stock price). Japan – a major oil-consuming-and-importing as well as gold-holding-and-exporting country is selected as the case study. The findings of this study could help the Japanese monetary authority in conducting monetary policy, market participants and investors of Japanese yen in building their optimal portfolios as well as have the potential for significant impact in further research.
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