Abstract
To investigate the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price, we construct a Markov-switching vector autoregression (MS-VAR) model that contains the three aforementioned variables and conduct an empirical study with monthly data from July 2005 to December 2017. The results verify that the nonlinear interactions exhibit regime switching, which can be precisely represented using three regime states. A significant momentum effect exists between the international oil price and the RMB exchange rate. China's gold price is mainly affected by international factors, such as the international oil price, while the influence of the RMB exchange rate on China's gold price is limited. Additionally, the dynamic interactions among the three variables vary in different regimes and have obvious asymmetric effects.
Published Version
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