(Luận văn) factors affecting the world’s gold price, an ardl approach

INSTITUTE OF SOCIAL HOCHIMINH CITY STUDIES VIETNAM THE HAGUE t to UNIVERSITY OF ECONOMICS ng hi THE NETHERLANDS ep w VIETNAM – NETHERLANDS n lo PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS ad ju y th yi pl al n ua FACTORS AFFECTING THE WORLD’S GOLD PRICE: AN n va ARDL APPROACH ll fu m oi BY nh at VU THUY DUONG z z ht vb k jm MASTER OF ARTS IN DEVELOPMENT ECONOMICS om l.c gm an Lu n va ey t re HOCHIMINH CITY, OCTOBER 2013 UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIES HO CHI MINH CITY THE HAGUE t to VIETNAM THE NETHERLANDS ng hi ep VIETNAM - NETHERLANDS w PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS n lo ad y th ju FACTORS AFFECTING THE WORLD’S GOLD PRICE: AN yi pl ARDL APPROACH ua al A thesis submitted in a partial fulfillment of the requirements for the degree n of va n MASTER OF ARTS IN DEVELOPMENT ECONOMICS ll fu m oi By at nh z VU THUY DUONG z k jm ht vb Academic supervisor: om l.c gm Dr CAO HAO THI an Lu n va ey t re HOCHIMINH CITY, OCTOBER 2013 Acknowledgement t to The thesis could not be completed without considerable supports from my academic ng hi supervisor, Dr Cao Hao Thi, who provided me valuable instructions and comments ep throughout the process of this thesis From bottom of my heart, I would like to give w my sincerest thanks to him n lo I am also grateful to Dr Le Van Chon and Dr Truong Dang Thuy for their ad y th enthusiasm help about Econometrics techniques and useful advice Therefore, I can ju overcome many obstacles to complete my research yi pl I also take this opportunity to express my thanks for my colleagues They provided al n ua me many assistance and encouragement during the time I the research va Last but not the least, I would like to thank my family members for their love, n encouragement, support for me to finish the Master course as well as the thesis ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re Abstract t to The paper focuses on investigating factors affecting global gold prices in the short- ng hi run and long-run with daily data from January 2007 to December 2012 By applying ep autoregressive distributed lag (ARDL) bound test, the empirical results show that w there is no evidence of long-run relationship among London gold price, West Texas n lo Intermediate (WTI) crude oil sport price, US dollar index and S&P 500 However, ad when financial crisis is taken into the research as a dummy variable, the results y th reveal that financial crisis affects the relationship of gold price with oil price, US ju yi dollar index and S&P 500 and cannot conclude that long-run relationship among pl them existed Therefore, the State Bank of Viet Nam cannot base on the movement al n ua of those variables to forecast the movement of world gold price for making their n va decision in selling or buying gold ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re t to Table of Contents CHAPTER 1: INTRODUCTION .6 1.1 Problem Statements 1.2 Research objectives ng hi ep 1.3 Research questions 1.4 Scope of the research w n 1.5 Structure of the thesis .9 lo ad CHAPTER 2: OVERVIEW OF VIETNAM’S GOLD MARKET 11 ju y th 2.1 The national gold brand of Vietnam .11 2.2 The connection of Vietnam’s gold price to global gold price 11 2.2.1 Domestic gold’s Cost price .11 2.2.2 Domestic gold’s market price 12 2.2.3 The connection between domestic and global gold markets 12 2.2.4 The big gap still exists between the two gold markets .13 yi pl n ua al va n CHAPTER 3: LITERATURE REVIEW 15 fu ll 3.1 The relationship between gold and oil prices 15 m oi 3.2 The relationship between gold price and US Dollar exchange rate .16 3.3 The relationship between gold price and stock market 17 at nh z CHAPTER 4: RESEARCH METHODOLOGY 21 4.1 Research process 21 4.2 Model establishment .21 z ht vb k jm 4.3 Data collection 21 4.4 Data analysis 24 gm om l.c 4.5 Analysis method .25 4.5.1 Stationary and unit root test .25 4.5.2 Cointegration test .26 an Lu CHAPTER 5: RESEARCH RESULTS 31 5.1 Descriptive statistics .31 5.2 Correlation matrix 32 5.3 Stationary and unit root test 33 5.4 Cointegration analysis 34 5.4.1 Optimal lag length 34 ey t re n va 5.4.2 Serial correlation test .35 5.4.3 Dynamic stability test 35 5.4.4 Bound tests .36 t to CHAPTER 6: CONCLUSION AND POLICY IMPLICATIONS 38 6.1 Main findings .38 6.2 Policy implications 39 ng hi ep w 6.3 Limitation .40 6.4 Future research .40 n References 41 lo ad Appendix A: Lag structure choosing .46 y th Appendix B: Bound test result 50 ju List of Figures Figure 4.1: Research process 22 Figure 4.2: Analysis method .25 yi pl ua al Figure 5.1: Inverse Roots 36 n n va List of Tables Table 2.1: Correlation matrix between SJC and London’s gold price 13 fu ll Table 2.2: Correlation testing between SJC and London’s gold price .13 m oi Table 3.1: Summary of empirical studies in Literature review .18 Table 4.1: Asymptotic critical value bounds for the F-statistics 29 Table 5.1: Descriptive statistics of all series .31 Table 5.2: Correlation matrix 32 Table 5.3: Unit root test for stationary at level 33 at nh z z ht vb k jm Table 5.4: Unit root test for stationary at first difference 33 Table 5.5: VAR lag order selection criteria 34 gm om l.c Table 5.6: Serial correlation test’s result 35 Table 5.7: Bounds test procedure results without crisis interaction 36 Table 5.8: Bounds test procedure results with crisis interaction 36 an Lu n va ey t re t to Abbreviations ADF: Augmented Dickey-Fuller AIC: Akaike Information Criterion ARDL: Autoregressive Distributed Lag ng hi ep Consumer Price Index Error correction models CPI: ECM: w U.S Energy Information Administration n EIA: lo ad PP: State Bank of Viet Nam Saigon Jewelry Company Limited Unrestricted error correction model United States Vector Autoregression Estimates Vietnam Dong ju y th yi pl n ua al n va SBV: SJC UECM: US: VAR: VND: Phillips-Perron ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re CHAPTER 1: INTRODUCTION t to 1.1 Problem Statements ng There is much attention recently on gold, partly due to the surges in its price and the hi ep increase in its economic uses w Gold has a critical position among the major precious metals Gold is not only an n lo industrial commodity but also an investment asset which is commonly known as a ad “safe haven” (Baur & Lucey, 2010; Coudert & Raymond-Feingold, 2011) to avoid y th the increasing risk in the financial markets However, gold prices have been ju yi remained unabated, even accelerated further in recent years Since the beginning of pl financial crisis in August, 2007 to December, 2012, the nominal gold price has n ua al increased 146.65% va For central banks, gold keeps an important position in their reserve asset Its role is n ll fu increasingly enhanced from 2009 when there was so much worry about the health of oi m US economy Central banks increase to buy gold due to they want to reduce their nh reliance on the US dollars as a reserve asset, and to encourage borrowings and to at ensure interest rates on these loans were reduced Bellowing is some evidence z z recently relating to the trend of buying gold from central banks: vb “Asked what the most important reserve asset would be in 25 years, about half jm ht i k of officials polled by UBS said the US dollar but 22 percent pointed to gold” will remain strong over time om ii l.c gm (Farchy & Blas, 2010) This is showed that the central banks’ demand for gold And the report of the World Gold Council published on August 14, 2012, an Lu mentioned that: “The second quarter was another period of significant tonnes This was a record quarter for central bank buying since the sector half of the year totaled 254.2 tonnes, 25% up on 203.2 tonnes from the same ey tonnes of purchases made in the same period of 2011 Purchases in the first t re began recording net purchases in Q2 2009 and was more than double the 66.2 n va purchasing by official sector institutions, with demand accounting to 157.5 period last year The official sector accounted for 16% of overall Q2 gold t to demand”(“Gold Demand Trends Q2 2012”,2012) It is clearly showed that the ng role of gold for central banks is even expanding hi ep In addition, there are some notable policies in relation to gold that central banks and nations are applying to ensure that gold accumulated either in their citizens’ hands w n or in central bank hands (Phillips, 2012): lo ad i China putted a ban on exporting gold to ensure that all gold that enters the y th country stays in the country; ju yi ii If the country can produce gold, its central bank will be the directly purchaser pl va There is the fact that the trend of buying gold mostly comes from central n iii n 2012; ua al For example: Russia & Kazakhstan bought its locally produced gold in March, fu ll banks of emerging and newly wealthy nations Their gold holdings are very m oi small in comparison to central banks of US and Europe nh at In Viet Nam, the domestic gold prices got so much fluctuation since September z 2009 Especially in 2012, the gap between global and domestic prices had been z ht vb largely widen, sometimes reaching VND million per tael (a tael is equal to 1.2 jm ounces) when the demand for gold is larger than the supply for gold due to the “big k guy banks” This has caused serious problems to the exchange rate as well as gm economy Khanh (2010), the General Director of Sai Gon Gold and Silver ACB- l.c SJC Joint Stock Company, argued that the increasing in gold price will have both om direct and indirect impact to the USD/VND exchange rate, indirect impact to the an Lu CPI, affect monetary policy, stock market and real estate market, etc there are some notable legal documents issued by the Government and The State Bank of Vietnam (SBV) from 2010 such as: (i) Circular No 01/2010/TT-NHNN ey Resolution No 51/2010/QH12 on the 2011 Socio-Economic Development Plan, t re requirement of the National Assembly of the Socialist Republic of Vietnam from n va To solve the problem of gap or to stabilize the gold market that is also the dated 06/01/2010 about closing the gold trading floor and terminating all activities t to of gold trading on foreign account; (ii) Circular No 22/2010/TT-NHNN dated ng 29/10/2010 about not allowing the commercial bank to convert gold into paper hi ep currency and lend for gold trading activities; (iii) Decree No 24/2012/ND-CP dated 03/04/2012 about using gold bars as a tool of payment will be illegal and the State w n will keep a monopoly on gold bar production, export and import of raw materials lo ad for gold bar production via the SBV; (iv) Circular No 16/2012/TT-NHNN dated y th 25/05/2012 guiding some articles of Decree No 24/2012/ND-CP Yet, those ju documents have limited the gold supply to the market while the gold demand is still yi pl large that make gold prices still “crazy” when global gold price increases In ua al addition, according to the Decision No 16/2013/QD-TTg issued by the Prime n Minister on 04/03/2013, gold bullion would be bought and sold by the SBV as va n needed to keep the gold prices stable and SBV, based on its monetary policies, fu ll would buy additional gold bullion from other countries for the aim of controlling m oi foreign reserves This decision is highly appreciated due to it will be an opportunity at nh for the SBV to fully perform the role of “conductor” to stabilize gold prices So, it is necessary that SBV should choose appropriate time to buy gold from abroad in z z order to increase reserve asset or to boost the supply side In other words, SBV vb other factors changed k jm ht should find out tools to forecast the movement of global and local gold prices when gm From the above features, the paper will focus on analyzing factors (that are om 1.2 Research objectives l.c addressed in the literature) affecting global gold prices an Lu The main objectives of this paper include: va To investigate the relationship between local and global gold prices; ii To identify variables that affects global price of gold in the short-run and long- n i ey t re run periods; Frimpong, J.M & Oteng-Abayie, E.F (2006) Bounds testing approach: an t to examination of foreign direct investment, trade and growth relationships ng (MPRA Paper No 352) hi ep Financial crisis of 2007–08 (n.d.) 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Cambridge University Press, Cambridge, New t re ey York Pesaran, M.H., Shin, Y & R.J Smith R.J (2001) Bound testing approaches to the analysis of level relationship Journal of Applied Economics, 16, 289-326 44 Pescatori, A & Mowry, B (2008, December 9) Do oil price directly affect t to the Stock market? The Federal Reserve Bank of Cleveland Retrieved from ng http://www.clevelandfed.org/research/trends/2008/0908/04ecoact.cfm hi ep Phillips, J., (2010, March 26) The gold price will be affected by the oil price in – Future The How? Streetwise report’s Retrieved from w n http://www.theaureport.com lo ad Phillips, J., (2012, May 4) Why Central Banks are Buying Gold The y th Bullionvault’s Retrieved from http://goldnews.bullionvault.com/ ju yi Cong, N T (2012) Dien bien gia vang va nhan dinh xu huong cuoi nam Retrieved pl 27, 2013, from ua al June n http://www.vietinbank.vn/web/home/vn/research/12/dien-bien-gia-vang-va- va nhan-dinh-xu-huong-cuoi-nam.html n fu ll Sari, R., Hammoudeh, S & Soytas, U (2010) Dynamics of oil price, precious m oi metal prices, and exchange rate Energy Economics, 32 (2), 351-362 nh at Smith, G (2001) The price of gold and stock price indices for the United States, z The World World Council, 1-35 z 500 (n.d.) In Wikipedia Retrieved December 27, 2012, from k jm ht http://en.wikipedia.org/wiki/S%26P_500 vb S&P (STEO) Retrieved om http://www.eia.gov/forecasts/steo/report/global_oil.cfm from l.c Outlook gm U.S Energy Information Administration (2013, February) Short-term Energy Vnexpress’s Retrieved from an Lu Vnexpress (2013, January 27) Thi truong vang ky vong vao “nhac truong” The http://vnexpress.net/gl/kinh-doanh/vi- n va mo/2013/01/thi-truong-vang-ky-vong-vao-nhac-truong/ 45 ey Economny Centre Emile Bernheim WP-CEB No 04/033 t re Hoang, V.Q (2004) Analyses on Gold and US Dollar in Vietnam’s Transitional Wang, M.L, Wang, C.P & Huang, T.Y (2010) Relationships among Oil Price, t to Gold Price, Exchange Rate and International Stock Markets The ng International Research Journal of Finance and Economics, 47(2010) hi ep West Texas Intermediate (n.d.) In Wikipedia Retrieved December 27, 2012, from http://en.wikipedia.org/wiki/West_Texas_Intermediate w n lo World Gold Council (2012, August 14) Gold Demand Trends Q2 2012 Retrieved ad from http://www.gold.org y th ju References from some websites: the pl of yi Website Federal Reserve System of the United States: al n ua http://www.federalreserve.gov/releases/h10/Summary/indexnc_m.htm va Website of Ben Thanh Gold Company: http://benthanhgold.vn/thong-tin-hang- n hoa/thong-tin-hang-hoa/9962-cach-tinh-gia-vang-viet-nam-tu-gia-vang-the- fu ll gioi.html oi m Appendix A: Lag structure choosing at nh z Vector Autoregression Estimates Standard errors in ( ) & t-statistics in [ ] z DLNOIL DLNUSDX vb DLNSPX DLNGOLD(-1) -0.051892 (0.04019) [-1.29118] 0.155028 (0.07962) [ 1.94717] -0.015208 (0.01643) [-0.92560] 0.021175 (0.04689) [ 0.45164] DLNGOLD(-2) -0.005339 (0.04069) [-0.13119] 0.059640 (0.08062) [ 0.73979] 0.007315 (0.01664) [ 0.43968] -0.012865 (0.04747) [-0.27099] DLNGOLD(-3) -0.105698 (0.03976) [-2.65848] -0.156284 (0.07876) [-1.98424] 0.010098 (0.01625) [ 0.62129] -0.091165 (0.04638) [-1.96551] DLNGOLD(-4) -0.020393 (0.03919) [-0.52036] -0.241222 (0.07764) [-3.10703] 0.005887 (0.01602) [ 0.36743] 0.030144 (0.04572) [ 0.65933] DLNGOLD(-5) -0.005327 (0.03934) 0.098957 (0.07793) -0.041086 (0.01608) -0.016676 (0.04589) k jm ht DLNGOLD om l.c gm an Lu n va ey t re 46 t to [ 1.26984] [-2.55480] [-0.36338] DLNGOLD(-6) -0.102557 (0.03970) [-2.58329] -0.095428 (0.07865) [-1.21337] 0.017476 (0.01623) [ 1.07676] -0.089667 (0.04631) [-1.93609] DLNGOLD(-7) 0.004221 (0.04008) [ 0.10530] -0.236829 (0.07940) [-2.98260] 0.029254 (0.01639) [ 1.78532] -0.098118 (0.04676) [-2.09837] 0.083195 (0.04064) [ 2.04736] -0.185107 (0.08050) [-2.29949] 0.015701 (0.01661) [ 0.94517] -0.152889 (0.04740) [-3.22519] 0.039514 (0.04076) [ 0.96951] 0.067045 (0.08074) [ 0.83038] 0.024453 (0.01666) [ 1.46762] 0.046678 (0.04755) [ 0.98173] 0.024458 (0.07925) [ 0.30861] -0.003655 (0.01635) [-0.22348] -0.034348 (0.04667) [-0.73599] -0.013746 (0.00868) [-1.58419] 0.022487 (0.02476) [ 0.90816] ng [-0.13541] hi ep w n lo ad DLNGOLD(-8) ju y th yi DLNGOLD(-9) pl ua al 0.022147 (0.04001) [ 0.55359] n DLNGOLD(-10) n va 0.058897 (0.02122) [ 2.77491] ll fu DLNOIL(-1) DLNOIL(-2) -0.021815 (0.02116) [-1.03118] 0.029021 (0.04191) [ 0.69247] DLNOIL(-3) -0.018594 (0.02093) [-0.88851] 0.128379 (0.04146) [ 3.09671] -0.007147 (0.00856) [-0.83536] 0.004999 (0.02441) [ 0.20476] DLNOIL(-4) 0.066492 (0.02133) [ 3.11801] 0.066102 (0.04225) [ 1.56471] -0.014990 (0.00872) [-1.71939] 0.043984 (0.02488) [ 1.76803] DLNOIL(-5) 0.012336 (0.02110) [ 0.58456] -0.083280 (0.04181) [-1.99209] -0.012496 (0.00863) [-1.44847] -0.032410 (0.02462) [-1.31648] DLNOIL(-6) 0.006114 (0.02157) [ 0.28350] -0.024470 (0.04273) [-0.57272] 0.018508 (0.00882) [ 2.09915] 0.037990 (0.02516) [ 1.50992] DLNOIL(-7) -0.027739 (0.02198) -0.041747 (0.04354) 0.007220 (0.00898) 0.053206 (0.02564) oi m -0.087923 (0.04205) [-2.09108] at nh z -0.016200 (0.00865) [-1.87310] z k jm ht vb 0.031231 (0.02468) [ 1.26547] om l.c gm an Lu n va ey t re 47 t to [-0.95889] [ 0.80356] [ 2.07528] DLNOIL(-8) -0.001053 (0.02200) [-0.04783] -0.013154 (0.04359) [-0.30177] -0.003053 (0.00900) [-0.33940] -0.016930 (0.02567) [-0.65956] DLNOIL(-9) -0.040515 (0.02169) [-1.86824] 0.085761 (0.04296) [ 1.99624] 0.005416 (0.00887) [ 0.61094] 0.073844 (0.02530) [ 2.91883] 0.019691 (0.02129) [ 0.92488] 0.021686 (0.04218) [ 0.51417] -0.000711 (0.00870) [-0.08167] 0.010799 (0.02484) [ 0.43478] -0.095853 (0.10887) [-0.88040] 0.647701 (0.21568) [ 3.00304] -0.145390 (0.04451) [-3.26652] 0.025086 (0.12701) [ 0.19751] 0.177532 (0.21751) [ 0.81620] -0.053672 (0.04489) [-1.19572] -0.003824 (0.12809) [-0.02985] 0.067416 (0.04395) [ 1.53396] -0.151287 (0.12541) [-1.20630] ng [-1.26217] hi ep w n lo ad DLNOIL(-10) ju y th yi DLNUSDX(-1) pl ua al -0.109814 (0.10980) [-1.00015] n DLNUSDX(-2) n va -0.166101 (0.10750) [-1.54506] ll fu DLNUSDX(-3) DLNUSDX(-4) -0.083149 (0.10878) [-0.76441] -0.286043 (0.21549) [-1.32743] DLNUSDX(-5) -0.254337 (0.10748) [-2.36646] 0.054635 (0.21291) [ 0.25661] -0.053118 (0.04394) [-1.20895] -0.125716 (0.12538) [-1.00268] DLNUSDX(-6) -0.051025 (0.11232) [-0.45427] -0.269563 (0.22251) [-1.21145] 0.070011 (0.04592) [ 1.52467] -0.082123 (0.13103) [-0.62674] DLNUSDX(-7) -0.031461 (0.11139) [-0.28243] 0.053440 (0.22067) [ 0.24217] 0.018728 (0.04554) [ 0.41125] -0.071854 (0.12995) [-0.55293] DLNUSDX(-8) 0.130725 (0.11294) [ 1.15752] -0.402964 (0.22373) [-1.80114] 0.040831 (0.04617) [ 0.88437] -0.142097 (0.13175) [-1.07854] DLNUSDX(-9) -0.025070 (0.11134) 0.322701 (0.22057) 0.065651 (0.04552) 0.274706 (0.12989) oi m 0.316894 (0.21297) [ 1.48798] at nh 0.010254 (0.12690) [ 0.08080] z 0.069335 (0.04447) [ 1.55919] z k jm ht vb om l.c gm an Lu n va ey t re 48 t to [ 1.46305] [ 1.44233] [ 2.11493] DLNUSDX(-10) 0.102428 (0.10844) [ 0.94456] 0.350280 (0.21482) [ 1.63055] -0.041941 (0.04433) [-0.94608] 0.242882 (0.12651) [ 1.91993] DLNSPX(-1) -0.030213 (0.03340) [-0.90456] 0.280593 (0.06617) [ 4.24067] -0.072732 (0.01365) [-5.32655] -0.114770 (0.03896) [-2.94549] -0.029508 (0.03522) [-0.83776] 0.052938 (0.06978) [ 0.75868] -0.011111 (0.01440) [-0.77166] 0.006292 (0.04109) [ 0.15314] -0.059655 (0.03516) [-1.69680] -0.164728 (0.06965) [-2.36519] 0.047575 (0.01437) [ 3.31008] -0.061336 (0.04101) [-1.49550] -0.150494 (0.07114) [-2.11541] 0.032361 (0.01468) [ 2.20429] -0.000773 (0.04189) [-0.01845] 0.003379 (0.01450) [ 0.23300] -0.007686 (0.04138) [-0.18572] ng [-0.22516] hi ep w n lo ad DLNSPX(-2) ju y th yi DLNSPX(-3) pl ua al -0.044688 (0.03591) [-1.24439] n DLNSPX(-4) n va -0.088350 (0.03547) [-2.49057] ll fu DLNSPX(-5) DLNSPX(-6) -0.077812 (0.03495) [-2.22656] 0.115561 (0.06923) [ 1.66922] DLNSPX(-7) 0.018738 (0.03521) [ 0.53221] 0.077897 (0.06975) [ 1.11684] 0.002500 (0.01439) [ 0.17369] DLNSPX(-8) -0.005346 (0.03478) [-0.15373] 0.093077 (0.06890) [ 1.35098] -0.028732 (0.01422) [-2.02085] 0.072686 (0.04057) [ 1.79156] DLNSPX(-9) -0.054930 (0.03443) [-1.59530] -0.068950 (0.06821) [-1.01082] 0.025767 (0.01408) [ 1.83053] 0.006694 (0.04017) [ 0.16665] DLNSPX(-10) -0.145757 (0.03330) [-4.37742] -0.006018 (0.06596) [-0.09123] 0.042285 (0.01361) [ 3.10637] 0.091170 (0.03884) [ 2.34706] C 0.072370 (0.09980) 0.156474 (0.19770) 0.013848 (0.04080) 0.103979 (0.11642) oi m 0.032144 (0.07027) [ 0.45741] at nh -0.035673 (0.04077) [-0.87500] z 0.000937 (0.01429) [ 0.06558] z k jm ht vb -0.081346 (0.04107) [-1.98052] om l.c gm an Lu n va ey t re 49 t to [ 0.79147] [ 0.33942] [ 0.89311] LNGOLD(-1) -0.001134 (0.00178) [-0.63523] -0.003287 (0.00354) [-0.92990] -7.44E-05 (0.00073) [-0.10195] 0.002827 (0.00208) [ 1.35812] LNOIL(-1) -0.002975 (0.00370) [-0.80393] -0.008199 (0.00733) [-1.11854] 0.001869 (0.00151) [ 1.23563] -0.010819 (0.00432) [-2.50614] -0.012773 (0.01838) [-0.69490] -0.031139 (0.03641) [-0.85517] -0.004414 (0.00751) [-0.58736] -0.021018 (0.02144) [-0.98018] 0.000660 (0.00323) [ 0.20477] 0.005291 (0.00639) [ 0.82802] -0.000379 (0.00132) [-0.28767] 0.002028 (0.00376) [ 0.53900] 0.121592 0.072853 0.153434 0.106462 0.104485 0.054797 ng [ 0.72517] hi ep w n lo ad LNUSDX(-1) ju y th yi LNSPX(-1) pl ua al 0.105342 0.055702 n n va R-squared Adj R-squared ll fu oi m at nh Appendix B: Bound test result Equation of Group 1: LS dlngold c dlngold(-1 to -8) dlnoil(to -4) dlnusdx(to -5) dlnspx(to -10) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1); c(32)=c(33)=c(34)=c(35)=0 z z Std Err an Lu 0.001572 0.003187 0.015756 0.002825 ey 50 t re Equation of Group 1: Ls dlnoil c dlnoil(-1) dlngold(to -8) dlnusdx(to -1) dlnspx(to -4) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1); c(19)=c(20)=c(21)=c(22)=0 n va -0.000995 -0.001693 -0.017013 -0.000550 om Value l.c C(32) C(33) C(34) C(35) 0.8621 0.8622 gm (4, 848) Null Hypothesis Summary: Normalized Restriction (= 0) Probability k 0.323849 1.295394 df jm F-statistic Chi-square Value ht Test Statistic vb Wald Test: Wald Test: t to Test Statistic Value ng hi ep F-statistic Chi-square df 1.997150 7.988600 Probability (4, 1186) 0.0927 0.0920 Value Std Err Null Hypothesis Summary: w n Normalized Restriction (= 0) lo -0.002267 -0.007267 -0.033159 0.010571 ad C(19) C(20) C(21) C(22) ju y th yi 0.002545 0.005066 0.025592 0.004753 pl n ua al n va fu ll Equation of Group 1: Ls dlnusdx c dlnusdx(-1) dlngold(to -5) dlnoil(to -6) dlnspx(to -10) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1); c(27)=c(28)=c(29)=c(30)=0 Wald Test: oi m at nh z Probability ht (4, 897) 0.0666 0.0657 k jm 2.205181 8.820723 df vb F-statistic Chi-square Value z Test Statistic 0.000571 0.001158 0.005673 0.001041 ey 51 t re Equation of Group 1: dlnspx c dlnspx(-1 to -10) dlngold(to -8) dlnoil(to -9) dlnusdx(to -9) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1); c(41)=c(42)=c(43)=c(44)=0 n -0.000522 0.000164 -0.009961 -0.000510 Std Err va C(27) C(28) C(29) C(30) Value an Lu Normalized Restriction (= 0) om l.c gm Null Hypothesis Summary: Wald Test: t to Test Statistic Value ng hi ep F-statistic Chi-square df 2.090775 8.363101 Probability (4, 800) 0.0802 0.0791 Value Std Err Null Hypothesis Summary: w n Normalized Restriction (= 0) lo ad 0.002788 -0.005652 -0.004848 -0.001493 ju y th yi C(41) C(42) C(43) C(44) 0.001916 0.003927 0.019498 0.003443 pl n ua al n va fu ll Equation of Group 2: LS dlngold c dlngold(-1 to -8) dlnoil(to -4) dlnusdx(to -5) dlnspx(to -10) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1) d1g d2o d3u d4s; c(36) = c(37) = c(38) = c(39) =0 oi m Probability (4, 844) 0.0015 0.0014 k jm ht vb 4.418209 17.67284 df z Value z F-statistic Chi-square at Test Statistic nh Wald Test: Normalized Restriction (= 0) Value 0.008251 0.007194 0.013318 0.006620 an Lu n va -0.029596 0.015451 0.052142 -0.013546 Std Err om C(36) C(37) C(38) C(39) l.c gm Null Hypothesis Summary: t re c(32) = c(33) = c(34) = c(35) = c(36) = c(37) = c(38) = c(39) =0 Test Statistic ey Wald Test: Value df Probability 52 t to ng F-statistic 2.373639 (8, 844) 0.0157 Chi-square 18.98912 0.0149 Value Std Err hi Null Hypothesis Summary: ep Normalized Restriction (= 0) w n lo C(32) ad C(33) -0.004426 0.005737 -0.045963 0.018049 0.000394 0.003751 -0.029596 0.008251 0.015451 0.007194 0.052142 0.013318 -0.013546 0.006620 n ua C(38) al C(37) pl C(36) yi C(35) 0.002653 ju y th C(34) -0.003046 n va C(39) ll fu oi m Equation of Group 2: Ls dlnoil c dlnoil(-1) dlngold(to -8) dlnusdx(to -1) dlnspx(to -4) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1) d1g d2o d3u d4s; at nh c(23) = c(24) = c(25) = c(26) = z z (4, 1182) 0.013456 0.011510 0.021640 0.010939 n va ey t re -0.001063 0.009209 -0.051396 0.026153 Std Err an Lu Value om l.c C(23) C(24) C(25) C(26) 0.0000 0.0000 gm Null Hypothesis Summary: Normalized Restriction (= 0) Probability k 7.399536 29.59815 df jm F-statistic Chi-square Value ht Test Statistic vb Wald Test: c(19) = c(20) = c(21) = c(22) = C(23) = c(24) = c(25) = c(26) = Wald Test: 53 Test Statistic Value t to F-statistic Chi-square df ng 4.719896 37.75917 Probability hi ep (8, 1182) 0.0000 0.0000 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) w 0.001331 -0.010880 -0.004675 0.006999 -0.001063 0.009209 -0.051396 0.026153 n C(19) C(20) C(21) C(22) C(23) C(24) C(25) C(26) lo ad ju y th yi pl n ua al 0.004220 0.008826 0.029327 0.006212 0.013456 0.011510 0.021640 0.010939 n va Equation of Group 2: Ls dlnusdx c dlnusdx(-1) dlngold(to -5) dlnoil(to -6) ll fu dlnspx(to -10) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1) d1g d2o d3u d4s; oi m c(31) = c(32) = c(33) = c(34) = nh Wald Test: at df z Value z Test Statistic Probability (4, 893) k gm Value Std Err an Lu n ey t re 0.003024 0.002651 0.004836 0.002438 va -0.006591 0.007060 0.009611 -0.004094 om C(31) C(32) C(33) C(34) l.c Null Hypothesis Summary: Normalized Restriction (= 0) 0.0275 0.0268 jm 2.744189 10.97675 ht vb F-statistic Chi-square c(27) = c(28) = c(29) = c(30) = c(31) = c(32) = c(33) = c(34) = 54 Wald Test: t to Test Statistic Value ng hi ep F-statistic Chi-square df 2.483260 19.86608 Probability (8, 893) 0.0115 0.0109 Value Std Err Null Hypothesis Summary: w n Normalized Restriction (= 0) lo ad -0.000746 -0.002511 -0.018161 0.000658 -0.006591 0.007060 0.009611 -0.004094 ju y th yi pl n ua al C(27) C(28) C(29) C(30) C(31) C(32) C(33) C(34) 0.000977 0.002138 0.006661 0.001401 0.003024 0.002651 0.004836 0.002438 va n Equation of Group 2: dlnspx c dlnspx(-1 to -10) dlngold(to -8) dlnoil(to -9) dlnusdx(to -9) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1) d1g d2o d3u d4s; c(45)=c(46)=c(47)=c(48) = Wald Test: ll fu oi m df z Value at nh Test Statistic Probability z (4, 796) 0.2747 0.2737 k jm ht 1.283832 5.135328 vb F-statistic Chi-square an Lu 0.010401 0.008970 0.018184 0.008959 n va ey t re -0.015950 0.010166 0.039558 -0.015075 Std Err om C(45) C(46) C(47) C(48) Value l.c Normalized Restriction (= 0) gm Null Hypothesis Summary: 55 t to ng hi ep w n lo ad ju y th yi pl n ua al va n c(41)=c(42)=c(43)=c(44) = c(45)=c(46)=c(47)=c(48) = ll fu Wald Test: oi m Value df Probability at nh Test Statistic 0.0974 0.0955 Std Err om Value l.c Normalized Restriction (= 0) gm Null Hypothesis Summary: k jm ht 13.51030 (8, 796) vb Chi-square z 1.688787 z F-statistic an Lu -0.011125 0.007211 C(43) -0.026884 0.022721 C(44) 0.001358 0.004688 C(45) -0.015950 0.010401 C(46) 0.010166 0.008970 56 ey C(42) t re 0.003319 n 0.003565 va C(41) 0.039558 0.018184 C(48) -0.015075 0.008959 t to C(47) ng hi ep w n lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re 57