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

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL HOCHIMINH CITY STUDIES VIETNAM THE HAGUE THE NETHERLANDS VIETNAM – NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS FACTORS AFFECTING THE WORLD’S GOLD PRICE: AN ARDL APPROACH h BY VU THUY DUONG MASTER OF ARTS IN DEVELOPMENT ECONOMICS HOCHIMINH CITY, OCTOBER 2013 UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIES HO CHI MINH CITY THE HAGUE VIETNAM THE NETHERLANDS VIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS FACTORS AFFECTING THE WORLD’S GOLD PRICE: AN ARDL APPROACH A thesis submitted in a partial fulfillment of the requirements for the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICS h By VU THUY DUONG Academic supervisor: Dr CAO HAO THI HOCHIMINH CITY, OCTOBER 2013 Acknowledgement The thesis could not be completed without considerable supports from my academic supervisor, Dr Cao Hao Thi, who provided me valuable instructions and comments throughout the process of this thesis From bottom of my heart, I would like to give my sincerest thanks to him I am also grateful to Dr Le Van Chon and Dr Truong Dang Thuy for their enthusiasm help about Econometrics techniques and useful advice Therefore, I can overcome many obstacles to complete my research I also take this opportunity to express my thanks for my colleagues They provided me many assistance and encouragement during the time I the research Last but not the least, I would like to thank my family members for their love, encouragement, support for me to finish the Master course as well as the thesis h Abstract The paper focuses on investigating factors affecting global gold prices in the shortrun and long-run with daily data from January 2007 to December 2012 By applying autoregressive distributed lag (ARDL) bound test, the empirical results show that there is no evidence of long-run relationship among London gold price, West Texas Intermediate (WTI) crude oil sport price, US dollar index and S&P 500 However, when financial crisis is taken into the research as a dummy variable, the results reveal that financial crisis affects the relationship of gold price with oil price, US dollar index and S&P 500 and cannot conclude that long-run relationship among them existed Therefore, the State Bank of Viet Nam cannot base on the movement of those variables to forecast the movement of world gold price for making their decision in selling or buying gold h Table of Contents CHAPTER 1: INTRODUCTION .6 1.1 Problem Statements 1.2 Research objectives 1.3 Research questions 1.4 Scope of the research 1.5 Structure of the thesis .9 CHAPTER 2: OVERVIEW OF VIETNAM’S GOLD MARKET 11 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 CHAPTER 3: LITERATURE REVIEW 15 3.1 The relationship between gold and oil prices 15 h 3.2 The relationship between gold price and US Dollar exchange rate .16 3.3 The relationship between gold price and stock market 17 CHAPTER 4: RESEARCH METHODOLOGY 21 4.1 Research process 21 4.2 Model establishment .21 4.3 Data collection 21 4.4 Data analysis 24 4.5 Analysis method .25 4.5.1 Stationary and unit root test .25 4.5.2 Cointegration test .26 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 5.4.2 Serial correlation test .35 5.4.3 Dynamic stability test 35 5.4.4 Bound tests .36 CHAPTER 6: CONCLUSION AND POLICY IMPLICATIONS 38 6.1 Main findings .38 6.2 Policy implications 39 6.3 Limitation .40 6.4 Future research .40 References 41 Appendix A: Lag structure choosing .46 Appendix B: Bound test result 50 List of Figures Figure 4.1: Research process 22 Figure 4.2: Analysis method .25 Figure 5.1: Inverse Roots 36 List of Tables Table 2.1: Correlation matrix between SJC and London’s gold price 13 Table 2.2: Correlation testing between SJC and London’s gold price .13 h 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 Table 5.4: Unit root test for stationary at first difference 33 Table 5.5: VAR lag order selection criteria 34 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 Abbreviations ADF: Augmented Dickey-Fuller AIC: Akaike Information Criterion ARDL: Autoregressive Distributed Lag CPI: ECM: Consumer Price Index Error correction models EIA: U.S Energy Information Administration PP: Phillips-Perron SBV: SJC UECM: US: VAR: VND: State Bank of Viet Nam Saigon Jewelry Company Limited Unrestricted error correction model United States Vector Autoregression Estimates Vietnam Dong h CHAPTER 1: INTRODUCTION 1.1 Problem Statements There is much attention recently on gold, partly due to the surges in its price and the increase in its economic uses Gold has a critical position among the major precious metals Gold is not only an industrial commodity but also an investment asset which is commonly known as a “safe haven” (Baur & Lucey, 2010; Coudert & Raymond-Feingold, 2011) to avoid the increasing risk in the financial markets However, gold prices have been remained unabated, even accelerated further in recent years Since the beginning of financial crisis in August, 2007 to December, 2012, the nominal gold price has increased 146.65% For central banks, gold keeps an important position in their reserve asset Its role is increasingly enhanced from 2009 when there was so much worry about the health of h US economy Central banks increase to buy gold due to they want to reduce their reliance on the US dollars as a reserve asset, and to encourage borrowings and to ensure interest rates on these loans were reduced Bellowing is some evidence recently relating to the trend of buying gold from central banks: i “Asked what the most important reserve asset would be in 25 years, about half of officials polled by UBS said the US dollar but 22 percent pointed to gold” (Farchy & Blas, 2010) This is showed that the central banks’ demand for gold will remain strong over time ii And the report of the World Gold Council published on August 14, 2012, mentioned that: “The second quarter was another period of significant purchasing by official sector institutions, with demand accounting to 157.5 tonnes This was a record quarter for central bank buying since the sector began recording net purchases in Q2 2009 and was more than double the 66.2 tonnes of purchases made in the same period of 2011 Purchases in the first half of the year totaled 254.2 tonnes, 25% up on 203.2 tonnes from the same period last year The official sector accounted for 16% of overall Q2 gold demand”(“Gold Demand Trends Q2 2012”,2012) It is clearly showed that the role of gold for central banks is even expanding 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 or in central bank hands (Phillips, 2012): i China putted a ban on exporting gold to ensure that all gold that enters the country stays in the country; ii If the country can produce gold, its central bank will be the directly purchaser For example: Russia & Kazakhstan bought its locally produced gold in March, 2012; iii There is the fact that the trend of buying gold mostly comes from central banks of emerging and newly wealthy nations Their gold holdings are very h small in comparison to central banks of US and Europe In Viet Nam, the domestic gold prices got so much fluctuation since September 2009 Especially in 2012, the gap between global and domestic prices had been largely widen, sometimes reaching VND million per tael (a tael is equal to 1.2 ounces) when the demand for gold is larger than the supply for gold due to the “big guy banks” This has caused serious problems to the exchange rate as well as economy Khanh (2010), the General Director of Sai Gon Gold and Silver ACBSJC Joint Stock Company, argued that the increasing in gold price will have both direct and indirect impact to the USD/VND exchange rate, indirect impact to the CPI, affect monetary policy, stock market and real estate market, etc To solve the problem of gap or to stabilize the gold market that is also the requirement of the National Assembly of the Socialist Republic of Vietnam from Resolution No 51/2010/QH12 on the 2011 Socio-Economic Development Plan, 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 dated 06/01/2010 about closing the gold trading floor and terminating all activities of gold trading on foreign account; (ii) Circular No 22/2010/TT-NHNN dated 29/10/2010 about not allowing the commercial bank to convert gold into paper 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 will keep a monopoly on gold bar production, export and import of raw materials for gold bar production via the SBV; (iv) Circular No 16/2012/TT-NHNN dated 25/05/2012 guiding some articles of Decree No 24/2012/ND-CP Yet, those documents have limited the gold supply to the market while the gold demand is still large that make gold prices still “crazy” when global gold price increases In addition, according to the Decision No 16/2013/QD-TTg issued by the Prime Minister on 04/03/2013, gold bullion would be bought and sold by the SBV as needed to keep the gold prices stable and SBV, based on its monetary policies, would buy additional gold bullion from other countries for the aim of controlling h foreign reserves This decision is highly appreciated due to it will be an opportunity 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 order to increase reserve asset or to boost the supply side In other words, SBV should find out tools to forecast the movement of global and local gold prices when other factors changed From the above features, the paper will focus on analyzing factors (that are addressed in the literature) affecting global gold prices 1.2 Research objectives The main objectives of this paper include: i 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 longrun periods; Frimpong, J.M & Oteng-Abayie, E.F (2006) Bounds testing approach: an examination of foreign direct investment, trade and growth relationships (MPRA Paper No 352) Financial crisis of 2007–08 (n.d.) In Wikipedia Retrieved September 9, 2013 from http://en.wikipedia.org/wiki/Financial_crisis_of_2007%E2%80%9308 Gregory, A.W & Hansen, B.E (1996) Residual-based tests for cointegration in models with regime shifts Journal of Econometrics, 70, 99-126 Gilmore, C.G., McManus, M.G., Sharma, R & Tezel, A (2009) The dynamics of gold prices, gold mining stock prices and stock market prices comovements, Research in Applied Economics, 1(1), 1-19 Hammoudeh, S., Sari, R & Ewing, B.T (2008) Relationships among strategic commodities and with financial variables: A new look Contemporary Economic Policy, 27(2), 251-264 h Hoque, M.M & Yusop, Z (2009) Impacts of trade liberalisation on aggregate import in Bangladesh : An ARDL Bounds test approach Journal of Asian Economics, 21, 37-52 Hoai, N.T (2006) Lecture 5: Multicollinearity in Econometrics Retrieved from Fullbright Economics Teaching Program: http://www.ctu.edu.vn Jaffe, J.F (1989) Gold and gold stocks as investments for institutional portfolios Financial Analysts Journal, 45, 53-59 Jaeger, M., (2012, July 17) Does gold set the price for oil? The Washington Times Retrieved from http://communities.washingtontimes.com Johansen, S (1988) Statistical analysis of cointegration vectors Journal of Economic Dynamics and Control, 12, 231-254 Johansen, S & Juselius, K (1990) Maximum likelihood estimation and inference on cointegration with applications to the demand for money Oxford Bulletin of Economics and Statistics, 52, 169-209 43 Kim, M H., & Dilts, D A (2011) The relationship of the value of the Dollar, and the Prices of Gold and Oil: A Tale of Asset Risk Economics Bulletin, 31, 1151-1162 Khanh, T T.Q (2010, October 23) Nhieu he luy gia vang tang cao The Vnexpress’s Retrieved from http://vnexpress.net/gl/kinh- doanh/2010/10/3ba21f6b/ Le, T.H & Chang, Y (2011) Oil and Gold: Correlation and Causation? (Deponcen working papers series 2011/22) Lizardo, R.A & Mollick, A.V (2010) Oil price fluctuations and U.S dollar exchange rates Energy Economics, 32(2010), 399-408 Market price (n.d.) In Wikipedia Retrieved June 25, 2013, from http://en.wikipedia.org/wiki/Market_price Malliaris, A.G & Mallliaris, M (2011) Are oil, gold and the euro inter-related? h Time series and neural network analysis (MPRA Paper No 35266) Retrieved from Munich Personal RePEc Archive Melvin, M., & Sultan, J (1990) South African political unrest, oil prices, and the time varying risk premium in the gold futures market Journal of Futures markets, 10, 103-111 Narayan, P.K, Narayan, S & Zheng, X (2010) Gold and oil futures markets : Are market efficient? Applied Energy, 87 (10), 3299-3303 Pesaran, M.H & Shin, Y (1999) An Autoregressive Distributed Lag Modeling Approach to Cointegration Analysis In: Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Chapter 11, Strom S (Ed.) Cambridge University Press, Cambridge, New 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 the Stock market? The Federal Reserve Bank of Cleveland Retrieved from http://www.clevelandfed.org/research/trends/2008/0908/04ecoact.cfm Phillips, J., (2010, March 26) The gold price will be affected by the oil price in Future – How? The Streetwise report’s Retrieved from http://www.theaureport.com Phillips, J., (2012, May 4) Why Central Banks are Buying Gold The Bullionvault’s Retrieved from http://goldnews.bullionvault.com/ Cong, N T (2012) Dien bien gia vang va nhan dinh xu huong cuoi nam Retrieved June 27, 2013, from http://www.vietinbank.vn/web/home/vn/research/12/dien-bien-gia-vang-vanhan-dinh-xu-huong-cuoi-nam.html Sari, R., Hammoudeh, S & Soytas, U (2010) Dynamics of oil price, precious h metal prices, and exchange rate Energy Economics, 32 (2), 351-362 Smith, G (2001) The price of gold and stock price indices for the United States, The World World Council, 1-35 S&P 500 (n.d.) In Wikipedia Retrieved December 27, 2012, from http://en.wikipedia.org/wiki/S%26P_500 U.S Energy Information Administration (2013, February) Short-term Energy Outlook (STEO) Retrieved from http://www.eia.gov/forecasts/steo/report/global_oil.cfm Vnexpress (2013, January 27) Thi truong vang ky vong vao “nhac truong” The Vnexpress’s Retrieved from http://vnexpress.net/gl/kinh-doanh/vi- mo/2013/01/thi-truong-vang-ky-vong-vao-nhac-truong/ Hoang, V.Q (2004) Analyses on Gold and US Dollar in Vietnam’s Transitional Economny Centre Emile Bernheim WP-CEB No 04/033 45 Wang, M.L, Wang, C.P & Huang, T.Y (2010) Relationships among Oil Price, Gold Price, Exchange Rate and International Stock Markets The International Research Journal of Finance and Economics, 47(2010) West Texas Intermediate (n.d.) In Wikipedia Retrieved December 27, 2012, from http://en.wikipedia.org/wiki/West_Texas_Intermediate World Gold Council (2012, August 14) Gold Demand Trends Q2 2012 Retrieved from http://www.gold.org References from some websites: Website of the Federal Reserve System of the United States: http://www.federalreserve.gov/releases/h10/Summary/indexnc_m.htm Website of Ben Thanh Gold Company: http://benthanhgold.vn/thong-tin-hanghoa/thong-tin-hang-hoa/9962-cach-tinh-gia-vang-viet-nam-tu-gia-vang-thegioi.html h Appendix A: Lag structure choosing Vector Autoregression Estimates Standard errors in ( ) & t-statistics in [ ] DLNGOLD DLNOIL DLNUSDX 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) 46 [-0.13541] [ 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] DLNGOLD(-8) 0.083195 (0.04064) [ 2.04736] -0.185107 (0.08050) [-2.29949] 0.015701 (0.01661) [ 0.94517] -0.152889 (0.04740) [-3.22519] DLNGOLD(-9) 0.039514 (0.04076) [ 0.96951] 0.067045 (0.08074) [ 0.83038] 0.024453 (0.01666) [ 1.46762] 0.046678 (0.04755) [ 0.98173] DLNGOLD(-10) 0.022147 (0.04001) [ 0.55359] 0.024458 (0.07925) [ 0.30861] -0.003655 (0.01635) [-0.22348] -0.034348 (0.04667) [-0.73599] DLNOIL(-1) 0.058897 (0.02122) [ 2.77491] -0.087923 (0.04205) [-2.09108] h -0.013746 (0.00868) [-1.58419] 0.022487 (0.02476) [ 0.90816] DLNOIL(-2) -0.021815 (0.02116) [-1.03118] 0.029021 (0.04191) [ 0.69247] -0.016200 (0.00865) [-1.87310] 0.031231 (0.02468) [ 1.26547] 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) 47 [-1.26217] [-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] DLNOIL(-10) 0.019691 (0.02129) [ 0.92488] 0.021686 (0.04218) [ 0.51417] -0.000711 (0.00870) [-0.08167] 0.010799 (0.02484) [ 0.43478] DLNUSDX(-1) -0.095853 (0.10887) [-0.88040] 0.647701 (0.21568) [ 3.00304] -0.145390 (0.04451) [-3.26652] 0.025086 (0.12701) [ 0.19751] DLNUSDX(-2) -0.109814 (0.10980) [-1.00015] 0.177532 (0.21751) [ 0.81620] -0.053672 (0.04489) [-1.19572] -0.003824 (0.12809) [-0.02985] DLNUSDX(-3) -0.166101 (0.10750) [-1.54506] 0.316894 (0.21297) [ 1.48798] h 0.067416 (0.04395) [ 1.53396] -0.151287 (0.12541) [-1.20630] DLNUSDX(-4) -0.083149 (0.10878) [-0.76441] -0.286043 (0.21549) [-1.32743] 0.069335 (0.04447) [ 1.55919] 0.010254 (0.12690) [ 0.08080] 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) 48 [-0.22516] [ 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] DLNSPX(-2) -0.029508 (0.03522) [-0.83776] 0.052938 (0.06978) [ 0.75868] -0.011111 (0.01440) [-0.77166] 0.006292 (0.04109) [ 0.15314] DLNSPX(-3) -0.059655 (0.03516) [-1.69680] -0.164728 (0.06965) [-2.36519] 0.047575 (0.01437) [ 3.31008] -0.061336 (0.04101) [-1.49550] DLNSPX(-4) -0.044688 (0.03591) [-1.24439] -0.150494 (0.07114) [-2.11541] 0.032361 (0.01468) [ 2.20429] -0.000773 (0.04189) [-0.01845] DLNSPX(-5) -0.088350 (0.03547) [-2.49057] 0.032144 (0.07027) [ 0.45741] h 0.003379 (0.01450) [ 0.23300] -0.007686 (0.04138) [-0.18572] DLNSPX(-6) -0.077812 (0.03495) [-2.22656] 0.115561 (0.06923) [ 1.66922] 0.000937 (0.01429) [ 0.06558] -0.035673 (0.04077) [-0.87500] DLNSPX(-7) 0.018738 (0.03521) [ 0.53221] 0.077897 (0.06975) [ 1.11684] 0.002500 (0.01439) [ 0.17369] -0.081346 (0.04107) [-1.98052] 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) 49 [ 0.72517] [ 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] LNUSDX(-1) -0.012773 (0.01838) [-0.69490] -0.031139 (0.03641) [-0.85517] -0.004414 (0.00751) [-0.58736] -0.021018 (0.02144) [-0.98018] LNSPX(-1) 0.000660 (0.00323) [ 0.20477] 0.005291 (0.00639) [ 0.82802] -0.000379 (0.00132) [-0.28767] 0.002028 (0.00376) [ 0.53900] R-squared Adj R-squared 0.105342 0.055702 0.121592 0.072853 0.153434 0.106462 0.104485 0.054797 h 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 Wald Test: Test Statistic F-statistic Chi-square Value 0.323849 1.295394 df Probability (4, 848) 0.8621 0.8622 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(32) C(33) C(34) C(35) -0.000995 -0.001693 -0.017013 -0.000550 0.001572 0.003187 0.015756 0.002825 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 50 Wald Test: Test Statistic F-statistic Chi-square Value 1.997150 7.988600 df Probability (4, 1186) 0.0927 0.0920 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(19) C(20) C(21) C(22) -0.002267 -0.007267 -0.033159 0.010571 0.002545 0.005066 0.025592 0.004753 h 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: Test Statistic F-statistic Chi-square Value 2.205181 8.820723 df Probability (4, 897) 0.0666 0.0657 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(27) C(28) C(29) C(30) -0.000522 0.000164 -0.009961 -0.000510 0.000571 0.001158 0.005673 0.001041 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 51 Wald Test: Test Statistic F-statistic Chi-square Value 2.090775 8.363101 df Probability (4, 800) 0.0802 0.0791 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(41) C(42) C(43) C(44) 0.002788 -0.005652 -0.004848 -0.001493 0.001916 0.003927 0.019498 0.003443 h 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 Wald Test: Test Statistic F-statistic Chi-square Value 4.418209 17.67284 df Probability (4, 844) 0.0015 0.0014 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(36) C(37) C(38) C(39) -0.029596 0.015451 0.052142 -0.013546 0.008251 0.007194 0.013318 0.006620 c(32) = c(33) = c(34) = c(35) = c(36) = c(37) = c(38) = c(39) =0 Wald Test: Test Statistic Value df Probability 52 F-statistic 2.373639 (8, 844) 0.0157 Chi-square 18.98912 0.0149 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(32) -0.003046 0.002653 C(33) -0.004426 0.005737 C(34) -0.045963 0.018049 C(35) 0.000394 0.003751 C(36) -0.029596 0.008251 C(37) 0.015451 0.007194 C(38) 0.052142 0.013318 C(39) -0.013546 0.006620 Equation of Group 2: Ls dlnoil c dlnoil(-1) dlngold(to -8) dlnusdx(to -1) h dlnspx(to -4) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1) d1g d2o d3u d4s; c(23) = c(24) = c(25) = c(26) = Wald Test: Test Statistic F-statistic Chi-square Value 7.399536 29.59815 df Probability (4, 1182) 0.0000 0.0000 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(23) C(24) C(25) C(26) -0.001063 0.009209 -0.051396 0.026153 0.013456 0.011510 0.021640 0.010939 c(19) = c(20) = c(21) = c(22) = C(23) = c(24) = c(25) = c(26) = Wald Test: 53 Test Statistic F-statistic Chi-square Value 4.719896 37.75917 df Probability (8, 1182) 0.0000 0.0000 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(19) C(20) C(21) C(22) C(23) C(24) C(25) C(26) 0.001331 -0.010880 -0.004675 0.006999 -0.001063 0.009209 -0.051396 0.026153 0.004220 0.008826 0.029327 0.006212 0.013456 0.011510 0.021640 0.010939 Equation of Group 2: Ls dlnusdx c dlnusdx(-1) dlngold(to -5) dlnoil(to -6) dlnspx(to -10) lngold(-1) lnoil(-1) lnusdx(-1) lnspx(-1) d1g d2o d3u d4s; h c(31) = c(32) = c(33) = c(34) = Wald Test: Test Statistic F-statistic Chi-square Value 2.744189 10.97675 df Probability (4, 893) 0.0275 0.0268 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(31) C(32) C(33) C(34) -0.006591 0.007060 0.009611 -0.004094 0.003024 0.002651 0.004836 0.002438 c(27) = c(28) = c(29) = c(30) = c(31) = c(32) = c(33) = c(34) = 54 Wald Test: Test Statistic F-statistic Chi-square Value 2.483260 19.86608 df Probability (8, 893) 0.0115 0.0109 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(27) C(28) C(29) C(30) C(31) C(32) C(33) C(34) -0.000746 -0.002511 -0.018161 0.000658 -0.006591 0.007060 0.009611 -0.004094 0.000977 0.002138 0.006661 0.001401 0.003024 0.002651 0.004836 0.002438 h 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: Test Statistic F-statistic Chi-square Value 1.283832 5.135328 df Probability (4, 796) 0.2747 0.2737 Value Std Err Null Hypothesis Summary: Normalized Restriction (= 0) C(45) C(46) C(47) C(48) -0.015950 0.010166 0.039558 -0.015075 0.010401 0.008970 0.018184 0.008959 55 c(41)=c(42)=c(43)=c(44) = c(45)=c(46)=c(47)=c(48) = Wald Test: h Test Statistic Value df Probability F-statistic 1.688787 (8, 796) 0.0974 Chi-square 13.51030 0.0955 Value Std Err C(41) 0.003565 0.003319 C(42) -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 Null Hypothesis Summary: Normalized Restriction (= 0) 56 C(47) 0.039558 0.018184 C(48) -0.015075 0.008959 h 57