Dynamics Between Strategic Commodities and Financial Variables

This study employs the bounds testing approach to cointegration to investigate the relationships between the prices of two strategic commodities (oil and gold) and the financial variables (interest rates, exchange rates and stock prices) of Japan – a major oil-consuming and goldholding country. Our results suggest that the prices of gold and stock can help form expectations of higher inflation over time. In the short run, only gold prices impact the interest rate in Japan. Overall the findings of this study could help the Japanese monetary authority in conducting monetary policy and investors of Japanese yen in building their optimal portfolios. Specifically our findings suggest that the optimal choice in the long term for those who invest in yendenominated assets would be to include gold in their portfolios.strategic commodities, financial variables, bounds test to cointegration

OIL AND GOLD: CORRELATION OR CAUSATION?

This study using the monthly data spanning 1986:01-2011:04 to investigate the relationship between the prices of two strategic commodities: gold and oil. We examine this relationship through the inflation channel and their interaction with the index of the US dollar. We used different oil price proxies for our investigation and found that the impact of oil price on the gold price is not asymmetric but non-linear. Further, results show that there is a long-run relationship existing between the prices of oil and gold. The findings imply that the oil price can be used to predict the gold price.oil price fluctuation, gold price, inflation, US dollar index, cointegration.

Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach

This study employs the bounds testing approach to cointegration to investigate the relationships between the prices of two strategic commodities: gold and oil and the financial variables (interest rate, exchange rate and stock price) of Japan – a major oil-consuming and gold-holding country. Our results suggest that the price of gold and stock, among others, can help form expectations of higher inflation over time. In the short run, only gold price impacts the interest rate in Japan. Overall the findings of this study could benefit both the Japanese monetary authority and investors who hold the Japanese yen in their portfolios. For instance, our findings imply that the optimal choice in a long term for those investors who buy the Japanese yen would be to include either gold or oil or both in their portfolios.oil price, gold price, interest rate, exchange rate, stock price, bounds test to cointegration

Oil and gold: correlation or causation?

This study using the monthly data spanning 1986:01-2011:04 to investigate the relationship between the prices of two strategic commodities: gold and oil. We examine this relationship through the inflation channel and their interaction with the index of the US dollar. We used different oil price proxies for our investigation and found that the impact of oil price on the gold price is not asymmetric but non-linear. Further, results show that there is a long-run relationship existing between the prices of oil and gold. The findings imply that the oil price can be used to predict the gold price.oil price fluctuation, gold price, inflation, US dollar index, cointegration.

Oil and Gold Prices: Correlation or Causation?

This paper uses the monthly data spanning from Jan-1986 to April-2011 to investigate the relationship between the prices of two strategic commodities: gold and oil. We examine this relationship through the inflation channel and their interaction with the index of the US dollar. We use different oil price proxies in our investigation and find that the impact of oil price on gold price is not asymmetric but non-linear. Our results show that there is a long-run relationship existing between the prices of oil and gold. Our findings imply that the oil price can be used to predict the gold price.oil price, gold price, inflation, US dollar index, cointegration

The impact of oil price fluctuations on stock markets in developed and emerging economies

This study examines the response of stock markets to oil price volatilities in Japan, Singapore, Korea and Malaysia by applying the generalized impulse response and variance decomposition analyses to the monthly data spanning 1986:01 – 2011:02. The results suggest that the reaction of stock markets to oil price shocks varies significantly across markets. Specifically, the stock market responds positively in Japan while negatively in Malaysia; the signal in Singapore and South Korea is unclear. We find that the stock market inefficiency, among others, appeared to have slowed the responses of the stock market to aggregate shocks such as oil price surges.oil price fluctuation, stock return, exchange rate, emerging market, VAR model.

The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies

This study examines the response of stock markets to oil price volatilities in Japan, Singapore, Korea and Malaysia by applying the generalized impulse response and variance decomposition analyses to the monthly data spanning 1986:01 – 2011:02. The results suggest that the reaction of stock markets to oil price shocks varies significantly across markets. Specifically, the stock market responds positively in Japan while negatively in Malaysia; the signal in Singapore and South Korea is unclear. We find that the stock market inefficiency, among others, appeared to have slowed the responses of the stock market to aggregate shocks such as oil price surges.oil price fluctuation, stock return, exchange rate, emerging market, VAR model

Instrumental Variable Estimates of the Effect of Management Practices on Firm Performance in Korean Firms

To empirically examine the unbiased effect of management practice on firm productivity, this paper aims to suggest an instrumental variable approach, which requires less costly method. This study uses three firm-level instrumental variables such as the motivations for organizational reform, empowerment, and IT investment during the organizational reform. For empirical study, we use Korean manufacturing firm-level data that contains information on management score and financial statement. The results of the instrumental variable estimation show that better management practice leads to higher level of firm productivity statistically significantly, while the effect of management practices is statistically insignificant in the ordinary least square estimation

Instrumental Variable Estimates of the Effect of Management Practices on Firm Performance in Korean Firms

To empirically examine the unbiased effect of management practice on firm productivity, this paper aims to suggest an instrumental variable approach, which requires less costly method. This study uses three firm-level instrumental variables such as the motivations for organizational reform, empowerment, and IT investment during the organizational reform. For empirical study, we use Korean manufacturing firm-level data that contains information on management score and financial statement. The results of the instrumental variable estimation show that better management practice leads to higher level of firm productivity statistically significantly, while the effect of management practices is statistically insignificant in the ordinary least square estimation

Oil and gold: correlation or causation?

This study using the monthly data spanning 1986:01-2011:04 to investigate the relationship between the prices of two strategic commodities: gold and oil. We examine this relationship through the inflation channel and their interaction with the index of the US dollar. We used different oil price proxies for our investigation and found that the impact of oil price on the gold price is not asymmetric but non-linear. Further, results show that there is a long-run relationship existing between the prices of oil and gold. The findings imply that the oil price can be used to predict the gold price