Evaluating the Nonlinear Linkage between Gold Prices and Stock Market Index Using Markov-Switching Bayesian VAR Models

This study makes a contribution to the literature by applying the Markov-Switching Bayesian VAR models for the first time to investigate the nonlinear linkage between gold prices and stock market index. Analyses have been done in the period from 1986:04 to 2013:11. The Bayesian approach to econometr...

Full description

Saved in:
Bibliographic Details
Published in:Procedia, social and behavioral sciences social and behavioral sciences, 2015-12, Vol.210, p.408-415
Main Authors: Akgül, Işıl, Bildirici, Melike, Özdemir, Selin
Format: Article
Language:English
Subjects:
Bayesian VAR model
Crude oil prices
Gold prices
S&P 500
Sims & Zha prior distribution
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This study makes a contribution to the literature by applying the Markov-Switching Bayesian VAR models for the first time to investigate the nonlinear linkage between gold prices and stock market index. Analyses have been done in the period from 1986:04 to 2013:11. The Bayesian approach to econometrics provides a general method for combining modeller's beliefs with the evidence contained in the data. In contrast to the classical approach to estimate a set of parameters, Bayesian statistic presupposes a set of prior probabilities about the underlying parameters to be estimated. We use gold prices (USD/oz.) and S&P 500 Stock Price Index as an endogenous, the crude oil prices (Brent-$/barrel) as an exogenous variable in the analysis. We investigate the number of regime by LR test and The Markov Chain Monte Carlo (MCMC) algorithm and Sims & Zha (1998) prior distribution are employed to estimate the models.
ISSN:1877-0428
1877-0428
DOI:10.1016/j.sbspro.2015.11.388