AN INTERVAL METHOD FOR STUDYING THE RELATIONSHIP BETWEEN THE AUSTRALIAN DOLLAR EXCHANGE RATE AND THE GOLD PRICE

作     者：Ai HAN K.K.LAI Shouyang WANG Shanying XU 

作者机构：Academy of Mathematics and Systems SciencesChinese Academy of Sciences Department of Management SciencesCity University of Hong KongTat Chee AvenueKowloonHong KongChina 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2012年第25卷第1期

页      面：121-132,132+131页

核心收录：

学科分类：0810[工学-信息与通信工程] 1205[管理学-图书情报与档案管理] 02[经济学] 0202[经济学-应用经济学] 07[理学] 020202[经济学-区域经济学] 070104[理学-应用数学] 0811[工学-控制科学与工程] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：supported by the National Natural Science Foundation of China Research Granting Committee of Hong Kong and Chinese Academy of Sciences 

主　　题：Exchange rate gold price interval method. 

摘      要：This paper proposes an interval method to explore the relationship between the exchange rate of Australian dollar against US dollar and the gold price, using weekly, monthly and quarterly data. With the interval method, interval sample data are formed to present the volatility of variables. The ILS approach is extended to multi-model estimation and the computational schemes are provided. The empirical evidence suggests that the ILS estimates well characterize how the exchange rate relates to the gold price, both in the long-run and short-run. The comparison between the interval and point methods indicates that the difference between the OLS and the ILS estimates is increasing from weekly data to quarterly data, since the lowest frequency point data lost the most information of volatility.