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Modeling the Dependence Among Crude Oil, Stock and Exchange Rate: A Bayesian Smooth Transition Vector Autoregression

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Beyond Traditional Probabilistic Methods in Economics (ECONVN 2019)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 809))

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Abstract

This study aims to investigate the relationship among West Texas Intermediate crude oil price which represents crude oil, Down Jones Industrial Index and exchange rate. We use smooth transition vector autoregression with Bayesian estimator to estimate the relationship among them due to the conventional VAR often faces with the over-parameterization problem and we can avoid using p-value in making the statistical inference. The results show that there is different relationship among variables in each regime. The impulse response indicates that most of variables will converge to their equilibrium within about 20 months. Finally, the spillover effect shows that three variables either influence or are influenced by other variables.

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Acknowledgements

The authors are grateful to Puay Ungphakorn Centre of Excellence in Econometrics, Faculty of Economics, Chiang Mai University for the financial support.

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Authors and Affiliations

  1. International College of Digital Innovation, Chiang Mai University, Chiang Mai, Thailand

    Payap Tarkhamtham

  2. Centre of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Payap Tarkhamtham, Woraphon Yamaka & Songsak Sriboonchitta

Authors
  1. Payap Tarkhamtham
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  2. Woraphon Yamaka
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  3. Songsak Sriboonchitta
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Corresponding author

Correspondence to Payap Tarkhamtham .

Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso, El Paso, TX, USA

    Vladik Kreinovich

  2. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Ngoc Thach

  3. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Duc Trung

  4. TTC Group, Ho Chi Minh City, Vietnam

    Dang Van Thanh

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Tarkhamtham, P., Yamaka, W., Sriboonchitta, S. (2019). Modeling the Dependence Among Crude Oil, Stock and Exchange Rate: A Bayesian Smooth Transition Vector Autoregression. In: Kreinovich, V., Thach, N., Trung, N., Van Thanh, D. (eds) Beyond Traditional Probabilistic Methods in Economics. ECONVN 2019. Studies in Computational Intelligence, vol 809. Springer, Cham. https://doi.org/10.1007/978-3-030-04200-4_59

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