International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

A Study of the relationship between financial and commodity markets using STR regression

Document Type : Original Article

Authors
Seyed Hojat Hejazi 1
Ebrahim Abbasi 2
Zoleikha Morsali Arzanagh 3
Yazdan Gudarzi Farahani 4
1 PhD student, Department of Economics, Aras International University, Tehran University Campus, Aras, Iran
2 Professor, Department of Management, Faculty of Social Sciences and economics, Alzahra University, Tehran, Iran
3 Department of Management and Accounting, Islamic Azad University, Karaj Branch, Karaj, Iran.
4 Assistant Professor, Faculty of Economic and Administrative Sciences, University of Qom, Qom, Iran
10.30495/ijfma.2024.78002.2188
Abstract
This study examines the relationship between financial and commodity market. For this reason, we used the Bitcoin (BTC) price, Gold, USD, and oil prices. In this research we used smooth transition regression (STR) model to cover data from 2019 to 2024. In this study, first, the unit root test was performed on the variables. Then, transition variables were identified in order to have a non-linear relationship between the variables. Finally, using the STR model, the relationship between the variables was estimated. The results obtained from this study indicate the existence of a non-linear relationship between the variables. In addition, it was observed that the variables of dollar and oil price had positive effects on the price of Bitcoin. It was also observed that the price of Bitcoin and the dollar had a positive effect on the price of gold. Also, the results showed a negative correlation between Bitcoin and the USD in the linear and non-linear parts, and in the second regime, the coefficient was larger
Keywords
Bitcoin
Gold Price
Exchange rate
GARCH
Time series regression
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