THE BEHAVIOUR OF LONDON GOLD FIXING WITH THRESHOLD UNIT ROOT

摘要

London gold fixing is different from the market transaction price. We investigate the behaviour of London gold fixing published by The London Bullion Market Association for the period from 1968:01 to 2011:04 by using the unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. Empirical conclusions indicate that the gold price exhibits nonlinear behaviour with two regimes and has unit roots in two regimes, and its major factors convert in different regimes. It means that some extant research may not distinguish the asymmetry of gold market and be misleading to a certain degree.