{"created":"2021-03-01T07:01:59.476464+00:00","id":42142,"links":{},"metadata":{"_buckets":{"deposit":"cc79d284-dd03-4ace-a395-2e9479cfb5e1"},"_deposit":{"id":"42142","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42142"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042142","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-10","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-684","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for the four metals system show significant short-run and long-run dependencies and interdependencies to news and past volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a differential impact on the precious metals and the exchange rate volatilities. Finally, the applications of the results show the optimal weights in a two-asset portfolio and the hedging ratios for long positions.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf684ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Lebow College of Business Drexel University"},{"subitem_text_value":"Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute"},{"subitem_text_value":"Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo"},{"subitem_text_value":"Rawls College of Business Texas Tech University"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Hammoudeh, Shawkat"}],"nameIdentifiers":[{"nameIdentifier":"96993","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yuan, Yuan"}],"nameIdentifiers":[{"nameIdentifier":"96994","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96995","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Thompson, Mark A."}],"nameIdentifiers":[{"nameIdentifier":"96996","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Multivariate","subitem_subject_scheme":"Other"},{"subitem_subject":"shocks","subitem_subject_scheme":"Other"},{"subitem_subject":"volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"correlation","subitem_subject_scheme":"Other"},{"subitem_subject":"dependency","subitem_subject_scheme":"Other"},{"subitem_subject":"interdependency","subitem_subject_scheme":"Other"},{"subitem_subject":"precious metals","subitem_subject_scheme":"Other"},{"subitem_subject":"exchange rates","subitem_subject_scheme":"Other"},{"subitem_subject":"hedging","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classifications: C32, G10","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42142","relation_version_is_last":true,"title":["Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:23.890935+00:00"}