Quantile Regression Model And Its Application In The Gold Market Analysis

Gold both financial and commodity two kinds of property, it is the national currencyreserves, is a personal financial assets investment tool. In twentieth Century70yearslater, the market price of gold, the dramatic change of the price, the price to$1900perounce in2011from$30per ounce in70decade. Since2011, the price of gold has alsorepeatedly price, the fluctuation of its price is always the focus of the parties. Becauseof the gold itself particularity and importance, many domestic and foreign experts andscholars has made many empirical and theoretical study on the gold price. In recentyears, the production and demand of gold in China are the forefront of the world, so thestudy on the influence factors of Chinese gold price has an important practical andtheoretical significance.Based on the analysis of scholars at home and abroad to explore the gold price factors,the paper use the quantile regression method to explore the impact of the crude oil price,the Dow Jones Index, the dollar exchange rate, the Shanghai Composite Index and theinterest rate on the domestic gold price. Empirical results indicate that the Dow JonesIndex and the dollar exchange rate are significantly negative correlation with the goldprice, and the effect is stable; The Shanghai Composite Index and the interest rate aresignificantly positive correlation with the gold price, but the volatility of interest rate isnot stable; and the effect of the crude oil price on gold price is unstable in the model;Unstable effects of the interest rate and the price of crude oil are in: the interest rate andthe crude oil price have strong effect on gold price when the gold price is higher orlower, but in general, their impact is relatively weak. Compared to the single result ofthe least square regression, the results using quantile regression can dig up moreinformation from historical data, so investors can know about the fluctuations of goldprice and make better decisions.