The Interaction between Gold, Oil and Dollar-Further Discussion Based on Quantile Regression
the interaction between different futures markets will frequently change because of some economical and political events. So we divide the period between 1985 and 2009 into three stages: 1985～1993, 1994～ 2000 and 2000～2009, according to the events that a lot of nations sold their gold reserves in 1994 and many countries started to build the strategic oil reserve system after the terrorist attacks on September 11, 2001.we adopt quantile regression to make empirical analysis of the relationship of Gold, Oil and Dollar which is called G.O.D. It is found that from 1985 to 1993 and from 1994 to 2000, the real relationship of G.O.D has not yet formed. However, after building the strategic oil reserve system in 2001, the significant positive correlation shows between oil and gold, and the significant negative correlation shows between oil and U.S dollar, which implies the relationship of G.O.D becomes stable. Meanwhile, the quantile regression results indicate that, the interaction of G.O.D will greatly strengthen as the price of gold, oil or dollar become much lower or higher.
Gold Oil Dollar Correlation Quantile regression
Yingjun Lou Lin Zeng
School of Finance Zhejiang Gongshang University Hangzhou, China School of Zhang nai qi Zhejiang Gongshang University Hangzhou, China
国际会议
杭州
英文
271-275
2010-10-21（万方平台首次上网日期，不代表论文的发表时间）