Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions

摘要

In this study, I apply a quantile regression model to investigate how gold returns respond tochanges in various financial indicators. The model quantifies the asymmetric response of gold returnin the tails of the distribution based on weekly data over the past 30 years. I conducted a statisticaltest that allows for multiple structural changes and find that the relationship between gold returnand some key financial indicators changed three times throughout the sample period. According tomy empirical analysis of the whole sample period, I find that: (1) the gold return rises significantlyif stock returns fall sharply; (2) it rises as the stock market volatility increases; (3) it also rises whengeneral financial market conditions tighten; (4) gold and crude oil prices generally move towardthe same direction; and (5) gold and the US dollar have an almost constant negative correlation.Looking at each sample period, (1) and (2) are remarkable in the period covering the global financialcrisis (GFC), suggesting that investors divested from stocks as a risky asset. On the other hand, (3) isa phenomenon observed during the sample period after the GFC, suggesting that it reflects investors’behavior of flight to quality.