Predicting Gold Price using the PTR Model

Abstract

This study aimed to investigate the nonlinear relationship between independent variables (inflation rate, interest rates and exchange rate) in Syria, using panel data analysis. The study estimated the inflation threshold and the interest rates for the period from 2011 to 2023, in order to understand how these thresholds, affect the prices of 21 karat gold grams. The number of potential thresholds in the model was determined, then the homogeneity of the cross-sectional time series data was verified using the Hsiao test, then study the stationarity of the panel using the Augmented Dickey-Fuller (ADF) test and the Phillips-Perron (PP) test, and their significance was tested. Within the framework of these results, the Panel Threshold Regression (PTR) model was estimated. The study found that the inflation threshold was 0.17%, the threshold for long-term loan interest rates was 12.66%, the threshold for medium-term loan interest rates was 13.54% and the threshold for exchange rate was 436.5. The results indicated a significant negative effect of the exchange rate and positive effect of the inflation threshold on the prices of gold grams both before and after the threshold level.