Gold Returns

Bibliographic Data

ID9714790
AuthorsRobert J Barros (0000-0003-3761-827X, Harvard University Press), Robert J Barro (Harvard University), Sanjay Misra (0000-0002-3556-9331, Harvard University)
Year2016
Volume126
Issue594
Pages1293-1317
Publication date2016-08-01
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueThe Economic Journal (JOURNAL)
Journal identifiersISSN: 0013-0133 • E-ISSN: 1468-0297
PublisherOxford University Press (OUP) (PUBLISHER)
DOI10.1111/ecoj.12274
OpenAlexW4249543696
LanguageEN
Citations received3
References cited26

From 1836 to 2011, gold's average annual real rate of price change is 1.1%, with a standard deviation of 13.1% and a negligible covariance with consumption growth. Because gold does not serve as a hedge against macroeconomic declines, its expected real rate of return should be close to the risk‐free rate of around 1%. These properties fit an asset‐pricing model with rare disasters and a high elasticity of substitution between gold services and ordinary consumption. In this scenario, gold's expected rate of return corresponds mostly to the unobserved dividend yield, with a small part comprising expected real price appreciation

Asset (computer security · Capital asset pricing model · Consumption (sociology · Covariance · Econometrics · Economics · Financial economics · Hedge · Monetary economics · Rate of return · Standard deviation · Statistics · Finance · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact

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