Details
| Original language | English |
|---|---|
| Pages (from-to) | 140-159 |
| Number of pages | 20 |
| Journal | Journal of International Money and Finance |
| Volume | 94 |
| Early online date | 13 Feb 2019 |
| Publication status | Published - Jun 2019 |
Abstract
This paper examines the properties of the gold risk premium. We estimate a parsimonious model for the gold risk premium and uncover important time variations in the dynamics of the risk premium. We also estimate the risk premia of the stock and bond markets and investigate their co-movements. The results show that the co-movements of expected gold returns with expected returns of stocks and bonds are positive, while co-movements of realized returns are zero or negative on average. This results holds not only during normal market periods, but also in times of market stress. Furthermore, we find no significant co-movement of expected and realized returns of gold with inflation.
Keywords
- Gold, Hedge, Inflation, Safe haven
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of International Money and Finance, Vol. 94, 06.2019, p. 140-159.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - The risk premium of gold
AU - Nguyen, Duc Binh Benno
AU - Prokopczuk, Marcel
AU - Wese Simen, Chardin
PY - 2019/6
Y1 - 2019/6
N2 - This paper examines the properties of the gold risk premium. We estimate a parsimonious model for the gold risk premium and uncover important time variations in the dynamics of the risk premium. We also estimate the risk premia of the stock and bond markets and investigate their co-movements. The results show that the co-movements of expected gold returns with expected returns of stocks and bonds are positive, while co-movements of realized returns are zero or negative on average. This results holds not only during normal market periods, but also in times of market stress. Furthermore, we find no significant co-movement of expected and realized returns of gold with inflation.
AB - This paper examines the properties of the gold risk premium. We estimate a parsimonious model for the gold risk premium and uncover important time variations in the dynamics of the risk premium. We also estimate the risk premia of the stock and bond markets and investigate their co-movements. The results show that the co-movements of expected gold returns with expected returns of stocks and bonds are positive, while co-movements of realized returns are zero or negative on average. This results holds not only during normal market periods, but also in times of market stress. Furthermore, we find no significant co-movement of expected and realized returns of gold with inflation.
KW - Gold
KW - Hedge
KW - Inflation
KW - Safe haven
UR - http://www.scopus.com/inward/record.url?scp=85062400572&partnerID=8YFLogxK
U2 - 10.1016/j.jimonfin.2019.02.011
DO - 10.1016/j.jimonfin.2019.02.011
M3 - Article
AN - SCOPUS:85062400572
VL - 94
SP - 140
EP - 159
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
SN - 0261-5606
ER -