Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty

Afees Salisu, Rangan Gupta, Sayar Karmakar and Sonali Das

Resources Policy, 2022, vol. 75, issue C

Abstract: In this paper, we develop a proxy for global uncertainty based on the volatility of gold market over the annual periods from 1311 to 2019, and then use this proxy metric to forecast historical growth-rates for eight advanced economies, namely, France, Germany, Holland, Italy, Japan, Spain, the United Kingdom (UK), and the United States (US). We find that for the within-sample period, uncertainty negatively impacts output growth, but more importantly, over the out-of-sample period, gold market volatility produces statistically significant forecasting gains. Our findings are also robust to an alternative measure of uncertainty based on the volatility of the changes in long-term sovereign real-rates over the period 1315–2019. These historical results have important implications for investors and policymakers in the current context in which high frequency gold-price data are available.

Keywords: Historical output growth; Advanced economies; Gold market volatility; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 E32 Q02 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty (2021)
Working Paper: Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005341

DOI: 10.1016/j.resourpol.2021.102527

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