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 ()
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Sayar Karmakar: Department of Statistics, University of Florida, 230 Newell Drive, Gainesville, FL 32601, USA
Sonali Das: Department of Business Management, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa

No 202133, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper we develop a proxy for global uncertainty based on the volatility of gold market over the annual period of 1311 to 2019, and then use this proxy metric to forecast historical growthrates for eight advance 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 robust to an alternative measure of uncertainty based on the volatility of the changes in long-term sovereign real-rates over 1315 to 2019. These historical results have important implications for investors and policymakers in the current context in which high frequency gold price data is available.

Keywords: Historical output growth; advance economies; gold market volatility; forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 E32 Q02 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2021-05
New Economics Papers: this item is included in nep-for, nep-his, nep-int and nep-mac
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty (2022)
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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