Macroeconomic information, global economic policy uncertainty and gold futures return predictability

Fanchao Yu

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: This study investigates the impacts of the macroeconomic variables and global economic policy uncertainty (GEPU) on gold futures return predictability using a simple regression. We find that few macroeconomic variables (e.g., inflation) can significantly have impact on gold futures excess returns. Out-of-sample results indicate that inflation can increase the forecast accuracy compared to other strategies, even during the COVID-19, two- and three-month ahead forecasts. However, the GEPU index is useless to predict the gold futures returns in various conditions and formulations.

Keywords: Gold futures excess returns; Macroeconomic variables; Global economic policy uncertainty; Out-of-sample evaluation (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323001629

DOI: 10.1016/j.frl.2023.103789

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