EconPapers    
Economics at your fingertips  
 

The risk premium of gold

Duc Binh Benno Nguyen, Marcel Prokopczuk () and Chardin Wese Simen

Journal of International Money and Finance, 2019, vol. 94, issue C, 140-159

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; Safe haven; Hedge; Inflation (search for similar items in EconPapers)
JEL-codes: G01 G10 G11 Q02 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560618302638
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The Risk Premium of Gold (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:94:y:2019:i:c:p:140-159

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-12-06
Handle: RePEc:eee:jimfin:v:94:y:2019:i:c:p:140-159