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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
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Working Paper: The Risk Premium of Gold (2017) Downloads
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DOI: 10.1016/j.jimonfin.2019.02.011

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