Gold’s Value as an Investment

Urban Jermann

The Review of Financial Studies, 2025, vol. 38, issue 2, 422-456

Abstract: This paper presents an approach for pricing gold from investors’ perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences. When fitted to match 10-year real U.S. Treasury rates, the model can replicate the salient fluctuations in the time series of gold prices since 2007. The model is also able to capture key patterns of CME Comex gold futures prices. The model implies that the majority of the value of gold is due to its role as an investment asset.

Keywords: G12; G13 (search for similar items in EconPapers)
Date: 2025
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