Estimating a Cagan-type demand function for gold: 1561-1913

Alexei Deviatov () and Neil Wallace ()
Additional contact information
Neil Wallace: Pennsylvania State University

No w0080, Working Papers from New Economic School (NES)

Abstract: Long times series on production of gold and the value of gold, taken from Jastram’s book The Golden Constant, are used to estimate a Cagan-type demand function that relates the real total value of gold to its expected rate of return. The model assumes that gold production and a latent scale variable (income or consumption) are jointly exogenous and that the data are measured with error. The data reject the model: the estimates imply that the real value of gold varies a great deal relative to the expected return and depends negatively, rather than positively, on the expected return.

Keywords: gold; Cagan demand function; estimation (search for similar items in EconPapers)
JEL-codes: E41 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2006-08
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https://www.nes.ru/files/Preprints-resh/WP80Deviatov.pdf (application/pdf)

Related works:
Journal Article: Estimating à Cagan-type Demand Function for Gold: 1561-1913 (2019)
Working Paper: Estimating a Cagan-type demand function for gold: 1561-1913 (2007)
Working Paper: Estimating a Cagan-type demand function for gold: 1561-1913 (2006)
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