Climate Risks and Real Gold Returns over 750 Years

Rangan Gupta, Anandamayee Majumdar (), Christian Pierdzioch and Onur Polat ()
Additional contact information
Anandamayee Majumdar: Department of Mathematics, San Francisco State University, California, USA
Onur Polat: Department of Public Finance, Bilecik Seyh Edebali University, Bilecik, Turkiye

No 202436, Working Papers from University of Pretoria, Department of Economics

Abstract: Using data that cover the annual period from 1258 to 2023, we studied the link between real gold returns and climate risks. We document a positive contemporaneous link and a negative predictive link. Our findings further show that the predictive link gave rise historically to significant out-of-sample forecasting gains. The positive contemporaneous link is consistent with the view that investors viewed gold as a safe haven in times of elevated climate risks. The negative predictive link, in turn, is consistent with an overshooting scenario in which the real gold price overshoots in response to climate risks only to return subsequently to a lower value. Our findings carry important implications for investors and policymakers, given that our analyses covers the longest possible data sample involving the gold market, and hence, is independent of any sample-selection bias.

Keywords: Gold prices; Climate risks; Predictions (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 Q31 Q54 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2024-08
New Economics Papers: this item is included in nep-fdg, nep-his and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Climate Risks and Real Gold Returns over 750 Years (2024)
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:pre:wpaper:202436

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().