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

Neil Wallace and Alexei Deviatov ()
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Neil Wallace: Pennsylvania State University

No 345, 2007 Meeting Papers from Society for Economic Dynamics

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.

Date: 2007
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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 (2006)
Working Paper: Estimating a Cagan-type demand function for gold: 1561-1913 (2006)
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