publication . Article . Preprint . Report . 2013

Gold Returns

Robert Barro; Sanjay Misra;
  • Published: 01 Feb 2013 Journal: The Economic Journal, volume 126, pages 1,293-1,317 (issn: 0013-0133, Copyright policy)
  • Publisher: Oxford University Press (OUP)
From 1836 to 2011, the average real rate of price change for gold in the United States is 1.1% per year and the standard deviation is 13.1%, implying a one-standard-deviation confidence band for the mean of (0.1%, 2.1%). The covariances of gold's real rate of price change with consumption and GDP growth rates are small and statistically insignificantly different from zero. These negligible covariances suggest that gold's expected real rate of return--which includes an unobserved dividend yield--would be close to the risk-free rate, estimated to be around 1%. We study these properties within an asset-pricing model in which ordinary consumption and gold services a...
Medical Subject Headings: health care economics and organizations
free text keywords: jel:E44, jel:G12, jel:N20

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publication . Article . Preprint . Report . 2013

Gold Returns

Robert Barro; Sanjay Misra;