The risk premium of gold

Nguyen, D. B. B., Prokopczuk, M. and Wese Simen, C. (2019) The risk premium of gold. Journal of International Money and Finance, 94. pp. 140-159. ISSN 0261-5606 doi: 10.1016/j.jimonfin.2019.02.011

Abstract/Summary

This paper examines the properties of the gold risk premium. We estimate a parsimonious model for the gold risk premium and uncover important time variations in the dynamics of the risk premium. We also estimate the risk premia of the stock and bond markets and investigate their co-movements. The results show that the co-movements of expected gold returns with expected returns of stocks and bonds are positive, while co-movements of realized returns are zero or negative on average. This results holds not only during normal market periods, but also in times of market stress. Furthermore, we find no significant co-movement of expected and realized returns of gold with inflation.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/82170
Identification Number/DOI	10.1016/j.jimonfin.2019.02.011
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Elsevier
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