Gold returns

• Autores: Robert J. Barro, Sanjay Misra
• Localización: Economic journal, ISSN 0013-0133, Vol. 126, Nº 594, 2016, págs. 1293-1317
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • From 1836 to 2011, gold's average annual real rate of price change is 1.1%, with a standard deviation of 13.1% and a negligible covariance with consumption growth. Because gold does not serve as a hedge against macroeconomic declines, its expected real rate of return should be close to the risk-free rate of around 1%. These properties fit an asset-pricing model with rare disasters and a high elasticity of substitution between gold services and ordinary consumption. In this scenario, gold's expected rate of return corresponds mostly to the unobserved dividend yield, with a small part comprising expected real price appreciation