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Facts and Fantasies about Gold

Author

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  • Klement, Joachim

Abstract

Due to the increasing popularity of gold as an investment the demand for effective risk management techniques for gold investments has increased as well. In this paper we analyze several drivers of the price of gold that have been proposed in the past. Our analysis indicates that short-term volatility of the price of gold remains rather unpredictable with many of the explanations like the fund flows in physical gold ETF either unreliable or unstable over time. Our analysis suggests that there is a stable non-linear relationship between the price of gold and changes in inflation rates or real interest rates that might be exploited for risk management purposes.

Suggested Citation

  • Klement, Joachim, 2015. "Facts and Fantasies about Gold," MPRA Paper 64590, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:64590
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    References listed on IDEAS

    as
    1. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    2. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    3. Claude B. Erb & Campbell R. Harvey, 2013. "The Golden Dilemma," NBER Working Papers 18706, National Bureau of Economic Research, Inc.
    4. Dirk G Baur & Kristoffer Glover, 2012. "The Destruction of a Safe Haven Asset?," Working Paper Series 174, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Gold; Inflation; Real Interest Rates; VIX; US Dollar; ETF Fund Flows;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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