Gold Returns

• 成果类型: Article
• 署名作者: Barro, Robert J.; Misra, Sanjay
• 署名单位: Harvard University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12274
• 发表日期: 2016
• 页码: 1293-1317
• 关键词: rare disasters; asset prices; consumption; MARKETS

摘要

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.