Gold's Value as an Investment

• 成果类型: Article
• 署名作者: Jermann, Urban J.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae076
• 发表日期: 2024
• 页码: 422
• 关键词: term structure; equilibrium; MODEL; premium; bubbles

摘要

This paper presents an approach for pricing gold from investors' perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences. When fitted to match 10-year real U.S. Treasury rates, the model can replicate the salient fluctuations in the time series of gold prices since 2007. The model is also able to capture key patterns of CME Comex gold futures prices. The model implies that the majority of the value of gold is due to its role as an investment asse