The risk premium of gold

Arbeitspapier

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 risk premia of the stock and bond markets, and investigate the role of gold as a hedge and safe haven asset from an ex-ante point of view. The results show that gold is not expected to serve as hedge and safe haven for the bond and stock markets, but it is so realized ex-post. Further, we find that gold is neither expected to be an inflation hedge nor is it realized.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Hannover Economic Papers (HEP) ; No. 616

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; General Financial Markets: General (includes Measurement and Data) ; Portfolio Choice; Investment Decisions ; Commodity Markets
• Thema: Jump Risk ; Tail Risk ; Safe Haven ; Hedge ; Gold

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Nguyen, Duc Binh Benno ; Prokopczuk, Marcel ; Wese Simen, Chardin
• Ereignis: Veröffentlichung
• (wer): Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
• (wo): Hannover
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/172870
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ