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Explanatory mining for gold: Contrasting evidence from simple and multiple regressions

Authors
Journal
Resources Policy
0301-4207
Publisher
Elsevier
Publication Date
Volume
36
Issue
3
Identifiers
DOI: 10.1016/j.resourpol.2011.03.003
Keywords
  • Gold
  • Store Of Value
  • Inflation Hedge
  • Exchange Rate
  • Safe Haven
  • Uncertainty
  • Cost Of Carry
Disciplines
  • Economics

Abstract

Abstract Gold traditionally has been used as a store of value and an inflation hedge. More recently, gold is also viewed as a hedge against uncertainty and a safe haven. This paper demonstrates that many properties regularly associated with gold are only valid in a simple regression framework but significantly change in a multiple regression framework. A descriptive and econometric analysis of gold and US economic and financial variables for monthly data from 1979 to 2011 shows that gold primarily serves as a hedge against a weaker US dollar and against higher commodity prices. In contrast, gold is not a hedge against consumer price inflation. The empirical results also indicate that gold only recently evolved as a safe haven asset.

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