Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172870
Authors: 
Nguyen, Duc Binh Benno
Prokopczuk, Marcel
Wese Simen, Chardin
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) No. 616
Abstract: 
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.
Subjects: 
Jump Risk
Tail Risk
Safe Haven
Hedge
Gold
JEL: 
G01
G10
G11
Q02
Document Type: 
Working Paper

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