In this paper we perform a theoretical and econometric analysis of the fundamental drivers of gold. We demonstrate that gold is significantly influenced by inflation changes, interest rates, currency changes and central bank reserve policies. A key finding is that the influence of the drivers...

The volatility of equity returns generally exhibits an asymmetric reaction to positive and negative shocks. Economic explanations for this phenomenon are leverage and a volatility feedback effect. This paper studies the volatility of gold and demonstrates that there is an inverted asymmetric...

The literature on gold is dominated by empirical studies on its diversification, hedging, and safe haven properties. In contrast, the question “When to invest in gold?” is generally not analyzed in much detail. We test more than 4,000 seasonal, technical, and fundamental timing strategies...

Safe assets play an important economic role as a store of value. Remarkably, gold is generally not considered a safe asset despite the fact that both gold and government bonds are considered stores of value and both are risky in the short-run as highlighted recently by the Silicon Valley Bank...

What is the optimal weight of gold in an investment portfolio? Suggestions range from 0% to more than 20%, but there is no study that systematically investigates this issue. We analyze the gold holdings (gold ETFs) of institutional investors based on 13-F filings and find that 30% of all...