원문정보
초록
영어
Gold has similar characteristics with other commodity assets as raw material but at the same time has unique characteristics as a safe-haven asset in crisis periods. From this perspective, the relative value of gold may contain important information about investors’ expectations for future global financial markets. In this study, we comprehensively examine the information content of the relative value of gold. Notably, the Gold-to-Copper ratio demonstrates robust predictive power for short-term (from 3-month to 12-month) stock returns across numerous developed countries and global markets. We evaluate its performance under diverse economic conditions, highlighting heightened predictability during recessions. Additionally, we probe the role of copper price in shaping this relationship, revealing its influence even during economic expansions. Rigorous tests substantiate the Gold-Copper ratio’s consistent predictive capability across various scenarios, leading to significant economic gains.
목차
1. Introduction
2. Theoretical Background of Gold Price
3. Data
3.1. Relative Value of Gold as a Return Predictor
3.2 Global Stock Market Data
4. Main Results
4.1. Predictive Regression of Gold Ratios to Excess Stock Returns
4.2. Conditioning on Economic Conditions: The Safe-haven Property of Gold
4.3. Discussion: The Role of Copper
5. Robustness Checks
5.1. Controlling Alternative U.S. Market-Based Predictors
5.2. Controlling Alternative Local Market Predictors
5.3. Out-of-Sample Performance
5.4. Asset Allocation Analysis
6. Conclusion
Reference
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