Alexei Deviatov () (New Economic School) Neil Wallace () (Pennsylvania State University)
Abstract
Long times series on production of gold and the value of gold, taken from Jastram’s book The Golden Constant, are used to estimate a Cagan-type demand function that relates the real total value of gold to its expected rate of return. The model assumes that gold production and a latent scale variable (income or consumption) are jointly exogenous and that the data are measured with error. The data reject the model: the estimates imply that the real value of gold varies a great deal relative to the expected return and depends negatively, rather than positively, on the expected return.
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Publisher Info
Paper provided by Center for Economic and Financial Research (CEFIR) in its series Working Papers with number
w0080.
Length: 31 pages Date of creation: Aug 2006 Date of revision: Handle: RePEc:cfr:cefirw:w0080
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