Climate Risks and Real Gold Returns over 750 Years
Using data that cover the annual period from 1258 to 2023, we studied the link between real gold returns and climate risks. We documented a positive contemporaneous link and a negative predictive link. Our findings further show that the predictive link historically gave rise to significant out-of-sample forecasting gains. The positive contemporaneous link is consistent with the view that investors viewed gold as a safe haven in times of elevated climate risks. The negative predictive link, in turn, is consistent with an overshooting scenario in which the real gold price overshot in response to climate risks, only to return subsequently to a lower value. Our findings should provide important implications for investors and policymakers, given that our analysis covered the longest possible data sample involving the gold market, and hence, was independent of any sample selection bias.
Authors
- Anandamayee Majumdar (ORCID: https://orcid.org/0000-0001-7793-4037)
- Rangan Gupta
- Onur Polat (ORCID: https://orcid.org/0000-0002-7170-4254)
- Christian Pierdzioch (ORCID: https://orcid.org/0000-0001-6887-7763)
Institutions
- Bilecik Şeyh Edebali Üniversitesi (TR)
- Helmut Schmidt University (DE)
- University of Pretoria (ZA)
- San Francisco State University (US)
Publication Details
- Journal
- Forecasting
- Published
- 2024-10-25
- DOI
- https://doi.org/10.3390/forecast6040047
- Citations
- 1
- Primary Topic
- Market Dynamics and Volatility
- Type
- article
- Field-Weighted Citation Impact
- 1.13