Template-type: ReDIF-Article 1.0
Author-Name: Alexei Deviatov
Author-Email: deviatov@list.ru
Author-Workplace-Name: Russian Presidential Academy of National Economy and Public Administration
Title: Estimating à Cagan-type Demand Function for Gold: 1561-1913
Abstract: Long time series on gold production and the value of gold, taken from Jastram's book The Golden Constant, are used to estimate à Cagan-type demand function that relates the total real value of gold to its expected rate of return. The model assumes that gold production and à 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 à great deal relative to the expected return and depends on it negatively, rather than positively.
Classification-JEL: E41
Keywords: gold, Cagan demand function, estimation
Journal: Russian Journal of Money and Finance
Pages: 122-136
Volume: 78
Issue: 3
Year: 2019
Month: September
DOI: 10.31477/rjmf.201903.122
File-URL: https://rjmf.econs.online/upload/iblock/d79/MF_78-03-EN_Deviatov.pdf
Handle: RePEc:bkr:journl:v:78:y:2019:i:3:p:122-136