Gold Returns

25 Pages Posted: 28 Jul 2016

See all articles by Robert J. Barro

Robert J. Barro

Harvard University - Department of Economics; National Bureau of Economic Research (NBER)

Sanjay Misra

The Greatest Good

Multiple version iconThere are 2 versions of this paper

Date Written: August 2016


From 1836 to 2011, gold's average annual real rate of price change is 1.1%, with a standard deviation of 13.1% and a negligible covariance with consumption growth. Because gold does not serve as a hedge against macroeconomic declines, its expected real rate of return should be close to the risk‐free rate of around 1%. These properties fit an asset‐pricing model with rare disasters and a high elasticity of substitution between gold services and ordinary consumption. In this scenario, gold's expected rate of return corresponds mostly to the unobserved dividend yield, with a small part comprising expected real price appreciation.

Suggested Citation

Barro, Robert J. and Misra, Sanjay, Gold Returns (August 2016). The Economic Journal, Vol. 126, Issue 594, pp. 1293-1317, 2016. Available at SSRN: or

Robert J. Barro (Contact Author)

Harvard University - Department of Economics ( email )

Littauer Center
Cambridge, MA 02138
United States
617-495-3203 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Sanjay Misra

The Greatest Good ( email )

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Suite 4900
Chicago, IL 60606
United States

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