Non-Sovereign Stores of Value

30 Pages Posted: 22 Mar 2021 Last revised: 13 Oct 2022

See all articles by Urban J. Jermann

Urban J. Jermann

University of Pennsylvania - Finance Department; National Bureau of Economic Research (NBER)

Date Written: March 11, 2021


Investors buy non-sovereign stores of value such as gold and bitcoin despite the absence of a yield. This paper presents an equilibrium model for studying investor adoption and the pricing of non-sovereign stores of value. The model is used for the quantitative analysis of historical gold prices and real interest rates. Since 1975, the real price of gold has been negatively related to real rates on Treasuries, but only when real rates have been low. The model is consistent with this nonlinear relation and can match quantitative properties relating real interest rates and gold prices.

Keywords: Gold, Real interest rates, Bitcoin, Futures

JEL Classification: G12, G13

Suggested Citation

Jermann, Urban J., Non-Sovereign Stores of Value (March 11, 2021). Available at SSRN: or

Urban J. Jermann (Contact Author)

University of Pennsylvania - Finance Department ( email )

The Wharton School
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National Bureau of Economic Research (NBER)

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