Gold’s Value as an Investment
提出一个基于无套利原则的黄金定价模型，仅需匹配美国10年期国债利率即可复现2007年以来金价的主要波动，并解释黄金价值主要源于其投资资产属性。
Abstract This paper presents an approach for pricing gold from investors’ perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences. When fitted to match 10-year real U.S. Treasury rates, the model can replicate the salient fluctuations in the time series of gold prices since 2007. The model is also able to capture key patterns of CME Comex gold futures prices. The model implies that the majority of the value of gold is due to its role as an investment asset.