The golden dilemma

Financial Analysts Journal

Volumn 69, Issue 4, 2013, Pages 10-42

  Erb, Claude B ^a   Harvey, Campbell R ^b,c  

^a CFA ^*  (United States)

^b DUKE UNIVERSITY   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84883325180     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v69.n4.1     Document Type: Article

References (99)

1. Adkins, Lesley, and Roy A. Adkins. 1998. Handbook to Life in Ancient Rome. New York: Oxford University Press.
2. Anderson, Richard G., Robert H. Rasche, and Jeffrey Loesel. 2003. "A Reconstruction of the Federal Reserve Bank of St. Louis Adjusted Monetary Base and Reserves." Review (Federal Reserve Bank of St. Louis), vol. 85, no. 5 (September):39-70.
3. Arends, Brett. 2009. "What Price Suits Gold." Wall Street Journal (16 September).
4. Ash, Adrian. 2009. "The Golden Constant" (www.safehaven. com/article/15058/the-golden-constant).
5. Asness, Clifford S. 2003. "Fight the Fed Model." Journal of Portfolio Management, vol. 30, no. 1 (Fall):ll-24.
6. -. 2012. "An Old Friend: The Stock Market's Shiller P/E." Working paper, AQR (November).
7. Asness, Clifford S., Tobias J. Moskowitz, and Lasse Heje Pedersen. 2013. "Value and Momentum Everywhere." Journal of Finance, vol. 68, no. 3 (June):929-985.
8. Barro, Robert J., and Sanjay P. Misra. 2013. "Gold Returns." NBER Working Paper 18759 (February).
9. Barsky, Robert B., and Lawrence H. Summers. 1988. "Gibson's Paradox and the Gold Standard." Journal of Political Economy, vol. 96, no. 3 (June):528-550.
10. Batchelor, Roy, and David Gulley. 1995. "Jewellery Demand and the Price of Gold." Resources Policy, vol. 21, no. 1 (March):37-42.
11. Baur, Dirk G., and Brian Lucey. 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold." Financial Review, vol. 45, no. 2 (May):217-229.
12. Bekaert, Geert, and Xiaozheng Wang. 2010. "Inflation Risk and the Inflation Risk Premium." Economic Policy, vol. 25, no. 64 (0ctober):755-806.
13. Bernholz, Peter. 2006. Monetary Regimes and Inflation: History, Economic and Political Relations. Cheltenham, U.K.: Edward Elgar Publishing.
14. Bernstein, Peter. 2000. The Power of Gold: The History of an Obsession. New York: Wiley.
15. Black, Fischer. 1995. "Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios." Financial Analysts Journal, vol. 51, no. 1 (January/February):161-167.
16. Bordo, Michael D., and Finn E. Kydland. 1995. "The Gold Standard as a Rule: An Essay in Exploration." Explorations in Economic History, vol. 32, no. 4 (October):423-464.
17. Brenan, James M., and William F. McDonough. 2009. "Core Formation and Metal-Silicate Fractionation of Osmium and Iridium from Gold." Nature Geoscience, vol. 2:798-801.
18. Brodsky, Paul, and Lee Quaintance. 2009. "Trade of the Century?" (www.gata.org/files/QBAssetManagement-07-2009. pdf).
19. -. 2011. "Your Gold Teeth" (www.gata.org/files/ QBAMCO-YourGoldTeeth2-08-2011.pdf).
20. Buffett, Warren. 2011. CNBC interview (2 March): www.cnbc.com/id/ 41867379/CNBC-Buffett-Transcript-Part-2-The-Zebra-That-Got-Away.
21. -. 2012. "2011 Berkshire Hathaway Shareholder Letter" (www.berkshirehathaway.com/letters/20111tr.pdf).
22. Cagan, Philip. 1956. "The Monetary Dynamics of Hyperinflation." In Studies in the Quantity Theory of Money. Edited by Milton Friedman. Chicago: University of Chicago Press.
23. Campbell, John Y., and Robert J. Shiller. 2001. "Valuation Ratios and the Long-Run Stock Market Outlook: An Update." NBER Working Paper 8221 (April).
24. Cassidy, John. 2011. "Mastering the Machine." New Yorker (25 July): www.newyorker.com/reporting/2011/07/25/110725fa-fact-cassidy.
25. Christensen, Jens H.E., and James M. Gillan. 2011. "A Model-Independent Maximum Range for the Liquidity Correction of TIPS Yields." Federal Reserve Bank of San Francisco Working Paper 2011-16 (23 June).
26. Cox, Jeff. 2011. "'Very Muted Growth' Coming for Next 10 Years: Faber." CNBC (23 August).
27. Dalio, Ray. 2011. "A Template for Understanding What's Going On."
28. -. 2012. CNBC interview by Andrew Ross Sorkin (21 September).
29. DeLong, Bradford. 1996. "Why Not the Gold Standard?" (http://delong.typepad.com/sdj/why-not-the-gold-standard-talking-points-on-the- likely-consequences-of-re-establishment-of-a-gold-st.html).
30. -. 2011. "Gibson's Paradox and the Gold Boom" (http://delong.typepad.com/sdj/2011/09/gibsons-paradox-and-the-gold-boom.html).
31. -. 2012. "Campbell-Shiller Regressions: Future S&P Price Changes Regressed on Ratios of Prices to Long-Run Moving Averages of Past Earnings" (14 October): http://delong.type-pad.com/sdj/2012/10/campbell- shiiler-regressions-future-sp-price-changes-regressed-on-ratios-of-prices-to- long-run-moving-averages-of-past-earn.html.
32. Eichengreen, Barry, and Peter Temin. 2010. "Fetters of Gold and Paper." NBER Working Paper 16202 fluly).
33. Elfenbein, Eddy. 2012. "Reprise: The Elfenbein Gold Model" (5 April): www.crossingwallstreet.com/archives/2012/04/ reprise-the-elfenbein-gold- model.html.
34. Elwell, Craig K. 2011. "Brief History of the Gold Standard in the United States." Congressional Research Service (23 June).
35. Erb, Claude B., and Campbell R. Harvey. 2012a. "An Impressionist View of the 'Real' Price of Gold around the World." Working paper (18 September).
36. -. 2012b. "Sound Economic Policies Outweigh Big Gold Reserves." Shanghai Daily (2 November).
37. Evans-Pritchard, Ambrose. 2009. "Barrick Shuts Hedge Book as World Gold Supply Runs Out." Telegraph (11 November).
38. Fama, Eugene F., and Kenneth R. French. 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage." Journal of Business, vol. 60, no. 1 (January):55-73.
39. Fisher, Irving. 1928. The Money Illusion. New York: Adelphi Company.
40. Fleckenstein, Matthias, Francis A. Longstaff, and Hanno N. Lustig. Forthcoming. "The TIPS-Treasury Bond Puzzle." Journal of Finance.
41. Friedman, Milton. 1968. "Inflation: Causes and Consequences." Reprinted in Dollars and Deficits: Living with America's Economic Problems. Englewood Cliffs, NJ: Prentice Hall.
42. Goldsworthy, Adrian. 2003. The Complete Roman Army. London: Thames & Hudson.
43. Green, Timothy. 1999. "Central Bank Gold Reserves: An Historical Perspective since 1845." World Gold Council Research Study 23.
44. Greer, Robert J. 1997. "What Is an Asset Class, Anyway?" Journal of Portfolio Management, vol. 23, no. 2 (Winter):86-91.
45. Hanke, Steve H and Nicholas Krus. 2012. "World Hyperinflations. " Working paper, Cato Institute (15 August).
46. Hansen, Gary D., and Edward C. Prescott. 2002. "Malthus to Solow." American Economic Review, vol. 92, no. 4 (September):1205-1217.
47. Harmston, Stephen. 1998. "Gold as a Store of Value." World Gold Council Research Study 22 (November).
48. Ibbotson, Roger G., and Peng Chen. 2003. "Long-Run Stock Returns: Participating in the Real Economy." Financial Analysts Journal, vol. 59, no. 1 (January/February):88-98.
49. IMF. 1999. "Twelfth Meeting of the IMF Committee on Balance of Payment Statistics." Santiago, Chile (27-29 October).
50. Jastram, Roy W. 1978. The Golden Constant: The English and American Experience 1560-1976. New York: John Wiley & Sons.
51. Johnston, Louis D., and Samuel H. Williamson. 2011. "What Was the U.S. GDP Then?" MeasuringWorth.
52. Keynes, John Maynard. 1924. A Tract on Monetary Reform. London: Macmillan.
53. -. 1930. A Treatise on Money. London: Macmillan.
54. -. 1936. The General Theory of Employment, Interest and Money. London: Macmillan.
55. Krugman, Paul. 2011. "Treasuries, TIPS, and Gold (Wonkish)." New York Times (6 September).
56. Leinweber, David J. 2007. "Stupid Data Miner Tricks: Overfitting the S&P 500." Journal of Investing, vol. 16, no. 1 (Spring):15-22.
57. MacMullen, Ramsay. 1974. Roman Social Relations: 50 B.C. to A.D. 284. New Haven, CT: Yale University Press.
58. Madura, Liana. 2011. "IVA's de Vaulx: Gold Still Seems Underowned." Morningstar Advisor (16 September).
59. Malkiel, Burton G. 2003. "The Efficient Market Hypothesis and Its Critics." Journal of Economic Perspectives, vol. 17, no. 1 (Winter):59-82.
60. McGuire, Shayne. 2010. Hard Money: Taking Gold to a Higher Investment Level. Hoboken, NJ: Wiley.
61. McKinnon, Ronald 1.1993. "The Rules of the Game: International Money in Historical Perspective." Journal of Economic Literature, vol. 31, no. 1 (March):l-44.
62. Miller, John W. 2012. "Exhausting the Earth's Resources? Not So Fast." Wall Street Journal (5 June).
63. Mitchell, Wesley Clair. 1903. A History of the Greenbacks. Chicago: University of Chicago Press.
64. Montier, James. 2011. "A Value Investor's Perspective on Tail Risk Protection: An Ode to the Joy of Cash." White paper, GMO (June).
65. Nixon, Richard M. 1971. "Address to the Nation Outlining a New Economic Policy: 'The Challenge of Peace'" (15 August).
66. Norris, Floyd. 2010. "Strange Tales in the Land of No Return." New York Times (28 October).
67. Officer, Lawrence H. 2006. "What Was the Price of Gold Then? A Data Study." Working paper, University of Illinois at Chicago.
68. Or, Amy, and Matt Phillips. 2011. "Forget Gold. How About Gemstones?" Wall Street Journal (25 May).
69. Outlook Business. 2013. "Bargain Hunter: Howard Marks." Outlook India (2 February): http://business.outlookindia.com/ article.aspx?283882.
70. Paul, Ron, and Lewis Lehrman. 2007. The Case for Gold. Auburn, AL: Ludwig von Mises Institute.
71. Perold, Andre F. 2012. "Negative Real Interest Rates: The Conundrum for Investment and Spending Policies." Financial Analysts Journal, vol. 68, no. 2 (March/April):6-12.
72. Perold, Andrs F., and William F. Sharpe. 1995. "Dynamic Strategies for Asset Allocation." Financial Analysts Journal, vol. 51, no. 1 (January/February):149-160.
73. Polleschi, Ilaria. 2012. "Italian Caught at Swiss Border with 50 kg of Gold." Reuters (18 June).
74. Pukthuanthong, Kuntara, and Richard Roll. 2011. "Gold and the Dollar (and the Euro, Pound, and Yen)." Journal of Banking & Finance, vol. 35, no. 8 (August):2070-2083.
75. Regent, Aaron. 2011. "Investor Day Presentation" (www.barrick.com/files/doc-presentations/2011/ Barrick-Investor-Day-Transcript. pdf).
76. Rockwell, Llewellyn H. 2002. "Is the Gold Standard History?" (www.Iewrockwell.com/rockwell/goldstandard.html).
77. Roll, Richard. 1977. "A Critique of the Asset Pricing Theory's Tests Part I: On Past and Potential Testability of the Theory." Journal of Financial Economics, vol. 4, no. 2 (March):129-176.
78. Roth, Jean-Pierre. 1999. "A View on Switzerland in the Run Up to the Demonetization of Gold." 22nd Annual FT World Gold Conference, London (14 June).
79. Saad, Lydia. 2012. "Gold Still Americans' Top Pick among Long-Term Investments." Gallup (27 April).
80. Saxe, John Godfrey. 1872. "The Blind Men and the Elephant."
81. Schwartz, Anna J. 1987. Alternative Money Regimes: The Gold Standard. Chicago: University of Chicago Press.
82. Speidel, M. Alexander. 1992. "Roman Army Pay Scales." Journal of Roman Studies, vol. 82 (November):87-106.
83. Stoke-on-Trent Museums. 2013. "How Much Did Things Cost?"
84. Szabo, Tom. 2007. "Gold and Silver 'Leasing' Examined" (17 September): www.silveraxis.com/commentary/gold-silver-leasing.pdf.
85. Tversky, Amos, and Daniel Kahneman. 1971. "Belief in the Law of Small Numbers." Psychological Bulletin, vol. 76, no. 2 (August):105-110.
86. U.S. Federal Reserve Board. 1967. "Memorandum of Discussion" (12 December): www.federalreserve.gov/monetarypolicy/ files/fomcmodl9671212.pdf.
87. USGS. 2011. "Gold: Mineral Commodity Summaries." U.S. Geological Survey (http://minerals.usgs.gov/minerals/pubs/ commodity/gold/mcs- 2011-gold.pdf).
88. Von Mises, Ludwig. 1953. "Gold versus Paper." Freeman (13 July).
89. Wacher, John. 2002. The Roman World. London: Routledge.
90. Ward, Sandra. 2011. "Observing a Bipolar World." Barron's (12 March).
91. Whitehouse, David. 1999. "Gold Rush in Space?" BBC Online (22 July).
92. William of Malmesbury. 1847. Chronicle of the Kings of England from the Earliest Period to the Reign of King Stephen. London: Henry G. Bohn.
93. World Bank. 1994. "Brazil: An Assessment of the Private Sector." Research report (24 June).
94. World Gold Council. 2010a. "An Investor's Guide to the Gold Market (U.S. Edition)."
95. -. 2010b. "Gold: Hedging against Tail Risk."
96. -. 2012a. "About Gold."
97. -. 2012b. "Facts about Gold."
98. -. 2012c. "Latest World Official Reserves" (3 December).
99. Zhang, Zhouxiang. 2012. "Does China Need to Buy More Gold?" China Daily (9 October).