Stats › Devises et matières premières › Gold and real rates
Gold tracks the real yield at a correlation of -0.82, and the dollar at a beta of only -0.15
| Currency against the dollar | Gold beta | Correlation | R squared |
|---|---|---|---|
| Swiss franc | -0.24 | -0.39 | 15.0% |
| Deutsche mark spliced with euro | -0.21 | -0.37 | 13.9% |
| New Zealand dollar | -0.17 | -0.26 | 6.7% |
| Australian dollar | -0.16 | -0.27 | 7.4% |
| Sterling | -0.15 | -0.28 | 7.8% |
| Yen japonais | -0.14 | -0.25 | 6.3% |
| dollar canadien | -0.09 | -0.26 | 6.6% |
Regressions of gold returns on individual currency returns against the dollar, nominal rates, 1975 to 2012. The t statistics printed in the source are -5.95, -5.62, -8.47, -5.46, -5.63, -8.85 and -6.12, but the extracted row carries seven values for eight columns, so they are reported here as a range of large negative values rather than mapped to individual currencies.
The real gold price correlates -0.82 with the ten year inflation indexed yield over 1997 to 2012. Against individual currencies the average gold beta is about -0.15, significantly different from both zero and minus one, with r squared of six to fifteen per cent.
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