Table 1.
Descriptive statistics (on gold returns and inflation).
| China | India | Japan | France | UK | USA | |
|---|---|---|---|---|---|---|
| Gold returns | ||||||
| Mean | 11.34% | 16.59% | 6.47% | 8.07% | 7.23% | 6.43% |
| SD | 22.77% | 17.59% | 16.57% | 18.01% | 19.27% | 19.06% |
| Min | − 224.59% 07/2011 |
− 140.36% 10/2008 |
− 298.60% 10/2008 |
− 248.89% 10/1981 |
− 221.52% 03/1980 |
− 268.45% 03/1980 |
| Max | 571.81% 08/2011 |
183.53% 08/2011 |
161.62% 02/2009 |
513.56% 12/1979 |
347.20% 09/1979 |
330.47% 01/1980 |
| Skewness | 2.15 | 0.18 | − 0.60 | 1.92 | 0.82 | 0.65 |
| Kurtosis (excess) | 17.29 | − 0.01 | 3.07 | 12.84 | 3.56 | 4.14 |
| KS | 0.09⁎⁎⁎ | 0.04 | 0.07⁎⁎⁎ | 0.13⁎⁎⁎ | 0.07⁎⁎⁎ | 0.07⁎⁎⁎ |
| Inflation | ||||||
| Mean | 3.00% | 8.26% | 0.21% | 4.34% | 3.93% | 3.45% |
| SD | 2.21% | 2.91% | 1.20% | 1.54% | 1.89% | 1.13% |
| Min | − 14.40% 06/2003 |
− 19.75% 12/2013 |
− 10.49% 11/2008 |
− 13.27% 07/1955 |
− 11.61% 01/2000 |
− 21.25% 11/2008 |
| Max | 31.20% 02/2008 |
54.90% 07/2009 |
24.95% 04/2014 |
41.04% 01/1958 |
51.91% 07/1979 |
17.17% 01/1980 |
| Skewness | 0.65 | 0.52 | 1.51 | 1.07 | 2.21 | − 0.03 |
| Kurtosis (excess) | 1.22 | 3.68 | 8.02 | 4.57 | 12.16 | 5.18 |
| KS | 0.08⁎⁎⁎ | 0.12⁎⁎⁎ | 0.11⁎⁎⁎ | 0.09⁎⁎⁎ | 0.14⁎⁎⁎ | 0.12⁎⁎⁎ |
Notes: Gold returns and inflation are calculated by the log variations of gold prices and CPI. Mean and s.d. (standard deviation) are in annualized values, estimated by multiplying the monthly values by 12 and respectively. KS (Kolmogorov–Smirnov) is a test for the normality of the distribution in which ⁎⁎⁎, ⁎⁎, ⁎ mean that it is not normal at the 1%, 5% and 10% levels, respectively.