This study investigates the impacts of the macroeconomic variables and global economic policy uncertainty (GEPU) on gold futures return predictability using a simple regression. We find that few macroeconomic variables (e.g., inflation) can significantly have impact on gold futures excess returns. Out-of-sample results indicate that inflation can increase the forecast accuracy compared to other strategies, even during the COVID-19, two- and three-month ahead forecasts. However, the GEPU index is useless to predict the gold futures returns in various conditions and formulations.

中文翻译：

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宏观经济信息、全球经济政策不确定性与黄金期货收益预测


本研究使用简单回归研究了宏观经济变量和全球经济政策不确定性（GEPU）对黄金期货收益可预测性的影响。我们发现很少有宏观经济变量（例如通货膨胀）会对黄金期货超额收益产生显着影响。样本外结果表明，与其他策略相比，即使在 COVID-19 期间、未来两个月和三个月的预测中，通货膨胀也可以提高预测准确性。然而，GEPU 指数无法预测各种条件和配方下的黄金期货收益。