Macroeconomic information, global economic policy uncertainty and gold futures return predictability

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.