Topik Terkait
Ekonomi, Keuangan, Machine Learning
- The study evaluates whether gold is a suitable and effective portfolio asset for Indonesia, focusing on its roles as hedge, safe haven, and diversifier. It frames the question in an Indonesia-centric setting, so results translate into allocation policy and product design.
- A unified monthly dataset from CEIC and Bloomberg underpins the analysis. The study links drivers to returns with MIDAS and impulse responses, captures state dependence with dynamic correlations, and tests allocation with mean–variance portfolios.
- Rupiah depreciation and inflation provide the most reliable near-term support to IDR gold returns. Policy tightening strengthens gold with a lag, while crisis shocks produce short-lived safe-haven demand that fades as uncertainty is priced.
- Gold’s correlation with Indonesian government bonds clusters near zero across regimes, indicating diversification rather than overlap. Its correlation with equities is weak on average and turns more negative in stress, consistent with defensive behavior.
- Adding gold shifts the efficient frontier outward in two-asset and three-asset cases. The combination of gold, equities, and sovereign bonds delivers higher risk-adjusted performance with lower volatility for a given expected return.
- Indonesia should institutionalize gold as a strategic, rules-based allocation while expanding investable channels such as bullion banking, digital-gold platforms, and gold-backed ETFs, so that long-standing household preference for physical bullion is converted into liquid, transparent exposures that improve portfolio efficiency, support insurance and pension resilience, and deepen integration with global capital markets.
