After a long lacklustre period during the 1980s and 1990s, the price of gold has picked up significantly since the new millennium, and central banks, after having steadily reduced their allocation to gold, have resumed their gold purchases. This has been particularly the case for emerging central banks, which have benefited from a strong increase in their reserves and have been willing to diversify away from the US dollar, reflecting the emergence of a multipolar world and the impact of the global financial crisis. As a result, in 2018, gold represented about 13% of global central bank reserves, with very strong dispersion between developed central banks, historically heavily invested in gold, and emerging central banks, with much more modest holdings, but often rising exposure.

Attraction to gold is explained by a number of well-known properties. Gold prices are negatively correlated with real interest rates as well as trends in the US dollar, illustrating in the latter case the role of gold as a form of substitute to the US currency. It also often plays a safe-haven role during crises, and displays positive sensitivity to inflation; we show that the relationship is actually more significant with inflation volatility.