"That wouldn't be much different from what happens now. Most of the world's gold is in large repositories and the gold is leased for transactions. It never leaves the vault. All the trading is done in paper. Establish a Lunar Bank and hold it there.

It has been said that gold is a commodity that is mined only to be buried again. "

That is true.
I posted a similar thing but used Lunar iron as "gold reserves".
http://www.habitablezone.com/space/messages/550120.html

But my lunar Iron would be more secure and cost less to maintain.
As in it would cost a lot to destroy it. It cost more to move off the Moon [steal it] in the near term, then it's value. A govt would getting a very good value- something like being able to buy gold for less than $20 a troy oz. And though it would probably lower in value- iron could mined cheaper in the future. It's a hedge type deal.
And gold can be mined cheaper in the future [and has already compared to the past]- without even considering that NEOs in the future could be mined.
And finally what does it cost to guard gold reserves on Earth?
One cost is to look simply at the number of Mint police:
"The Mint Police is responsible for protecting over $100 billion in Treasury and other government assets stored in U.S. Mint facilities in Washington, D.C.; Philadelphia, Pennsylvania; Denver, Colorado; San Francisco, California; and Fort Knox. Daily, the Mint Police employs over 2,800 U.S. Mint employees, and guards over $100 billion in gold, silver and coins."
http://en.wikipedia.org/wiki/United_States_Mint_Police

That cost can be seen as the gold lowering in value, even if gold stays at it's current value or even if it goes up in price. Or if the cost to secure it, is 1% of the value, in hundred year you buy the all the gold again. And it could cost 2% or more of total assets they are guarding.