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Can consumer price index predict gold price returns?

Sharma, Susan 2016, Can consumer price index predict gold price returns?, Economic modelling, vol. 55, pp. 269-278, doi: 10.1016/j.econmod.2016.02.014.

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Title Can consumer price index predict gold price returns?
Author(s) Sharma, Susan
Journal name Economic modelling
Volume number 55
Start page 269
End page 278
Total pages 10
Publisher Elsevier
Place of publication Amsterdam ,The Netherlands
Publication date 2016-06-01
ISSN 0264-9993
Keyword(s) Gold price returns
CPI
In-sample
Out-of-sample
Predictability
Forecasting
Summary In this paper using data for 54 countries we test whether consumer price index (CPI) predicts gold price returns. Our test for predictability is based on a recently developed flexible generalised least squares estimator, which most importantly accommodates the endogeneity of CPI, its persistency and any heteroskedasticity in the model. We find limited evidence that CPI predicts gold price returns in in-sample tests; however, out-of-sample tests reveal relatively strong evidence that CPI predicts gold returns. These results are robust to different forecasting horizons. On the whole, we discover reasonable evidence that consumer prices predict gold price returns.
Language eng
DOI 10.1016/j.econmod.2016.02.014
Field of Research 150202 Financial Econometrics
140299 Applied Economics not elsewhere classified
140399 Econometrics not elsewhere classified
150299 Banking, Finance and Investment not elsewhere classified
Socio Economic Objective 970115 Expanding Knowledge in Commerce
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30085008

Document type: Journal Article
Collection: Faculty of Business and Law
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