Gold and inflation(s) - a time-varying relationship

Lucey, BM, Sharma, Susan and Vigne, SA 2017, Gold and inflation(s) - a time-varying relationship, Economic modelling, vol. 67, pp. 88-101, doi: 10.1016/j.econmod.2016.10.008.

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Title Gold and inflation(s) - a time-varying relationship
Author(s) Lucey, BM
Sharma, SusanORCID iD for Sharma, Susan
Vigne, SA
Journal name Economic modelling
Volume number 67
Start page 88
End page 101
Total pages 14
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2017-12
ISSN 0264-9993
Keyword(s) Gold
money supply
Time-varying cointegration
Social Sciences
Business & Economics
Summary What is the relationship between the price of gold and inflation? How stable is it - over time and across measures of inflation? We examine this for three countries (the USA, the UK and Japan) over forty years and failure of rejecting the null-unit root hypothesis at with a variety of medicate statistical significance aasures of inflation and monetary liquidity. We apply a formal test for time variation and proceed to extract time varying cointegration relationships. Both formal and graphical evidence points to a break in the relationship(s) of gold and official inflation in the mid 1990s in the USA but to less clear results for the UK and Japan. However, gold seems to have offered a protection against an increase in money supply throughout nearly the entire past 40 year period in the US and the UK but failed to do so in Japan. Supporting previous findings we find evidence for a time-varying relationship in cointegration between gold and both predicted and realized inflation in nearly all cases. Contrasting multiple inflation indicators, we find evidence for the importance of money supply in the gold/inflation relationship.
Language eng
DOI 10.1016/j.econmod.2016.10.008
Field of Research 150202 Financial Econometrics
1402 Applied Economics
1403 Econometrics
1502 Banking, Finance And Investment
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2016, Elsevier
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Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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