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 with a variety of measures 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.

Gold and inflation(s) - A time-varying relationship / Lucey, B. M.; Sharma, S. S.; Vigne, Samuel Alexandre. - In: ECONOMIC MODELLING. - ISSN 0264-9993. - 67:(2017), pp. 88-101. [10.1016/j.econmod.2016.10.008]

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

Vigne, S. A.
2017

Abstract

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 with a variety of measures 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.
2017
Gold, Inflation, Money supply, Cointegration, Time-varying cointegration
Gold and inflation(s) - A time-varying relationship / Lucey, B. M.; Sharma, S. S.; Vigne, Samuel Alexandre. - In: ECONOMIC MODELLING. - ISSN 0264-9993. - 67:(2017), pp. 88-101. [10.1016/j.econmod.2016.10.008]
File in questo prodotto:
File Dimensione Formato  
1-s2.0-S0264999316305740-main.pdf

Solo gestori archivio

Tipologia: Versione dell'editore
Licenza: Tutti i diritti riservati
Dimensione 1.06 MB
Formato Adobe PDF
1.06 MB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/222579
Citazioni
  • Scopus 60
  • ???jsp.display-item.citation.isi??? 55
social impact