Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach
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- 作者：Thi Hong Van Hoanga ; thv.hoang@montpellier-bs.com" class="auth_mail" title="E-mail the corresponding author ; Amine Lahianib ; amine.lahiani@univ-orleans.fr" class="auth_mail" title="E-mail the corresponding author ; David Hellerc ; dheller@iscparis.fr" class="auth_mail" title="E-mail the corresponding author
- 关键词：Gold ; Inflation ; Nonlinear autoregressive distributed lags model (NARDL) ; GARCH structural break unit root test ; Data frequency effect
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：April 2016
- 年：2016
- 卷：54
- 期：Complete
- 页码：54-66
- 全文大小：836 K
文摘
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Considering the nonlinearity, short-run and long-run asymmetries, we study gold as an inflation hedge in China, France, India, UK and USA.
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Using local gold prices, we show that gold is not an inflation hedge in the long run in these countries.
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In the short run, gold helps to hedge against inflation only in UK, USA and India.
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There is no long-run equilibrium between gold prices and the CPI in small and emerging gold markets such as France, China and India.
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The time frequency of data does not impact the NARDL model specification but can impact the role of gold as an inflation hedge in certain gold markets.