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Gold as an inflation hedge?

Ghosh, Dipak and Levin, Eric J. and MacMillan, Peter and Wright, Robert E. (2004) Gold as an inflation hedge? Studies in Economics and Finance, 22 (1). pp. 1-25. ISSN 1086-7376

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    Abstract

    This paper attempts to reconcile an apparent contradiction between short-run and long-run movements in the price of gold. The theoretical model suggests a set of conditions under which the price of gold rises over time at the general rate of inflation and hence be an effective hedge against inflation. The model also demonstrates that short-run changes in the gold lease rate, the real interest rate, convenience yield, default risk, the covariance of gold returns with other assets and the dollar/world exchange rate can disturb this equilibrium relationship and generate short-run price volatility. Using monthly gold price data (1976-1999), and cointegration regression techniques, an empirical analysis confirms the central hypotheses of the theoretical model.

    Item type: Article
    ID code: 6926
    Keywords: inflation, gold, economics, finance, pricing, Finance, Economic Theory
    Subjects: Social Sciences > Finance
    Social Sciences > Economic Theory
    Department: Strathclyde Business School > Economics
    Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 01 Oct 2008
    Last modified: 12 Mar 2012 15:56
    URI: http://strathprints.strath.ac.uk/id/eprint/6926

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