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 (https://doi.org/10.1108/eb043380)
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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.
ORCID iDs
Ghosh, Dipak, Levin, Eric J., MacMillan, Peter and Wright, Robert E. ORCID: https://orcid.org/0000-0001-8761-1020;-
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Item type: Article ID code: 6926 Dates: DateEvent2004PublishedSubjects: Social Sciences > Finance
Social Sciences > Economic TheoryDepartment: Strathclyde Business School > Economics Depositing user: Strathprints Administrator Date deposited: 01 Oct 2008 Last modified: 22 Nov 2024 01:03 URI: https://strathprints.strath.ac.uk/id/eprint/6926