This paper investigates the inflation hedging role of gold price after controlling for the prices of other investment assets. We use annual data on the U.S. economy spanning from 1833 to 2013. We employ a recently developed flexible nonlinear approach that allows for potential ‘interruption’ in the long run equilibrium relationship in which the equilibrium term dynamics is modelled as an AR(1) depending upon an unobserved state process that is a stationary first-order Markov chain in two states, stationarity and non-stationarity. While, a battery of standard cointegration tests without and with breaks could not find evidence to support the inflation hedging role of gold, results from the flexible nonlinear approach indicate the existence of temporary cointegration between gold price and inflation during 1864, 1919, 1932, 1934, 1976, 1980 and 1982. The interruptions in the long-run relationship at different time periods seem to be associated with the different structural changes that affected the gold market.