Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model

Show simple item record Aye, Goodness Chioma Chang, Tsangyao Gupta, Rangan 2016-05-05T06:02:12Z 2016-06
dc.description.abstract 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. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2017-06-30
dc.description.librarian hb2016 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Aye, GC, Chang, T & Gupta, R 2016, 'Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model', Resources Policy, vol. 48, pp. 77-84. en_ZA
dc.identifier.issn 0301-4207 (print)
dc.identifier.issn 1873-7641 (online)
dc.identifier.other 10.1016/j.resourpol.2016.02.011
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2016 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Resources Policy, vol. 48, pp. 77-84, 2016. doi : 10.1016/j.resourpol.2016.02.011. en_ZA
dc.subject Gold en_ZA
dc.subject Inflation en_ZA
dc.subject Hedging en_ZA
dc.subject Interrupted Markov-switching cointegration en_ZA
dc.title Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model en_ZA
dc.type Postprint Article en_ZA

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