Does inflation cause gold market price changes? Evidence on the G7 countries from the tests of nonparametric quantile causality in mean and variance

dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorOzdemir, Zeynel Abidin
dc.contributor.authorShahbaz, Muhammad
dc.contributor.authorGunes, Serkan
dc.date.accessioned2018-10-18T09:21:03Z
dc.date.issued2018
dc.description.abstractThis article utilizes the newly proposed nonparametric causality-in-quantiles test to examine the predictability of mean and variance of changes in gold prices based on inflation for G7 countries. The causality-in-quantiles approach permits us to test for not only causality in mean but also causality in variance. We start our investigation by utilizing tests for nonlinearity. These tests identify nonlinearity, showing that the linear Granger causality tests are subject to misspecification error. Unlike tests of misspecified linear models, our nonparametric causality-in-quantiles tests find causality in mean and variance from inflation to gold market price changes between the 0.20 quantile and the 0.70 quantile, implying that very low- and high-price changes in gold markets are not related to inflation. These changes should be related to other sources, such as financial shocks and exchange market shocks. We find support that gold serves as a hedge against inflation, but only in the mid-quantile ranges, i.e. quantiles from 0.20 to 0.70. Our results show that gold does not serve as a hedge against inflation during periods when gold market price changes are very low or very high, which are respectively quiet and highly volatile periods.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2019-04-10
dc.description.librarianhj2018en_ZA
dc.description.urihttp://www.tandfonline.com/loi/raec20en_ZA
dc.identifier.citationMehmet Balcilar, Zeynel Abidin Ozdemir, Muhammad Shahbaz & Serkan Gunes (2018) Does inflation cause gold market price changes? Evidence on the G7 countries from the tests of nonparametric quantile causality in mean and variance, Applied Economics, 50:17, 1891-1909, DOI: 10.1080/00036846.2017.1380290.en_ZA
dc.identifier.issn0003-6846 (print)
dc.identifier.issn1466-4283 (online)
dc.identifier.other10.1080/00036846.2017.1380290
dc.identifier.urihttp://hdl.handle.net/2263/66945
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© 2017 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics, vol. 50, no. 17, pp. 1891-1909, 2018. doi : 10.1080/00036846.2017.1380290. Applied Economics is available online at : http://www.tandfonline.comloi/raec20.en_ZA
dc.subjectGolden_ZA
dc.subjectInflationen_ZA
dc.subjectSpot and futures marketsen_ZA
dc.subjectQuantile causalityen_ZA
dc.titleDoes inflation cause gold market price changes? Evidence on the G7 countries from the tests of nonparametric quantile causality in mean and varianceen_ZA
dc.typePostprint Articleen_ZA

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