Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework

Research, Preprint OPEN
Beckmann, Joscha ; Czudaj, Robert (2012)
  • Publisher: Essen: Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
  • Related identifiers: doi: 10.4419/86788416
  • Subject: E31 | C32 | E44 | Cointegration | Cointegration,gold price,inflation hedge,Markov-switching error correction | gold price | inflation hedge | Markov-switching error correction
    • jel: jel:E31 | jel:C32 | jel:E44
      ddc: ddc:330

This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective. Using data for four major economies, namely the USA, the UK, the Euro Area, and Japan, we allow for nonlinearity and discriminate between long-run and... View more
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