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

Preprint OPEN
Joscha Beckmann; Robert Czudaj;
(2012)
  • Subject: Cointegration; gold price; inflation hedge; Markov-switching error correction
    • jel: jel:E31 | jel:C32 | jel:E44

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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