In this paper using data for 54 countries we test whether consumer price index (CPI) predicts gold price returns. Our test for predictability is based on a recently developed flexible generalised least squares estimator, which most importantly accommodates the endogeneity of CPI, its persistency and any heteroskedasticity in the model. We find limited evidence that CPI predicts gold price returns in in-sample tests; however, out-of-sample tests reveal relatively strong evidence that CPI predicts gold returns. These results are robust to different forecasting horizons. On the whole, we discover reasonable evidence that consumer prices predict gold price returns.