 Gold and inflation(s) – A time-varying relationshipBrian Lucey, Susan Sharma and Samuel A. Vigne Economic Modelling, 2017, vol. 67, issue C, 88-101 Abstract: What is the relationship between the price of gold and inflation? How stable is it – over time and across measures of inflation? We examine this for three countries (the USA, the UK and Japan) - over forty years and with a variety of measures of inflation and monetary liquidity. We apply a formal test for time variation and proceed to extract time varying cointegration relationships. Both formal and graphical evidence points to a break in the relationship(s) of gold and official inflation in the mid 1990s in the USA but to less clear results for the UK and Japan. However, gold seems to have offered a protection against an increase in money supply throughout nearly the entire past 40 year period in the US and the UK but failed to do so in Japan. Supporting previous findings we find evidence for a time-varying relationship in cointegration between gold and both predicted and realized inflation in nearly all cases. Contrasting multiple inflation indicators, we find evidence for the importance of money supply in the gold/inflation relationship. Keywords: Gold; Inflation; Money supply; Cointegration; Time-varying cointegration (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:67:y:2017:i:c:p:88-101 DOI: 10.1016/j.econmod.2016.10.008 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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