Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data

Adam Zaremba (), Zaghum Umar and Mateusz Mikutowski

Economics Letters, 2019, vol. 181, issue C, 90-94

Abstract: We perform a test of the inflation hedging properties of commodities on the longest data series ever used for this purpose. We apply wavelet analysis to commodity prices and inflation data from the United Kingdom for the years 1265 through 2017, to detect co-movement across different times and frequencies. We demonstrate robust inflation hedging properties of agricultural, energy, and industrial commodities for the 4- to 8-year horizon through almost the entire seven centuries.

Keywords: Inflation hedging; Commodity markets; Early commodity prices; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: E44 G11 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (44)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:181:y:2019:i:c:p:90-94

DOI: 10.1016/j.econlet.2019.05.002

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