On the economic determinants of the gold–inflation relation

Jonathan Batten, Cetin Ciner and Brian Lucey

Resources Policy, 2014, vol. 41, issue C, 101-108

Abstract: We examine the long term dynamic relation between inflation and the price of gold. We begin by showing that there is no cointegration between gold and inflation if the volatile period of the early 1980s is excluded from the data. However, we are also able to demonstrate that there is significant time variation in the relation, such that comovement between the variables has indeed increased in the last decade. Examination of the underlying macroeconomic factors that could generate time variation in the gold–inflation linkage suggests gold׳s sensitivity to inflation is related to interest rate changes, a finding that highlights the monetary nature of gold as a commodity.

Keywords: Gold; Inflation (search for similar items in EconPapers)
JEL-codes: C22 O13 Q47 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (65)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420714000312
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:41:y:2014:i:c:p:101-108

DOI: 10.1016/j.resourpol.2014.03.007

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().