Does gold act as a hedge against different nuances of inflation? Evidence from Quantile-on-Quantile and causality-in- quantiles approaches

Syed Jawad Hussain Shahzad, Walid Mensi, Shawkat Hammoudeh, Asiya Sohail and Khamis Hamed Al-Yahyaee

Resources Policy, 2019, vol. 62, issue C, 602-615

Abstract: This paper re-examines the gold-inflation dependence, with emphasis on the empirical validity of the inflation-hedging property of gold for six major countries (China, India, Japan, France, United Kingdom, and the United States) with large gold markets, using the relatively novel techniques the Quantile-on-Quantile (QQ) and the causality-in- quantiles. The main empirical QQ result shows a positive relationship between gold and inflation for these countries. The inflation-hedging property of gold varies during booms and recessions, and thus the hedging decisions should be made in consideration of the asymmetric nature of the gold-inflation link during different economic conditions. Using the nonparametric causality-in-quantiles method, we find a significant Granger asymmetric causality in the mean and the variance from inflation to gold for China, Japan, France and the UK, except for the extreme (lower and higher) quantiles, indicating that gold may serve as a hedge against inflation only in the mid-quantile ranges or normal economic conditions.

Keywords: Gold; Inflation; Hedging; Quantile-on-Quantile; Causality-in-quantiles (search for similar items in EconPapers)
JEL-codes: C22 E31 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420718300114
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:62:y:2019:i:c:p:602-615

DOI: 10.1016/j.resourpol.2018.11.008

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 ().