Comparative Analysis of Gold, Art, and Wheat as Inflation Hedges

Nguyen Thi Thanh Binh ()
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Nguyen Thi Thanh Binh: Department of Accounting, Chaoyang University of Technology, 168 Jifong E. Road, Wufong District, Taichung City 41349, Taiwan

JRFM, 2024, vol. 17, issue 7, 1-24

Abstract: This study confirms gold’s role as a reliable inflation hedge while introducing new insights into lesser-explored assets like art and wheat. Using advanced methodologies such as the ARDL framework and LSTM deep learning, it conducts a detailed analysis of inflation-hedging dynamics, exploring non-linear relationships and unexpected inflation impacts across various asset classes. The findings reveal complex dynamics. Gold demonstrates strong long-term inflation hedging potential. The negative coefficient for the US dollar index suggests that gold acts as a hedge against currency depreciation. Furthermore, a positive relationship between gold returns and inflation during high inflation periods highlights its effectiveness in protecting purchasing power. Art presents a more intricate picture. Long-term analysis suggests a weak mean-reverting tendency, but a negative relationship with inflation, potentially linked to economic downturns. Interestingly, unexpected inflation positively correlates with art returns in the long run, hinting at its potential inflation-hedging abilities. No statistically significant connection between wheat prices and overall inflation was observed; the short-run analysis reveals a dynamic interplay between inflation, real GDP growth, and wheat prices at different time points.

Keywords: inflation hedge; commodities; US; nonlinear ARDL; long short-term memory (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
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