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Is gold a hedge against inflation? A wavelet time-scale perspective

Thomas Conlon (), Brian Lucey () and Gazi Uddin ()
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Thomas Conlon: University College Dublin

Review of Quantitative Finance and Accounting, 2018, vol. 51, issue 2, 317-345

Abstract: Abstract Among the many presumed characteristics of gold, the ability to act as an enduring store of value is frequently noted. In this paper, the ability of gold to dynamically hedge against inflation is examined for various holding periods using the continuous wavelet transformation. Gold is first established as both a short- and long-term hedge against realized inflation for a number of developed economies. Dynamic analysis demonstrates that these hedging properties are not limited to a single historical cohort. Next, gold is shown to comove with unexpected inflation across all countries examined, albeit with some variation in the direction of the relationship. Finally, the capacity of both gold futures and gold stocks to act as a hedge against inflation is demonstrated.

Keywords: Gold; Inflation; Hedge; Horizon (search for similar items in EconPapers)
JEL-codes: E30 E31 G10 G11 (search for similar items in EconPapers)
Date: 2018
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