An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Turkey

Mortaza Ojaghlou () and Rozita Satvati̇
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Mortaza Ojaghlou: Istanbul Aydın University, Postal: Istanbul, Turkey
Rozita Satvati̇: Istanbul Aydın University, Postal: Istanbul, Turkey

Bulletin of Economic Theory and Analysis, 2021, vol. 6, issue 2, 79-89

Abstract: In this paper, we examine the short and long run dynamic relationship between inflation (consumer price index) and the price of gold in Turkey by using monthly data over the period of 2008m10-2021m04. The finding shows there is no long run and cointegration between consumer price index and the price of gold in Turkey. However, the results demonstrate that CPI does Granger cause of gold but gold dose not Granger cause of CPI. Those results are also confirmed by results of short-run of S-model and the long-run properties of the accumulated impulse responses of structural VAR (SVAR) model that there is not long run interaction between gold and inflation.

Keywords: Gold Prices; Inflation; Cointegration; Hedge (search for similar items in EconPapers)
JEL-codes: C22 C52 G15 Q02 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ris:betajl:0062

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