Are Gold and Silver a Hedge against Inflation? A Two Century Perspective

Georgios Bampinas () and Theodore Panagiotidis

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: This study examines the long-run hedging ability of gold and silver prices against alternative measures of consumer price index for the UK and the US. We employ a dataset that spans from 1791 to 2010, and both a time-invariant and a time-varying cointegration framework. We find that gold can at least fully hedge headline, expected and core CPI in the long-run. This ability tends to be stronger when we allow for the long term dynamics to vary over time. The inflation hedging ability of gold is on average higher in the US compared to the UK. Silver does not hedge US consumer prices albeit evidence emerges in favor of a time-varying long-run relationship in the UK.

Keywords: gold prices; silver prices; inflation hedge; time-varying cointegration. (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Date: 2015-07, Revised 2015-07
New Economics Papers: this item is included in nep-bec, nep-com, nep-ind and nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (106)

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Journal Article: Are gold and silver a hedge against inflation? A two century perspective (2015)
Working Paper: Are Gold and Silver a Hedge against Inflation? A Two Century Perspective (2015)
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