Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016

Goodness Aye (), Hector Carcel, Luis Gil-Alana and Rangan Gupta
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Goodness Aye: Department of Economics, University of Pretoria, South Africa

No 201753, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper examines the inflation hedging ability of gold in the UK based on a fractional integration and cointegration framework. This gives more flexibility as it does not restrict the order of integration between zero and 1. Annual time series data covering 1257 to 2016 were used. We conducted both full sample and sub-sample analysis. Using the full sample, the findings shows that gold and retail price index (RPI) are both I(1). However, based on the sub-sample analyses, gold is I(1) for most sub-periods while RPI is mean reverting (d

Keywords: Inflation; gold price; hedging; fractional cointegration; long memory (search for similar items in EconPapers)
JEL-codes: C32 E31 E44 G15 Q02 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2017-07
New Economics Papers: this item is included in nep-his and nep-mac
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