Are gold and silver a hedge against inflation? A two century perspective

被引：104

作者：

Bampinas, Georgios ^{[1
]}

Panagiotidis, Theodore ^{[1
]}

机构：

[1] Univ Macedonia, Dept Econ, Thessaloniki, Greece

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2015年 / 41卷

关键词：

Gold prices; Silver prices; Inflation hedge; Time-varying cointegration; UNIT-ROOT; TIME-SERIES; PRICE; STOCKS; CRASH; TESTS;

D O I：

10.1016/j.irfa.2015.02.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：267 / 276

页数：10

共 23 条

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