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

被引：48
作者：
Conlon T. [1 ]
Lucey B.M. [2 ]
Uddin G.S. [3 ]
机构：
[1] Smurfit Graduate School of Business, University College Dublin, Dublin
[2] Trinity School of Business, Trinity College
[3] Department of Management and Engineering, Linköping University, Linköping
来源：
Review of Quantitative Finance and Accounting | 2018年 / 51卷 / 2期
基金：
爱尔兰科学基金会;
关键词：
Gold; Hedge; Horizon; Inflation;
D O I：
10.1007/s11156-017-0672-7
中图分类号：
学科分类号：
摘要：
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. © 2017, Springer Science+Business Media, LLC.
引用
收藏
页码：317 / 345
页数：28
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