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Gold prices, cost of carry, and expected inflation

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  • Blose, Laurence E.
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    Abstract

    How do changes in expected inflation affect gold prices? Using unexpected changes in the Consumer Price Index (CPI) this paper shows that surprises in the CPI do not affect gold spot prices. The results indicate that investors anticipating changes in inflation expectations should design speculation strategies in the bond markets rather than the gold markets. Additionally, investors cannot determine market inflation expectations by examining the price of gold.

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    File URL: http://www.sciencedirect.com/science/article/B6V7T-4WR1B44-1/2/b7ec02da7958edbbac2ba7fdecfb5539
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 62 (2010)
    Issue (Month): 1 (January)
    Pages: 35-47
    Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
    Handle: RePEc:eee:jebusi:v:62:y:2010:i:1:p:35-47

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    Web page: http://www.elsevier.com/locate/jeconbus

    For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

    Related research

    Keywords: Inflation Bond yield Gold Cost of carry;

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    Cited by:
    1. Thi Hong Van Hoang, 2012. "Has gold been a hedge against inflation in France from 1949 to 2011? Empirical evidence of the French specificity," Working Papers 12-05, Association Française de Cliométrie (AFC).

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