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Has gold been a hedge against inflation in France from 1949 to 2011? Empirical evidence of the French specificity

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  • Thi Hong Van Hoang

    (Professeur assistant en Finance au Groupe Sup de Co Montpellier Business School, Montpellier Recherche en Management, 2300 avenue des Moulins, 34185 Montpellier.)

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  • 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).
    • Handle: RePEc:afc:wpaper:12-05
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    References listed on IDEAS

    as
    1. Blose, Laurence E., 2010. "Gold prices, cost of carry, and expected inflation," Journal of Economics and Business, Elsevier, vol. 62(1), pages 35-47, January.
    2. Martin Feldstein, 1983. "Inflation, Tax Rules, and the Prices of Land and Gold," NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 221-228, National Bureau of Economic Research, Inc.
    3. Leslie Lipschitz & Ichiro Otani, 1977. "A Simple Model of the Private Gold Market, 1968-74: An Exploratory Econometric Exercise (Un modèle simple du marché privé de l'or, 1968-74: exercice économétrique exploratoire) (Un modelo sencill," IMF Staff Papers, Palgrave Macmillan, vol. 24(1), pages 36-63, March.
    4. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    5. Dipak Ghosh & Eric Levin & Robert E Wright & The Centre for Economic Policy Research, "undated". "Gold as an Inflation Hedge?," Working Papers Series 96/10, University of Stirling, Division of Economics.
    6. Georges Gallais-Hamonno & Pedro Arbulu, 1995. "La rentabilité réelle des actifs boursiers de 1950 à 1992," Économie et Statistique, Programme National Persée, vol. 281(1), pages 3-30.
    7. Wang, Kuan-Min & Lee, Yuan-Ming & Thi, Thanh-Binh Nguyen, 2011. "Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model," Economic Modelling, Elsevier, vol. 28(3), pages 806-819, May.
    8. Luca PENSIEROSO, 2010. "The Great Depression in Belgium: an Open-Economy Analysis," LIDAM Discussion Papers IRES 2010023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    9. Thi Hong Van Hoang, 2010. "The Gold Market at the Paris Stock Exchange: A Risk-Return Analysis 1950-2003," Historical Social Research (Section 'Cliometrics'), Association Française de Cliométrie (AFC), vol. 35(3), pages 389-411.
    10. Olivier Darné & Amélie Charles & Claude Diebolt & Laurent Ferrara, 2015. "A new monthly chronology of the US industrial cycles in the prewar economy," Post-Print hal-01635949, HAL.
    11. Charles, Amélie & Darné, Olivier & Diebolt, Claude & Ferrara, Laurent, 2015. "A new monthly chronology of the US industrial cycles in the prewar economy," Journal of Financial Stability, Elsevier, vol. 17(C), pages 3-9.
    12. Tully, Edel & Lucey, Brian M., 2007. "A power GARCH examination of the gold market," Research in International Business and Finance, Elsevier, vol. 21(2), pages 316-325, June.
    13. Mahdavi, Saeid & Zhou, Su, 1997. "Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance," Journal of Economics and Business, Elsevier, vol. 49(5), pages 475-489.
    14. Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
    15. Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
    16. Roy W. Jastram, 2009. "The Golden Constant," Books, Edward Elgar Publishing, number 12733.
    17. Jun Cai & Yan‐Leung Cheung & Michael C. S. Wong, 2001. "What moves the gold market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(3), pages 257-278, March.
    18. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    19. Christophe Faugere & Julian Van Erlach, 2004. "The Price of Gold: A Global Required Yield Theory," Finance 0403003, University Library of Munich, Germany.
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    Cited by:

    1. Hanan Naser, 2017. "Can Gold Investments Provide a Good Hedge Against Inflation? An Empirical Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 470-475.
    2. Hoang, Thi-Hong-Van & Lean, Hooi Hooi & Wong, Wing-Keung, 2015. "Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 98-108.

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