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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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    Paper provided by Association Française de Cliométrie (AFC) in its series Working Papers with number 12-05.

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    Length: 21 pages
    Date of creation: 2012
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    Handle: RePEc:afc:wpaper:12-05

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. 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.
    2. 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.
    3. Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
    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 1057-72, June.
    5. Luca PENSIEROSO, 2010. "The Great Depression in Belgium: an Open-Economy Analysis," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2010023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    6. Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2012. "A new monthly chronology of the US industrial cycles in the prewar economy," Working Papers 12-02, Association Française de Cliométrie (AFC).
    7. 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.
    8. Dipak Ghosh & Eric J. Levin & Peter Macmillan & Robert E. Wright, 2000. "Gold as an Inflation Hedge?," Discussion Paper Series, Department of Economics 200021, Department of Economics, University of St. Andrews.
    9. 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.
    10. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
    11. 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.
    12. Andrew C. Worthington & Mosayeb Pahlavani, 2007. "Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 259-262.
    13. Christophe Faugere & Julian Van Erlach, 2004. "The Price of Gold: A Global Required Yield Theory," Finance 0403003, EconWPA.
    14. 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.
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