Gold Prices and Inflation
AbstractUsing data for 14 countries over the 1994 to 2005 period, we assess the leading indicator properties of gold at horizons ranging from 6 to 24 months. We find that gold contains significant information for future inflation for several countries, especially for those that have adopted formal inflation targets. This finding may arise from the manner in which inflation expectations are formed in these countries, which may result in more rapidly mean-reverting inflation rates. Compared to other inflation indicators for Canada, gold remains statistically significant when combined with variables such as the output gap or the growth rate of a broad monetary aggregate.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 07-35.
Length: 30 pages
Date of creation: 2007
Date of revision:
Contact details of provider:
Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
Phone: 613 782-8845
Fax: 613 782-8874
Web page: http://www.bank-banque-canada.ca/
Inflation and prices; Exchange rates;
Find related papers by JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-30 (All new papers)
- NEP-CBA-2007-06-30 (Central Banking)
- NEP-MAC-2007-06-30 (Macroeconomics)
- NEP-MON-2007-06-30 (Monetary Economics)
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.:
- Stock, James H. & Watson, Mark W., 1999.
Journal of Monetary Economics,
Elsevier, vol. 44(2), pages 293-335, October.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- 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.
- Douglas Hodgson & Keith Vorkink, 2004. "Asset pricing theory and the valuation of Canadian paintings," Canadian Journal of Economics, Canadian Economics Association, vol. 37(3), pages 629-655, August.
- Emery, Kenneth M., 1994. "Inflation persistence and Fisher effects: Evidence of a regime change," Journal of Economics and Business, Elsevier, vol. 46(3), pages 141-152, August.
- Stein, John Picard, 1977. "The Monetary Appreciation of Paintings," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 1021-35, October.
- Newey, Whitney K & West, Kenneth D, 1987.
"A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,"
Econometric Society, vol. 55(3), pages 703-08, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Frederic S. Mishkin, 1990.
"What Does the Term Structure Tell Us About Future Inflation?,"
NBER Working Papers
2626, National Bureau of Economic Research, Inc.
- Mishkin, Frederic S., 1990. "What does the term structure tell us about future inflation?," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 77-95, January.
- Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers fb-_88-29, Columbia - Graduate School of Business.
- Anindya Banerjee & Massimiliano Marcellino, 2003.
"Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?,"
236, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Banerjee, Anindya & Marcellino, Massimiliano, 2006. "Are there any reliable leading indicators for US inflation and GDP growth?," International Journal of Forecasting, Elsevier, vol. 22(1), pages 137-151.
- Anindya BANERJEE & Massimiliano MARCELLINO, 2002. "Are There Any Reliable Leading Indicators for US Inflation and GDP Growth?," Economics Working Papers ECO2002/21, European University Institute.
- James H. Stock & Mark W. Watson, 2001.
"Forecasting output and inflation: the role of asset prices,"
Federal Reserve Bank of San Francisco, issue Mar.
- James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
- James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
- Stephen G. Cecchetti & Rita S. Chu & Charles Steindel, 2000. "The unreliability of inflation indicators," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 6(Apr).
- St-Amant, P. & van Norden, S., 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometric Society, vol. 61(4), pages 821-56, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Jean Boivin & Serena Ng, 2003.
"Are More Data Always Better for Factor Analysis?,"
NBER Working Papers
9829, National Bureau of Economic Research, Inc.
- Greg Tkacz, 2002.
"Inflation Changes, Yield Spreads, and Threshold Effects,"
02-40, Bank of Canada.
- Tkacz, Greg, 2004. "Inflation changes, yield spreads, and threshold effects," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 187-199.
- 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.
- Andrew T. Levin & Fabio M. Natalucci & Jeremy M. Piger, 2004. "The macroeconomic effects of inflation targeting," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 51-80.
- Rose, Andrew K., 2007.
"A stable international monetary system emerges: Inflation targeting is Bretton Woods, reversed,"
Journal of International Money and Finance,
Elsevier, vol. 26(5), pages 663-681, September.
- Andrew K. Rose, 2006. "A Stable International Monetary System Emerges: Inflation Targeting is Bretton Woods, Reversed," NBER Working Papers 12711, National Bureau of Economic Research, Inc.
- C. Alan Garner, 1995. "How useful are leading indicators of inflation?," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 5-18.
- Zinde-Walsh, Victoria & Galbraith, John W., 1991. "Estimation of a linear regression model with stationary ARMA(p, q) errors," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 333-357, February.
- Siregar, Reza Yamora & Nguyen, Thi Kim Cuc, 2013.
"Inflationary Implication of Gold Price in Vietnam,"
46157, University Library of Munich, Germany.
- Saira Tufail & Sadia Batool, 2013. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(2), pages 1-35, July-Dec.
- Joscha Beckmann & Robert Czudaj, 2012.
"Gold as an Infl ation Hedge in a Time-Varying Coeffi cient Framework,"
Ruhr Economic Papers
0362, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Beckmann, Joscha & Czudaj, Robert, 2013. "Gold as an inflation hedge in a time-varying coefficient framework," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 208-222.
- 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.
- Patrick Richard, 2009. "Improving the accuracy of the analytical indirect inference estimator for MA models," Economics Bulletin, AccessEcon, vol. 29(4), pages 2795-2802.
- Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran, 2013. "Is Gold Investment A Hedge against Inflation in Pakistan? A Cointegtaion and Causality Analysis in the Presence of Structural Breaks," MPRA Paper 47924, University Library of Munich, Germany, revised 01 Jul 2013.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.