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Gold Prices and Inflation

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  • Greg Tkacz

Abstract

Using 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.

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Bibliographic Info

Paper provided by Bank of Canada in its series Working Papers with number 07-35.

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Length: 30 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:bca:bocawp:07-35

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Keywords: Inflation and prices; Exchange rates;

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References

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  1. Tkacz, Greg, 2004. "Inflation changes, yield spreads, and threshold effects," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 187-199.
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Cited by:
  1. Patrick Richard, 2009. "Improving the accuracy of the analytical indirect inference estimator for MA models," Economics Bulletin, AccessEcon, vol. 29(4), pages 2795-2802.
  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. 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.
  4. 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.
  5. Thi Kim Cuc Nguyen & Reza Yamora Siregar, 2013. "Inflationary Implication of Gold Price in Vietnam," CAMA Working Papers 2013-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. 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.

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