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Gold Prices and Inflation

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Author Info
Greg Tkacz

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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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File URL: http://www.bankofcanada.ca/en/res/wp/2007/wp07-35.pdf
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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
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Handle: RePEc:bca:bocawp:07-35

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Related research
Keywords: 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

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