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Time-variation in the relationship between white precious metals and inflation: A cross-country analysis

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  • Bilgin, Mehmet Huseyin
  • Gogolin, Fabian
  • Lau, Marco Chi Keung
  • Vigne, Samuel A.

Abstract

In recent years, as a result of an increasing financialisation of financial markets, white precious metals have slowly transformed from mere production inputs to investment assets. In order to analyse the characteristics of white precious metals and the consequences of the transition, this paper examines the long-run inflation hedging effectiveness of silver, platinum, and palladium using both linear and non-linear cointegration relationship procedures. This study is the first to formally investigate the inflation hedging effectiveness of white precious metals across different countries. Overall, the results point towards the superiority of palladium as the most reliable inflation hedge. Furthermore, country-specific graphical evidence uncovers time-variation in the inflation hedging potential of white precious metals.

Suggested Citation

  • Bilgin, Mehmet Huseyin & Gogolin, Fabian & Lau, Marco Chi Keung & Vigne, Samuel A., 2018. "Time-variation in the relationship between white precious metals and inflation: A cross-country analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 55-70.
  • Handle: RePEc:eee:intfin:v:56:y:2018:i:c:p:55-70
    DOI: 10.1016/j.intfin.2018.03.001
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    References listed on IDEAS

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    Cited by:

    1. Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
    2. Boubaker, Heni & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2020. "Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    3. Ioannis E. Tsolas, 2020. "Precious Metal Mutual Fund Performance Evaluation: A Series Two-Stage DEA Modeling Approach," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(5), pages 1-13, April.
    4. Salisu, Afees A. & Ndako, Umar B. & Oloko, Tirimisiyu F., 2019. "Assessing the inflation hedging of gold and palladium in OECD countries," Resources Policy, Elsevier, vol. 62(C), pages 357-377.
    5. Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020. "Moments-based spillovers across gold and oil markets," Energy Economics, Elsevier, vol. 89(C).
    6. Gogolin, Fabian & Kearney, Fearghal & Lucey, Brian M. & Peat, Maurice & Vigne, Samuel A., 2018. "Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis," Energy Economics, Elsevier, vol. 76(C), pages 584-593.
    7. Qadan, Mahmoud, 2019. "Risk appetite and the prices of precious metals," Resources Policy, Elsevier, vol. 62(C), pages 136-153.

    More about this item

    Keywords

    White precious metals; Silver; Platinum; Palladium; Inflation; Hedge;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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