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Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance

  • Mahdavi, Saeid
  • Zhou, Su
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-3SX299B-5/2/6427d72c33f93b6171d260e96bb8d4d3
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    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 49 (1997)
    Issue (Month): 5 ()
    Pages: 475-489

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    Handle: RePEc:eee:jebusi:v:49:y:1997:i:5:p:475-489
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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    1. Baillie, R.T., 1989. "Commodity Prices And Aggregate Inflation: Would A Commodity Price Rule Be Worthwhile?," Papers 8808, Michigan State - Econometrics and Economic Theory.
    2. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. Pecchenino, R. A., 1992. "Commodity prices and the CPI: Cointegration, information, and signal extraction," International Journal of Forecasting, Elsevier, vol. 7(4), pages 493-500, March.
    5. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
    6. Amano, Robert A. & van Norden, Simon, 1995. "Terms of trade and real exchange rates: the Canadian evidence," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 83-104, February.
    7. Baillie, Richard T., 1989. "Commodity prices and aggregate inflation: Would a commodity price rule be worthwhile?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 31(1), pages 185-240, January.
    8. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
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