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An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Turkey

Author

Listed:
  • OJAGHLOU , Mortaza

    (Istanbul Aydın University)

  • SATVATİ, Rozita

    (Istanbul Aydın University)

Abstract

In this paper, we examine the short and long run dynamic relationship between inflation (consumer price index) and the price of gold in Turkey by using monthly data over the period of 2008m10-2021m04. The finding shows there is no long run and cointegration between consumer price index and the price of gold in Turkey. However, the results demonstrate that CPI does Granger cause of gold but gold dose not Granger cause of CPI. Those results are also confirmed by results of short-run of S-model and the long-run properties of the accumulated impulse responses of structural VAR (SVAR) model that there is not long run interaction between gold and inflation.

Suggested Citation

  • OJAGHLOU , Mortaza & SATVATİ, Rozita, 2021. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Turkey," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 6(2), pages 79-89, December.
    • Handle: RePEc:ris:betajl:0062
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    References listed on IDEAS

    as
    1. Yingying Xu & Chi-Wei Su & Jaime Ortiz, 2021. "Is gold a useful hedge against inflation across multiple time horizons?," Empirical Economics, Springer, vol. 60(3), pages 1175-1189, March.
    2. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.
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    More about this item

    Keywords

    Gold Prices; Inflation; Cointegration; Hedge;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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