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Does Gold Still Shelter Inflation, and, if so, When? Evidence From Four Countries

Author

Listed:
  • Mohd Fahmi Ghazali

    (Faculty of Economics and Management, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia)

  • Nurul Fasyah Mohd Ussdek

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, Jalan Sungai Pagar, 87000 Labuan F.T., Malaysia)

  • Hooi Hooi Lean

    (School of Social Sciences, Universiti Sains Malaysia, 11800 Gelugor, Penang, Malaysia)

  • Jude W. Taunson

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, Jalan Sungai Pagar, 87000 Labuan F.T., Malaysia)

Abstract

This study investigates gold as a hedge or a safe haven against inflation in four countries. We propose two standard and quantile techniques in the volatility models, with a time-varying conditional variance of regression residuals based on TGARCH specifications. Gold exhibits considerable evidence of a strong hedge in the US and China. Nevertheless, gold provides shelter at different times and not consistently across countries. With regards to be a safe haven, gold retains its status as a key investment in China. On the other hand, gold only plays a minor role in the UK and India. These findings indicate that gold can secure Chinese investment during the high inflationary periods, while gold is a profitable asset to hold over a long period of time in the US. In contrast, UK and Indian investors should hold a well-diversified portfolio for sustainable return and protection from purchasing power loss.

Suggested Citation

  • Mohd Fahmi Ghazali & Nurul Fasyah Mohd Ussdek & Hooi Hooi Lean & Jude W. Taunson, 2022. "Does Gold Still Shelter Inflation, and, if so, When? Evidence From Four Countries," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 39(04), pages 1-32, August.
    • Handle: RePEc:wsi:apjorx:v:39:y:2022:i:04:n:s0217595922400036
    DOI: 10.1142/S0217595922400036
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