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Are Gold and Silver a Hedge against Inflation? A Two Century Perspective

Author

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  • G. Bampinas

    (Department of Economics, University of Macedonia, Greece)

  • T. Panagiotidis

    (Department of Economics, University of Macedonia, Greece; The Rimini Centre for Economic Analysis, Italy)

Abstract

This study examines the long-run hedging ability of gold and silver prices against alternative measures of consumer price index for the UK and the US. We employ a dataset that spans from 1791 to 2010, and both a time-invariant and a time-varying cointegration framework. We find that gold can at least fully hedge headline, expected and core CPI in the long-run. This ability tends to be stronger when we allow for the long term dynamics to vary over time. The inflation hedging ability of gold is on average higher in the US compared to the UK. Silver does not hedge US consumer prices albeit evidence emerges in favor of a time-varying long-run relationship in the UK.

Suggested Citation

  • G. Bampinas & T. Panagiotidis, 2015. "Are Gold and Silver a Hedge against Inflation? A Two Century Perspective," Working Paper series 15-02, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:15-02
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    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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