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On the economic determinants of the gold–inflation relation

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  • Batten, Jonathan A.
  • Ciner, Cetin
  • Lucey, Brian M

Abstract

We examine the long term dynamic relation between inflation and the price of gold. We begin by showing that there is no cointegration between gold and inflation if the volatile period of the early 1980s is excluded from the data. However, we are also able to demonstrate that there is significant time variation in the relation, such that comovement between the variables has indeed increased in the last decade. Examination of the underlying macroeconomic factors that could generate time variation in the gold–inflation linkage suggests gold׳s sensitivity to inflation is related to interest rate changes, a finding that highlights the monetary nature of gold as a commodity.

Suggested Citation

  • Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M, 2014. "On the economic determinants of the gold–inflation relation," Resources Policy, Elsevier, vol. 41(C), pages 101-108.
    • Handle: RePEc:eee:jrpoli:v:41:y:2014:i:c:p:101-108
    DOI: 10.1016/j.resourpol.2014.03.007
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    References listed on IDEAS

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    More about this item

    Keywords

    Gold; Inflation;

    JEL classification:

    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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