Abstract

http://ssrn.com/abstract=2320754
 
 

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On the Economic Determinants of the Gold-Inflation Relation


Jonathan A. Batten


Monash University - Department of Accounting and Finance

Cetin Ciner


University of North Carolina at Wilmington

Brian M. Lucey


Trinity College, Dublin - School of Business; Trinity College (Dublin) - Institute for International Integration Studies (IIIS); University of Ljubljana - Faculty of Economics

March 19, 2014


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 the consumer price index (CPI) 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-CPI linkage suggests gold’s sensitivity to the CPI is related to interest rate changes: a finding that highlights the monetary nature of gold as a commodity.

Number of Pages in PDF File: 22

Keywords: Gold, Inflation, monetary policy

JEL Classification: Q47, O13, C22

working papers series





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Date posted: September 6, 2013 ; Last revised: March 20, 2014

Suggested Citation

Batten, Jonathan A. and Ciner, Cetin and Lucey, Brian M., On the Economic Determinants of the Gold-Inflation Relation (March 19, 2014). Available at SSRN: http://ssrn.com/abstract=2320754 or http://dx.doi.org/10.2139/ssrn.2320754

Contact Information

Jonathan A. Batten
Monash University - Department of Accounting and Finance ( email )
Building 11E
Clayton, Victoria 3800
Australia
Cetin Ciner
University of North Carolina at Wilmington ( email )
Wilmington, NC 28403
United States
Brian M. Lucey (Contact Author)
Trinity College, Dublin - School of Business ( email )
The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)
Trinity College (Dublin) - Institute for International Integration Studies (IIIS) ( email )
The Sutherland Centre, Level 6, Arts Building
Trinity College
Dublin 2
Ireland
University of Ljubljana - Faculty of Economics ( email )
Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia
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