Inflation Hedging with Commodities: A Wavelet Analysis of Seven Centuries Worth of Data

11 Pages Posted: 28 May 2019

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Zaghum Umar

Zayed University - College of Business; Netspar

Mateusz Mikutowski

Poznan University of Economics and Business

Date Written: March 17, 2019

Abstract

We perform a test of the inflation hedging properties of commodities on the longest data series ever used for this purpose. We apply wavelet analysis to commodity prices and inflation data from the United Kingdom for the years 1265 through 2017, to detect co-movement across different times and frequencies. We demonstrate robust inflation hedging properties of agricultural, energy, and industrial commodities for the 4- to 8-year horizon through almost the entire seven centuries.

Keywords: inflation hedging, commodity markets, early commodity prices, wavelet analysis

JEL Classification: G11, G14, E44

Suggested Citation

Zaremba, Adam and Umar, Zaghum and Mikutowski, Mateusz, Inflation Hedging with Commodities: A Wavelet Analysis of Seven Centuries Worth of Data (March 17, 2019). Economics Letters, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3380842

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

Zaghum Umar

Zayed University - College of Business ( email )

P.O. Box 4783
Abu Dhabi
United Arab Emirates

Netspar ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Mateusz Mikutowski

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, Poznań 61-875
Poland

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