Download This PaperInflation Hedging with Commodities: A Wavelet Analysis of Seven Centuries Worth of Data
11 Pages Posted: 28 May 2019
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: 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
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