Gold and inflation(s) – A time-varying relationship

• Published in: Economic modelling Vol. 67; pp. 88 - 101
• Main Authors: Lucey, Brian M., Sharma, Susan Sunila, Vigne, Samuel A.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.12.2017
• Subjects: Cointegration; Gold; Inflation; Money supply; Time-varying cointegration; Gold; Money supply; C22; E31; F30; Inflation; Time-varying cointegration; Cointegration; G1; C50

What is the relationship between the price of gold and inflation? How stable is it – over time and across measures of inflation? We examine this for three countries (the USA, the UK and Japan) - over forty years and with a variety of measures of inflation and monetary liquidity. We apply a formal te...