Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 19, 2015 erstellt
Beschreibung:
What is the relationship between gold prices and inflation? The answer does not only depend on the studied time window, but also on the definition of inflation. We work with forty years of data and apply a Johansen test of cointegration to the price of gold and inflation indices in the United States of America, the United Kingdom and Japan. We also study the relationship between gold and liquid money supply in order to look at inflation from a more classical point of view. We further use a formal test for time variation and proceed to extract time varying cointegration relationships. Evidence points to a break in the relationship(s) of gold and official inflation in the mid 1990's in the USA and to less clear results for the UK and Japan. However, gold seems to have offered a protection against an increased money supply throughout nearly the entire past 40 year period in the US and the UK but failed to do so in Japan. Supporting previous findings by Batten, Ciner, and Lucey (2014), we find evidence for a time-varying relationship in cointegration between gold and inflation in nearly all series under study and support our findings with a battery of robustness tests looking at predicted inflation and inflation surprise