Journal article
Does gold act as a hedge against different nuances of inflation? Evidence from Quantile-on-Quantile and causality-in- quantiles approaches
Resources policy, v 62, pp 602-615
Aug 2019
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper re-examines the gold-inflation dependence, with emphasis on the empirical validity of the inflation-hedging property of gold for six major countries (China, India, Japan, France, United Kingdom, and the United States) with large gold markets, using the relatively novel techniques the Quantile-on-Quantile (QQ) and the causality-in- quantiles. The main empirical QQ result shows a positive relationship between gold and inflation for these countries. The inflation-hedging property of gold varies during booms and recessions, and thus the hedging decisions should be made in consideration of the asymmetric nature of the gold-inflation link during different economic conditions. Using the nonparametric causality-in-quantiles method, we find a significant Granger asymmetric causality in the mean and the variance from inflation to gold for China, Japan, France and the UK, except for the extreme (lower and higher) quantiles, indicating that gold may serve as a hedge against inflation only in the mid-quantile ranges or normal economic conditions.
•The inflation-hedging property of gold is examined for China, India, France, Japan, the UK and the US.•Both the quantile-on-quantile and nonparametric causality-in-quantiles methods are used.•The inflation-hedging property of gold varies during economic recessions and booms.•There is evidence of nonparametric asymmetric causality from gold to inflation for middle quantiles.•Gold returns and volatility have no effect on inflation in the low and high quantiles.
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Details
- Title
- Does gold act as a hedge against different nuances of inflation? Evidence from Quantile-on-Quantile and causality-in- quantiles approaches
- Creators
- Syed Jawad Hussain Shahzad - Montpellier Business SchoolWalid Mensi - Sultan Qaboos UniversityShawkat Hammoudeh - Drexel UniversityAsiya Sohail - Foundation University Medical CollegeKhamis Hamed Al-Yahyaee - Sultan Qaboos University
- Publication Details
- Resources policy, v 62, pp 602-615
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000474330600053
- Scopus ID
- 2-s2.0-85057024065
- Other Identifier
- 991019167632304721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Environmental Studies