An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Turkey

Yıl 2021, Cilt: 6 Sayı: 2, 79 - 89, 31.12.2021

Mortaza Ojaghlou Rozita Satvati

https://doi.org/10.25229/beta.1007869

Öz

In this paper, we examine the short and long run dynamic relationship between inflation (consumer price index) and the price of gold in Turkey by using monthly data over the period of 2008m10-2021m04. The finding shows there is no long run and cointegration between consumer price index and the price of gold in Turkey. However, the results demonstrate that CPI does Granger cause of gold but gold dose not Granger cause of CPI. Those results are also confirmed by results of short-run of S-model and the long-run properties of the accumulated impulse responses of structural VAR (SVAR) model that there is not long run interaction between gold and inflation.

Anahtar Kelimeler

Gold Prices, Inflation, Cointegration, Hedge.

Kaynakça

• Anandasayanan, Sarathadevi, Janani Thevananth, and Mathuranthy Amaresh. 2019. The Relationship Between Inflation and Gold Price: Evidence From Sri Lanka. SSRN Scholarly Paper. ID 3763419. Rochester, NY: Social Science Research Network.
• Bampinas, Georgios, and Theodore Panagiotidis. 2015. “Are Gold and Silver a Hedge against Inflation? A Two Century Perspective.” International Review of Financial Analysis 41:267–76. doi: 10.1016/j.irfa.2015.02.007.
• Batten, Jonathan A., Cetin Ciner, and Brian M. Lucey. 2014. “On the Economic Determinants of the Gold–Inflation Relation.” Resources Policy 41:101–8. doi: 10.1016/j.resourpol.2014.03.007.
• Baur, Dirk G., and Thomas K. McDermott. 2010. “Is Gold a Safe Haven? International Evidence.” Journal of Banking & Finance 34(8):1886–98. doi: 10.1016/j.jbankfin.2009.12.008.
• Blanchard, Olivier Jean, and Danny Quah. 1989. “The Dynamic Effects of Aggregate Demand and Supply Disturbances.” The American Economic Review 79(4):655–73.
• Chua, J., and R. S. Woodward. 1982. “GOLD AS AN INFLATION HEDGE: A COMPARATIVE STUDY OF SIX MAJOR INDUSTRIAL COUNTRIES.” Journal of Business Finance & Accounting 9(2):191–97. doi: 10.1111/j.1468-5957.1982.tb00985.x.
• Engle, Robert F., and C. W. J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation, and Testing.” Econometrica 55(2):251. doi: 10.2307/1913236.
• Hoang, Thi Hong Van, Amine Lahiani, and David Heller. 2016. “Is Gold a Hedge against Inflation? New Evidence from a Nonlinear ARDL Approach.” Economic Modelling 54:54–66. doi: 10.1016/j.econmod.2015.12.013.
• Iqbal, Javed. 2017. “Does Gold Hedge Stock Market, Inflation and Exchange Rate Risks? An Econometric Investigation.” International Review of Economics & Finance 48:1–17. doi: 10.1016/j.iref.2016.11.005.
• Jastram, R. W., and Jill Leyland,. 2009. The Golden Constant: The English and American Experience 1560–2007. . Edward Elgar Publishing, London. Jastram, Roy W. 1977. “The Golden Constant.” Retrieved August 22, 2021 (https://www.e-elgar.com/shop/gbp/the-golden-constant-9781847202611.html).
• Lucey, Brian M., Susan Sunila Sharma, and Samuel A. Vigne. 2017. “Gold and Inflation(s) – A Time-Varying Relationship.” Economic Modelling 67:88–101. doi: 10.1016/j.econmod.2016.10.008.
• Mahdavi, Saeid, and Su Zhou. 1997. “Gold and Commodity Prices as Leading Indicators of Inflation: Tests of Long-Run Relationship and Predictive Performance.” Journal of Economics and Business 49(5):475–89. doi: 10.1016/S0148-6195(97)00034-9.
• Moore, Geoffrey H. 1990. “Analysis: Gold Prices and a Leading Index of Inflation.” Challenge 33(4):52–56. doi: 10.1080/05775132.1990.11471444. Narayan, Paresh Kumar, Seema Narayan, and Susan Sunila Sharma. 2013. “An Analysis of Commodity Markets: What Gain for Investors?” Journal of Banking & Finance 37(10):3878–89.
• Narayan, Paresh Kumar, Seema Narayan, and Xinwei Zheng. 2010. “Gold and Oil Futures Markets: Are Markets Efficient?” Applied Energy 87(10):3299–3303. doi: 10.1016/j.apenergy.2010.03.020.
• Ojaghlou, Mortaza. 2020. Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100. SSRN Scholarly Paper. ID 3762073. Rochester, NY: Social Science Research Network. doi: 10.2139/ssrn.3762073.
• RUBIO-RAMÍREZ, JUAN F., DANIEL F. WAGGONER, and TAO ZHA. 2010. “Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference.” The Review of Economic Studies 77(2):665–96.
• Sharma, Susan Sunila. 2016. “Can Consumer Price Index Predict Gold Price Returns?” Economic Modelling 55:269–78. doi: 10.1016/j.econmod.2016.02.014.
• Tkacz, Greg. 2007. “Gold Prices and Inflation.” Staff Working Papers, Bank of Canada. 07-35,.