A LONG RUN RELATIONSHIP BETWEEN GOLD PRICE AND INFLATION- EVIDENCE FROM THE INDIAN EXPERIENCE
DOI:
https://doi.org/10.29121/granthaalayah.v3.i6.2015.3005Keywords:
Gold Price, Inflation, Unit Root, Granger Causality, Co-IntegrationAbstract [English]
The study examines the long run relationship between gold price and inflation from the Indian experience. The main objective of the study is to identify whether there is long run relationship between the gold price and inflation. For the investigation three year monthly data from July 2011 to June 2014. The study is conducted by Augmented Dickey Fuller Unit Root Test, Johansen Co-integration Test and Granger Causality Test and finally came to the conclusion that there is no long run relationship between gold price and inflation.
Downloads
References
(1)Ghosh, D., Levin, E.J., Macmillan, P., and Wright, R.E., “Gold as an Inflation Hedge?”, University of St. Andrews, Department of Economics, Discussion Paper Series.2002.
(2)Wainwright H.C. & Co, “Gold as a Leading Indicator of Inflation”, Press Release, world gold council 4 November 2005.
(3)Worthington, A.C., and Pahlavani, M., “Gold Investment as an Inflationary Hedge: Cointegration Evidence with Allowance for Endogenous Structural Breaks”, School of Accounting & Finance, University of Wollongong, Working Paper 4, 2006. DOI: https://doi.org/10.1080/17446540601118301
(4)Blose E. Laurence, “Gold Prices, Cost of Carry and Expected Inflation”,Journal of Economics and Business, Vol. 62, 2010, pp 35–47. DOI: https://doi.org/10.1016/j.jeconbus.2009.07.001
(5)Beckmann Joscha and Czudaj Robert, “Gold as an Inflation Hedge in a Time-Varying Coefficient Framework”, Workshop, 2012, Ruhr-University Bochum (RUB) Department of Economics, Germany. DOI: https://doi.org/10.2139/ssrn.2144781
Koutsoyiannis, A., “A Short-Run Pricing Model for a Speculative Asset, Tested with Data from the Gold Bullion Market”, Applied Economics, Vol. 15, 1983, pp 563-581. DOI: https://doi.org/10.1080/00036848300000037
Han Ai, Xu Shanying and Wang Shouyang, “Australian Dollars Exchange Rate and Gold Prices: An Interval Method Analysis”, The 7th International Symposium on Operations Research and its Applications, China, 2008, pp 46-52.
Kim Hwan Myeong and Dilts A David, “The Relationship of the Value of the Dollar and the Price of Gold and Oil: A Tale of Asset Risk”, Economics Bulletin Acessecon, Vol. 31(2), 2011, pp 1151-116.
MashayekhiBita, Mashayekhi, MehrdadAra Sadr and AshrafJafari , “ Gold Price and Exchange Rate Volatility: Effects of Economic Sanctions”, International Journal of Management & Information Technology Vol.4(1) , 2013 June , pp 121-127. DOI: https://doi.org/10.24297/ijmit.v4i1.807
SamvegA.Patel “Goldas a Strategic Prophency Against Inflation and Exchange Rate” Business Perspective and Research, July – December 2013, pp 59-67. DOI: https://doi.org/10.1177/2278533720130105
Ciner, C.,“On the Long Run Relationship between Gold and Silver Prices-A Note”, Global Finance Journal vol.12 (2) 2001, pp 299–303. DOI: https://doi.org/10.1016/S1044-0283(01)00034-5
Sujit, K. S., and Rajesh Kumar, B., “Study on Dynamic Relationship Among Gold Price, Oil Price, Exchange Rate and Stock Market Returns”, International Journal of Applied Business and Economic Research, Vol. 9(2), 2011, pp 145-165.
TormanCengiz, CagatayHasarir and Mehmet Hayramoglu, “Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model”, Business and Economics Research Journal , Vol. 2 (4) 2011 pp 37-50.
Downloads
Published
How to Cite
Issue
Section
License
With the licence CC-BY, authors retain the copyright, allowing anyone to download, reuse, re-print, modify, distribute, and/or copy their contribution. The work must be properly attributed to its author.
It is not necessary to ask for further permission from the author or journal board.
This journal provides immediate open access to its content on the principle that making research freely available to the public supports a greater global exchange of knowledge.
