Time-variation in the relationship between white precious metals and inflation: A cross-country analysis

Mehmet Huseyin Bilgin, Fabian Gogolin, Chi Keung Lau, Samuel A. Vigne

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

In recent years, as a result of an increasing financialisation of financial markets, white precious metals have slowly transformed from mere production inputs to in- vestment assets. In order to analyse the characteristics of white precious metals and the consequences of the transition, this paper examines the long-run inflation hedging effectiveness of silver, platinum, and palladium using both linear and non-linear cointegration relationship procedures. This study is the first to formally investigate the inflation hedging effectiveness of white precious metals across different countries. Overall, the results point towards the superiority of palladium as the most reliable inflation hedge. Furthermore, country-specific graphical evidence uncovers time-variation in the inflation hedging potential of white precious metals.
LanguageEnglish
Pages55-70
Number of pages16
JournalJournal of International Financial Markets, Institutions and Money
Volume56
Early online date28 Mar 2018
DOIs
Publication statusPublished - Sep 2018

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Cross-country analysis
Metals
Time variation
Inflation
Hedging effectiveness
Hedge
Nonlinear cointegration
Assets
Financial markets
Hedging

Cite this

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abstract = "In recent years, as a result of an increasing financialisation of financial markets, white precious metals have slowly transformed from mere production inputs to in- vestment assets. In order to analyse the characteristics of white precious metals and the consequences of the transition, this paper examines the long-run inflation hedging effectiveness of silver, platinum, and palladium using both linear and non-linear cointegration relationship procedures. This study is the first to formally investigate the inflation hedging effectiveness of white precious metals across different countries. Overall, the results point towards the superiority of palladium as the most reliable inflation hedge. Furthermore, country-specific graphical evidence uncovers time-variation in the inflation hedging potential of white precious metals.",
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Time-variation in the relationship between white precious metals and inflation : A cross-country analysis. / Bilgin, Mehmet Huseyin; Gogolin, Fabian; Lau, Chi Keung; Vigne, Samuel A.

In: Journal of International Financial Markets, Institutions and Money, Vol. 56, 09.2018, p. 55-70.

Research output: Contribution to journalArticle

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