Time-Variation in the Relationship between White Precious Metals and Inflation: A Cross-Country Analysis

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

Research output: Contribution to journalArticle

6 Citations (Scopus)
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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 investment 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.
Original languageEnglish
JournalJournal of International Financial Markets Institutions and Money
Early online date28 Mar 2018
DOIs
Publication statusEarly online date - 28 Mar 2018

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

Cite this

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title = "Time-Variation in the Relationship between White Precious Metals and Inflation: A Cross-Country Analysis",
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 investment 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. / Huseyin Bilgin, Mehmet; Gogolin, Fabian; Chi Keung Lau, Marco; Vigne, Samuel A.

In: Journal of International Financial Markets Institutions and Money, 28.03.2018.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Time-Variation in the Relationship between White Precious Metals and Inflation: A Cross-Country Analysis

AU - Huseyin Bilgin, Mehmet

AU - Gogolin, Fabian

AU - Chi Keung Lau, Marco

AU - Vigne, Samuel A.

PY - 2018/3/28

Y1 - 2018/3/28

N2 - In recent years, as a result of an increasing financialisation of financial markets, white precious metals have slowly transformed from mere production inputs to investment 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.

AB - In recent years, as a result of an increasing financialisation of financial markets, white precious metals have slowly transformed from mere production inputs to investment 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.

U2 - 10.1016/j.intfin.2018.03.001

DO - 10.1016/j.intfin.2018.03.001

M3 - Article

JO - Journal of International Financial Markets Institutions and Money

JF - Journal of International Financial Markets Institutions and Money

SN - 1042-4431

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