TY - JOUR
T1 - Time-variation in the relationship between white precious metals and inflation : A cross-country analysis
AU - Bilgin, Mehmet Huseyin
AU - Gogolin, Fabian
AU - Lau, Marco Chi Keung
AU - Vigne, Samuel A.
N1 - Publisher Copyright:
© 2018
Copyright:
Copyright 2018 Elsevier B.V., All rights reserved.
PY - 2018/9/12
Y1 - 2018/9/12
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.
UR - http://www.scopus.com/inward/record.url?scp=85051659934&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2018.03.001
DO - 10.1016/j.intfin.2018.03.001
M3 - Article
AN - SCOPUS:85051659934
SN - 1042-4431
VL - 56
SP - 55
EP - 70
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
ER -