Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model
نویسندگان
چکیده
منابع مشابه
Gold as an Inflation Hedge?*
This paper attempts to reconcile an apparent contradiction between short-run and long-run movements in the price of gold. A theoretical model is developed that suggests a set of the conditions that would have to be satisfied for the price of gold to rise over time at the general rate of inflation and hence be an effective long-run hedge against inflation. The model also demonstrates that short-...
متن کاملStudy on Gold as a Hedge or Safe Haven for the Stock Market by a Markov Switching Approach
Although gold is no longer a central cornerstone of the international monetary and financial system, it still attracts considerable attention from researchers and investors. Nowadays, many investors manage their risk with valuable assets such as gold. This paper examines the dynamic relationships between gold and stock markets in the Tehran Stock Exchange. We have applied the Markov switching m...
متن کاملBayesian Markov Regime-Switching Models for Cointegration
This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estima...
متن کاملA Markov-switching Model of Inflation in Australia
Economic Group Reserve Bank of Australia The opinions expressed in this paper are those of the author and should not be attributed to the Reserve Bank of Australia. The paper has benefited from comments by Alison Tarditi.
متن کاملCreating an Inventory Hedge for Markov - Modulated Poisson Demand : An Application and Model Hari
Many firms face environments with long production lead times, great product variety, and uncertain, non-stationary demand. A challenge is how to plan production and inventories to provide competitive customer service at least cost. In this paper, we first describe an application at Teradyne in which we implemented an inventory hedge to protect against cyclic demand variability. Based on this ex...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Resources Policy
سال: 2016
ISSN: 0301-4207
DOI: 10.1016/j.resourpol.2016.02.011