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Has gold been a hedge against inflation in France from 1949 to 2011? Empirical evidence of the French specificity

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  • Thi Hong Van Hoang

    (Professeur assistant en Finance au Groupe Sup de Co Montpellier Business School, Montpellier Recherche en Management, 2300 avenue des Moulins, 34185 Montpellier.)

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  • Thi Hong Van Hoang, 2012. "Has gold been a hedge against inflation in France from 1949 to 2011? Empirical evidence of the French specificity," Working Papers 12-05, Association Française de Cliométrie (AFC).
    • Handle: RePEc:afc:wpaper:12-05
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    References listed on IDEAS

    as
    1. Blose, Laurence E., 2010. "Gold prices, cost of carry, and expected inflation," Journal of Economics and Business, Elsevier, vol. 62(1), pages 35-47, January.
    2. Charles, Amélie & Darné, Olivier & Diebolt, Claude & Ferrara, Laurent, 2015. "A new monthly chronology of the US industrial cycles in the prewar economy," Journal of Financial Stability, Elsevier, vol. 17(C), pages 3-9.
    3. Tully, Edel & Lucey, Brian M., 2007. "A power GARCH examination of the gold market," Research in International Business and Finance, Elsevier, vol. 21(2), pages 316-325, June.
    4. Martin Feldstein, 1983. "Inflation, Tax Rules, and the Prices of Land and Gold," NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 221-228, National Bureau of Economic Research, Inc.
    5. Leslie Lipschitz & Ichiro Otani, 1977. "A Simple Model of the Private Gold Market, 1968-74: An Exploratory Econometric Exercise (Un modèle simple du marché privé de l'or, 1968-74: exercice économétrique exploratoire) (Un modelo sencill," IMF Staff Papers, Palgrave Macmillan, vol. 24(1), pages 36-63, March.
    6. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    7. Dipak Ghosh & Eric Levin & Robert E Wright & The Centre for Economic Policy Research, "undated". "Gold as an Inflation Hedge?," Working Papers Series 96/10, University of Stirling, Division of Economics.
    8. Mahdavi, Saeid & Zhou, Su, 1997. "Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance," Journal of Economics and Business, Elsevier, vol. 49(5), pages 475-489.
    9. Georges Gallais-Hamonno & Pedro Arbulu, 1995. "La rentabilité réelle des actifs boursiers de 1950 à 1992," Économie et Statistique, Programme National Persée, vol. 281(1), pages 3-30.
    10. Wang, Kuan-Min & Lee, Yuan-Ming & Thi, Thanh-Binh Nguyen, 2011. "Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model," Economic Modelling, Elsevier, vol. 28(3), pages 806-819, May.
    11. Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
    12. Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
    13. Roy W. Jastram, 2009. "The Golden Constant," Books, Edward Elgar Publishing, number 12733.
    14. Luca PENSIEROSO, 2010. "The Great Depression in Belgium: an Open-Economy Analysis," LIDAM Discussion Papers IRES 2010023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    15. Jun Cai & Yan‐Leung Cheung & Michael C. S. Wong, 2001. "What moves the gold market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(3), pages 257-278, March.
    16. Thi Hong Van Hoang, 2010. "The Gold Market at the Paris Stock Exchange: A Risk-Return Analysis 1950-2003," Historical Social Research (Section 'Cliometrics'), Association Française de Cliométrie (AFC), vol. 35(3), pages 389-411.
    17. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    18. Christophe Faugere & Julian Van Erlach, 2004. "The Price of Gold: A Global Required Yield Theory," Finance 0403003, University Library of Munich, Germany.
    19. Olivier Darné & Amélie Charles & Claude Diebolt & Laurent Ferrara, 2015. "A new monthly chronology of the US industrial cycles in the prewar economy," Post-Print hal-01635949, HAL.
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    Cited by:

    1. Hanan Naser, 2017. "Can Gold Investments Provide a Good Hedge Against Inflation? An Empirical Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 470-475.
    2. Hoang, Thi-Hong-Van & Lean, Hooi Hooi & Wong, Wing-Keung, 2015. "Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 98-108.

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