An application of non-linear co-integration test model to gold inflation hedging ability

• Main Authors: Ho, Tran Thao Nguyen, Le, Hong Nhung, Vuong, Duc Hoang Quan
• Other Authors: Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
• Format: Conference or Workshop Item
• Language: English
• Published: Trường Đại học Kinh tế 2020
• Subjects: Non-linear; Co-integration test model; Gold; Inflation hedging; Vietnam
• Online Access: http://repository.vnu.edu.vn/handle/VNU_123/97659
• Institution: Vietnam National University, Hanoi

This study aims to analyze the question of how effective gold is as an inflation hedge in both long-term and short-term in Vietnam from a new perspective – non-linear co-integration. The two-stage testing procedure is applied to analyze the inflation hedging ability of gold in Vietnam both in lon...