An application of non-linear co-integration test model to gold inflation hedging ability
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...
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| Main Authors: | , , |
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| 其他作者: | |
| 格式: | Conference or Workshop Item |
| 語言: | English |
| 出版: |
Trường Đại học Kinh tế
2020
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| 主題: | |
| 在線閱讀: | http://repository.vnu.edu.vn/handle/VNU_123/97659 |
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| 總結: | 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 long and short-run with monthly data of gold price from World Gold Council (per ounce
denominated in Vietnam Dong) and CPI of Vietnam from International Monetary Fund (IMF)
over the period of January 1995 to July 2014 are used for analysis. The results figure out the
long-term effective hedging ability but unstable relationship between gold and inflation. To
further explore the inflation hedging ability of Gold in short-run, the study uses the non-linear
error-correction model (TC-TVECM) to examine the price rigidity in low regime (when
variation margin of gold price is lower than that of CPI) and high regime (when variation margin
of gold price is higher). It is found that in short-run, gold is partially effective in hedging against
inflation. The protection ability is stronger in low momentum than in high momentum.
Furthermore, by comparing the results in two countries – Vietnam and Thailand, this research
tries to provide a broader view on inflation-hedge of gold across South-east Asian countries |
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