Assessing the inflation hedging of gold and palladium in OECD countries

Exchange Rate and Interest Rate Differential in G7 Economies

“…The ARDL framework allows for the combination of the series with a mixed order of cointegration. For more reliability, we apply the Narayan-Liu (2015) unit root test (for motivation, see Salisu and Adeleke, 2016;Salisu, Adediran, Oloko, and Ohemeng, 2019;Salisu, Ndako and Oloko, 2019) to confirm the order of integration of the series and to obtain break dates for the regressand to be carried forward to estimate the model.…”

“…A number of processes exist for this, including the prominent adoption of different proxies for one or more variables in the model or alternative data frequencies, for example. We embrace the second option, banking on previous clues that the predictability models of financial series such as those assessed here could be sensitive to the choice of data frequency (e.g., Narayan and Liu, 2015;Narayan and Sharma, 2015;Salisu and Adeleke, 2016;Narayan et al, 2018;Salisu, Ndako, and Oloko, 2019). Hence, having employed monthly observations in the main analysis, we thought it revealing to determine the sensitivity of the results using a quarterly data frequency.…”

“…2 The high frequency and trending nature of the series require us to adopt a unit root test that adequately captures the same. Among the competing tests of Narayan and Liu (2015) and Narayan and Popp (2010), preference is accorded to the former for a number of technical reasons that are described by Salisu, Adediran, Oloko, and Ohemeng (2019), Salisu and Adeleke (2016), and Salisu, Ndako, and Oloko (2019). However, because the structural break test chosen is a series-based analysis that produces a break date(s) for each series, we incorporate the breaks found for the regressand (i.e., the exchange rate) into our predictive models for both linear and nonlinear ARDL.…”

Hedging Global and Country-Specific Geopolitical Risks With South Korean Stocks: A Predictability Approach

“…The South Korean stock market provides partial hedging for geopolitical, economic, and health risks if and full hedging if , and possesses a superlative hedging property if . However, if , it implies that the South Korean stock market does not provide hedging against global and country-specific geopolitical, economic, and health risks (Arnold & Auer, 2015;Salisu, Ndako, et al, 2019).…”

International Real Estate Review

“…Based on these results, they conclude that gold may serve as an effective hedge against inflation only in normal economic conditions. Salisu et al (2019) examine the inflation hedging potential of gold and palladium for Organisation for Economic Cooperation and Development (OECD) countries by using both a time series analysis and a panel data approach. They find that gold and palladium hedge against inflation in the OECD countries.…”