Evaluation of Gold Investment as an Inflationary Hedge in Case of Pakistan
Published By: Pakistan Institute of Development Economics | Published Date: January, 01 , 2015The present study aims at empirically testing the status of gold as a potential hedge against inflation. The study whirls around analysing the nature of the relationship of expected and actual inflation with gold return and its cost of carrying i.e. the interest rate. By employing an autoregressive moving average (ARMA) with generalised autoregressive conditional heteroscedasticity (GARCH) models, the time varying relationship between the variables is studied. The data sample used in the study ranges from January, 2001 to December, 2013.
Author(s): Nadeem Ul Haque, Sadaf Zafar, Attiya Yasmin Javid | Posted on: Feb 02, 2016 | Views()