Title

Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data

Document Type

Article

Source of Publication

Economics Letters

Publication Date

8-1-2019

Abstract

© 2019 Elsevier B.V. We perform a test of the inflation hedging properties of commodities on the longest data series ever used for this purpose. We apply wavelet analysis to commodity prices and inflation data from the United Kingdom for the years 1265 through 2017, to detect co-movement across different times and frequencies. We demonstrate robust inflation hedging properties of agricultural, energy, and industrial commodities for the 4- to 8-year horizon through almost the entire seven centuries.

ISSN

0165-1765

Publisher

Elsevier B.V.

Volume

181

First Page

90

Last Page

94

Disciplines

Business

Keywords

Commodity markets, Early commodity prices, Inflation hedging, Wavelet analysis

Scopus ID

85065536981

Indexed in Scopus

yes

Open Access

no

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