인플레이션과 실물(금)시장에 관한 고찰

Another Look between Inflation and Gold

There has been the vast literature about the relationship between the inflation and the commodity market returns. The most researches have not been following the bi-directional, rather uni-directional approaches. The paper studies the relationship between the real gold return and the inflation rate using the monthly 475 observations from January 1, 1974 to July 1, 2013 through the model: VGARCH-M. The findings on the interaction between the real gold return and inflation, including both the return and volatility, would be the great contributions for the policy maker, financial practitioner for portfolio diversification, global world trader including the exchange market and crude oil exporter, risk management, derivatives, fund performance appraisal, and etc. The paper shows weakly supporting results for the hedging vehicle against the inflation fluctuation. However the paper also indicates that maintaining the gold as the hedging vehicle should pay much attention on the interaction between return and volatility. This would help to expand to the research about the interactions between the global financial markets and the commodities markets.