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

Adam Zaremba , Zaghum Umar , Mateusz Mikutowski

Abstract

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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Zaghum Umar - Zayed University, Dubai, United Arab Emirates
Zaghum Umar,,
-
, Mateusz Mikutowski (WZ / KIiRK)
Mateusz Mikutowski,,
- Department of Investment and Capital Markets
Journal seriesEconomics Letters, ISSN 0165-1765, e-ISSN 1873-7374, (N/A 100 pkt)
Issue year2019
Vol181
Pages90-94
Publication size in sheets0.5
Keywords in Polishzabezpieczenie przed inflacją, rynki surowców, historyczne ceny surowców, analiza falkowa
Keywords in EnglishInflation hedging; Commodity markets; Early commodity prices; Wavelet analysis
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.econlet.2019.05.002
URL https://www.sciencedirect.com/science/article/abs/pii/S0165176519301612
Languageen angielski
Score (nominal)100
Score sourcejournalList
ScoreMinisterial score = 100.0, 06-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.715; WoS Impact Factor: 2017 = 0.581 (2) - 2017=0.902 (5)
Citation count*6 (2020-06-25)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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