메뉴 건너뛰기




Volumn 49, Issue 5, 1997, Pages 475-489

Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance

Author keywords

Forecasting; Inflation; Leading indicators

Indexed keywords


EID: 0242586591     PISSN: 00129933     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0148-6195(97)00034-9     Document Type: Article
Times cited : (110)

References (30)
  • 1
    • 0011413557 scopus 로고
    • Terms of trade and real exchange rates: The Canadian evidence
    • Feb.
    • Amano, R. A., and van Norden, S. Feb. 1995. Terms of trade and real exchange rates: The Canadian evidence. Journal of International Money and Finance 14(1):83-104.
    • (1995) Journal of International Money and Finance , vol.14 , Issue.1 , pp. 83-104
    • Amano, R.A.1    Van Norden, S.2
  • 2
    • 84933496003 scopus 로고
    • Commodity prices and monetary policy: What have we learned?
    • Spring/Summer
    • Angell, W. D. Spring/Summer 1992. Commodity prices and monetary policy: What have we learned? Cato Journal 12(1):185-192.
    • (1992) Cato Journal , vol.12 , Issue.1 , pp. 185-192
    • Angell, W.D.1
  • 3
    • 38249026500 scopus 로고
    • Commodity prices and aggregate inflation: Would a commodity price rule be worthwhile?
    • Baillie, R. T. 1989. Commodity prices and aggregate inflation: Would a commodity price rule be worthwhile? Carnegie-Rochester Conference Series on Public Policy 31:185-240.
    • (1989) Carnegie-Rochester Conference Series on Public Policy , vol.31 , pp. 185-240
    • Baillie, R.T.1
  • 4
    • 85185429459 scopus 로고
    • Commodity prices and inflation
    • June
    • Boughton, J. M. June 1989a. Commodity prices and inflation. Finance and Development :27-29.
    • (1989) Finance and Development , pp. 27-29
    • Boughton, J.M.1
  • 5
    • 84909722476 scopus 로고
    • Is the relative price of commodities stable in the long run?
    • International Monetary Fund
    • Boughton, J. M. 1989b. Is the relative price of commodities stable in the long run? Working Paper. International Monetary Fund.
    • (1989) Working Paper
    • Boughton, J.M.1
  • 6
    • 0043022691 scopus 로고
    • Commodity prices as a leading indicator of inflation
    • K. Lahiri and G. H. Moore, eds.. Cambridge University Press
    • Boughton, J. M., and Branson, W. H. 1991. Commodity prices as a leading indicator of inflation. In Leading Economic Indicators: New Approaches and Forecasting Records (K. Lahiri and G. H. Moore, eds.). Cambridge University Press, pp. 305-338.
    • (1991) Leading Economic Indicators: New Approaches and Forecasting Records , pp. 305-338
    • Boughton, J.M.1    Branson, W.H.2
  • 7
    • 0001397560 scopus 로고
    • Pitfalls and opportunities: What macroeconomists should know about unit roots
    • Campbell, J. Y. and Perron, P. 1991. Pitfalls and opportunities: What macroeconomists should know about unit roots. NBER macroeconomics Annual 6, pp. 141-201.
    • (1991) NBER Macroeconomics Annual , vol.6 , pp. 141-201
    • Campbell, J.Y.1    Perron, P.2
  • 8
    • 0010008997 scopus 로고
    • Do producer prices lead consumer prices?
    • 3rd Quarter Federal Reserve Bank of Kansas City
    • Clark, T. E. 3rd Quarter 1995. Do producer prices lead consumer prices? Economic Review, Federal Reserve Bank of Kansas City 80(3) pp. 25-39.
    • (1995) Economic Review , vol.80 , Issue.3 , pp. 25-39
    • Clark, T.E.1
  • 9
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive series with a unit root
    • June
    • Dickey, D. A., and Fuller, W. A. June 1979. Distribution of the estimators for autoregressive series with a unit root. Journal of American Statistical Association 74:427-431.
    • (1979) Journal of American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 10
    • 0242586556 scopus 로고
    • Gold takes a fade
    • April 25
    • Einhorn, C. April 25, 1994. Gold takes a fade. Barron's 74(17).
    • (1994) Barron's , vol.74 , Issue.17
    • Einhorn, C.1
  • 11
    • 0011684116 scopus 로고
    • Inflation persistence and Fisher effects: Evidence of a regime change
    • Aug.
    • Emery, K. M. Aug. 1994. Inflation persistence and Fisher effects: Evidence of a regime change. Journal of Economics and Business 46(3):141-152.
    • (1994) Journal of Economics and Business , vol.46 , Issue.3 , pp. 141-152
    • Emery, K.M.1
  • 12
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation, estimation and testing
    • March
    • Engle, R. F., and Granger, C. W. J. March 1987. Co-integration and error correction: Representation, estimation and testing. Econometrica 55:251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 13
  • 14
    • 0009937092 scopus 로고
    • How useful are leading indicators of inflation?
    • 2nd Quarter Federal Reserve Bank of Kansas City
    • Garner, C. 2nd Quarter 1995. How useful are leading indicators of inflation? Economic Review, Federal Reserve Bank of Kansas City 80(2): pp. 1-18.
    • (1995) Economic Review , vol.80 , Issue.2 , pp. 1-18
    • Garner, C.1
  • 15
    • 38249010733 scopus 로고
    • Comments on the evaluation of policy models
    • Aug.
    • Granger, C. W. J. and Deutsch, M. Aug. 1992. Comments on the Evaluation of Policy Models. Journal of Policy Modeling 14(4):497-516.
    • (1992) Journal of Policy Modeling , vol.14 , Issue.4 , pp. 497-516
    • Granger, C.W.J.1    Deutsch, M.2
  • 16
    • 23644433081 scopus 로고
    • The Fed aims for price stability
    • Sept./Oct.
    • Greenspan, A. Sept./Oct. 1993. The Fed aims for price stability. Challenge :4-10.
    • (1993) Challenge , pp. 4-10
    • Greenspan, A.1
  • 17
    • 0345510809 scopus 로고
    • Statistical analysis of cointegration vectors
    • June/Sept.
    • Johansen, S. June/Sept. 1988. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12(2):231-254.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , Issue.2 , pp. 231-254
    • Johansen, S.1
  • 18
    • 38249011258 scopus 로고
    • Cointegration in partial systems and the efficiency of single equation analysis
    • June
    • Johansen, S. June 1992. Cointegration in partial systems and the efficiency of single equation analysis. Journal of Econometrics 52(3):389-402.
    • (1992) Journal of Econometrics , vol.52 , Issue.3 , pp. 389-402
    • Johansen, S.1
  • 19
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration with application to the demand for money
    • Johansen, S., and Juselius, K. 1990. Maximum likelihood estimation and inference on cointegration with application to the demand for money. Oxford Bulletin of Economics and Statistics 52(2):169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , Issue.2 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 20
    • 0003284285 scopus 로고
    • Long-run relations in Australian monetary data
    • C. P. Hargreaves, ed.. Edgar Elgar Publishing Limited, Chapter 10
    • Juselius, K., and Hargreaves, C. P. 1992. Long-run relations in Australian monetary data. In Macroeconomic Modelling for the Long Run (C. P. Hargreaves, ed.). Edgar Elgar Publishing Limited, Chapter 10.
    • (1992) Macroeconomic Modelling for the Long Run
    • Juselius, K.1    Hargreaves, C.P.2
  • 21
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of unit root: How sure are we that economic time series have a unit root
    • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., and Shin, Y. 1992. Testing the null hypothesis of stationarity against the alternative of unit root: How sure are we that economic time series have a unit root. Journal of Econometrics 54(1-3):159-78.
    • (1992) Journal of Econometrics , vol.54 , Issue.1-3 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 22
    • 23644434157 scopus 로고
    • Is there a role for gold in monetary policy?
    • March/April The Federal Reserve Bank of Chicago
    • Laurent, R. D. March/April 1994. Is there a role for gold in monetary policy? Economic Perspectives. The Federal Reserve Bank of Chicago XVIII:2-14.
    • (1994) Economic Perspectives , vol.18 , pp. 2-14
    • Laurent, R.D.1
  • 23
    • 0000631178 scopus 로고
    • A note with quintiles of the asymptotic distribution of the likelihood cointegration rank test statistics: Four cases
    • Aug.
    • Osterwald-Lenum, M. Aug. 1992. A note with quintiles of the asymptotic distribution of the likelihood cointegration rank test statistics: Four cases. Oxford Bulletin of Economics and Statistics 54(3):933-948.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , Issue.3 , pp. 933-948
    • Osterwald-Lenum, M.1
  • 24
    • 38249016128 scopus 로고
    • Commodity prices and the CPI: Cointegration, information, and signal extraction
    • March
    • Pecchenino, R. A. March 1992. Commodity prices and the CPI: Cointegration, information, and signal extraction. International Journal of Forecasting 7(4):493-500.
    • (1992) International Journal of Forecasting , vol.7 , Issue.4 , pp. 493-500
    • Pecchenino, R.A.1
  • 25
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • June
    • Phillips, P. C. B., and Perron, P. June 1988. Testing for a unit root in time series regression. Biometrika 75:335-346.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 26
    • 0041378645 scopus 로고
    • Leading indicators of inflation
    • Nov. Federal Reserve Bank of Kansas City
    • Roth, H. L. Nov. 1986. Leading indicators of inflation. Economic Review, Federal Reserve Bank of Kansas City 71(9):3-20.
    • (1986) Economic Review , vol.71 , Issue.9 , pp. 3-20
    • Roth, H.L.1
  • 27
    • 0043022691 scopus 로고
    • Leading indicators of inflation
    • K. Lahiri and G. H. Moore, eds.. Cambridge University Press
    • Roth, H. L. 1991. Leading indicators of inflation. In Leading Economic Indicators: New Approaches and Forecasting Records (K. Lahiri and G. H. Moore, eds.). Cambridge University Press, pp. 275-301.
    • (1991) Leading Economic Indicators: New Approaches and Forecasting Records , pp. 275-301
    • Roth, H.L.1
  • 28
    • 0001527764 scopus 로고
    • A simple estimator of cointegrating vectors in higher order integrated systems
    • July
    • Stock, J. H., and Watson, M. W. July 1993. A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61:435-459.
    • (1993) Econometrica , vol.61 , pp. 435-459
    • Stock, J.H.1    Watson, M.W.2
  • 29
    • 0000048080 scopus 로고
    • Vector autoregressions and causality
    • Nov.
    • Toda, H. Y., and Phillips, P. C. B. Nov. 1993. Vector autoregressions and causality. Econometrica 61(6):1367-1393.
    • (1993) Econometrica , vol.61 , Issue.6 , pp. 1367-1393
    • Toda, H.Y.1    Phillips, P.C.B.2
  • 30
    • 0040623319 scopus 로고
    • Commodity prices as predictors of aggregate price change
    • Nov./Dec. Federal Reserve Bank of Richmond
    • Webb, R. H. Nov./Dec. 1988. Commodity prices as predictors of aggregate price change. Economic Review, Federal Reserve Bank of Richmond :3-11.
    • (1988) Economic Review , pp. 3-11
    • Webb, R.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.