Cogent Economics & Finance (Oct 2023)

Is gold an inflation hedge in Vietnam? A non-linear approach

  • Minh Duc Do,
  • Tho Dat Tran,
  • Hong Nhung Nguyen,
  • Ngoc Mai Le,
  • Duc Hieu Ninh

DOI
https://doi.org/10.1080/23322039.2023.2244857
Journal volume & issue
Vol. 11, no. 2

Abstract

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AbstractThis paper investigates the inflation-hedging ability of gold in Vietnam from 2011 to 2022. In order to assess how government management has affected the domestic gold market, two local gold prices (SJC and 9999) were employed. The non-linear autoregressive distributed lags (NARDL) approach is applied to analyze the short- and long-run asymmetry between CPI and gold prices. The result reveals that the relationships between CPI and gold prices are non-linear (asymmetric) and gold can only hedge against inflation in the short run. Additionally, the global gold price fluctuations, combined with limited supply, have created a supply shock, causing domestic enterprises to proactively widen the bid-ask spread in both types of gold to mitigate risks, indirectly exacerbating the local-global price disparities.

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