The inflation rate of the price of gold, expected prices and interest rates. 1988.
Fortune (1988) offers the first suggestion for a channel through which inflation directly affects gold prices, which he says is an asset substitution effect.
The channel is suggested as working in the following way – Increases in expected future prices (inflation) encourages individuals to convert assets with fixed nominal returns into gold. Similarly increases in expect interest rates cause investors to sell gold and buy interest bearing assets.
Based on these ideas the paper tests this model based on from quarterly data from 1973 to 1980 and predicts gold price changes in the right direct, but in too large a magnitude.
Reference: Neill Fortune, J. “The inflation rate of the price of gold, expected prices and interest rates.” Journal of Macroeconomics 9.1 (1988): 71-82.