The long-run relationship of gold and silver and the influence of bubbles and financial crises
Dirk Baur (dirk.baur@uts.edu.au) and
Duy Tran (duy.tran@uts.edu.au)
Empirical Economics, 2014, vol. 47, issue 4, 1525-1541
Abstract:
This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (J Forecast 17:81–107, 1998 ) and extend their study. We use a longer sample period from 1970 to 2011 and study the role of bubbles and financial crises for the relationship between gold and silver prices. We find clear evidence for a co-integration relationship between gold and silver with gold prices driving the relationship. The analysis also indicates that the results are influenced by bubble-like episodes and financial crises. Copyright Springer-Verlag Berlin Heidelberg 2014
Keywords: Co-integration; Nonlinear error correction; Granger causality; Gold; Silver; Bubbles; Financial crisis; C22; G1; G110 (search for similar items in EconPapers)
Date: 2014
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Working Paper: The Long-run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:47:y:2014:i:4:p:1525-1541
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DOI: 10.1007/s00181-013-0787-1
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