The Long-run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises

Dirk Baur (dirk.baur@uwa.edu.au) and Duy T. Tran
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Duy T. Tran: Finance Discipline Group, UTS Business School, University of Technology, Sydney, http://www.uts.edu.au/about/uts-business-school/finance

No 172, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (1998) and extend their study. First, we use a 40-year sample period from 1970-2010 and examine the existence and stability of a long-run relationship between gold and silver prices. Second, we study the role of bubbles and financial crises for the relationship between gold and silver. The results indicate that extreme price changes in certain periods create long-run (co-integration relationships since gold and silver are not co-integrated in “normal” periods.

Keywords: co-integration; nonlinear error-correlation; Granger causality; gold; silver; bubbles; financial crisis (search for similar items in EconPapers)
Pages: 29
Date: 2012-08-01
New Economics Papers: this item is included in nep-fdg and nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published as: Baur, D. G. and Tran, D. T., 2014, "The Long-run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises", Empirical Economics, 47(4), 1525-1541.

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Journal Article: The long-run relationship of gold and silver and the influence of bubbles and financial crises (2014)
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