The dynamic causality between gold and silver prices in India: Evidence using time-varying and non-linear approaches

Bibhuti Mishra, Ashis Pradhan, Aviral Tiwari and Muhammad Shahbaz

Resources Policy, 2019, vol. 62, issue C, 66-76

Abstract: This paper explores the dynamic causal relationship between the returns of gold and silver in Indian market using monthly data for the period June 1991–June 2018. In doing so, we use three methods to obtain robust results and draw solid implications. Firstly, a rolling window bootstrap approach is employed to examine the dynamic causal relationship. Secondly, we use wavelet based time-varying Granger-causality test and finally a non-linear Granger-causality test is also applied to know the causality between the variables in a non-linear framework. Our results demonstrate the existence of significant time-varying negative and positive effects from gold to silver while the reverse is not true. The time varying causality results also commensurate with the macro-economy conditions and diverse monetary and fiscal policies.

Keywords: Fiscal policy; India (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:62:y:2019:i:c:p:66-76

DOI: 10.1016/j.resourpol.2019.03.008

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