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Persistence in trends and cycles of gold and silver prices: Evidence from historical data

Juncal Cuñado (), Luis Gil-Alana () and Rangan Gupta ()

Physica A: Statistical Mechanics and its Applications, 2019, vol. 514, issue C, 345-354

Abstract: This study examines the persistence in gold and silver prices covering the historical periods of 1257 to 2016 and 1687 to 2016 respectively, by means of simultaneously estimating two differencing parameters for the long run trend and the cyclical behavior in a fractional integration framework. As opposed to many previous papers in the literature, once the cyclical differencing parameter is taken into account, mean reversion is detected in the long run trend of both gold and silver prices. The same result is obtained when structural breaks are taken into account. As far as the cyclical behavior of gold and silver prices is concerned, we find that cycles have a higher periodicity for gold (around 7 years) than for silver (4–5 years).

Keywords: Gold and silver prices; Persistence; Cyclical behavior; Fractional integration (search for similar items in EconPapers)
JEL-codes: C22 Q02 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data (2018)
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DOI: 10.1016/j.physa.2018.09.081

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