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The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note

Brian Lucey () and Edel Tully

Applied Financial Economics Letters, 2006, vol. 2, issue 1, 47-53

Abstract: This study re-examines the results of Ciner (2001), who claims that the historically stable relationship between gold and silver has broken down in the 1990s. It is shown, using a longer run of data, for both cash and futures, that this finding may be unwarranted. In particular a recursive cointegration model is used to extract the evolution of the relationship over a 25 year period. The findings are that while there are periods when the relationship is weak, overall a stable relationship prevails.

Date: 2006
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Handle: RePEc:taf:apfelt:v:2:y:2006:i:1:p:47-53