Do Bubbles occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models

Brian Lucey and Fergal O'Connor ()

The Institute for International Integration Studies Discussion Paper Series from IIIS

Abstract: We assess whether two classes of bubbles occur in the spot price of gold, rational speculative and periodically bursting bubbles, using gold's' lease rates for the first time in the literature as a measures of its fundamental value. This question is of particular significance as these are the only observable market measures of a yield that can be earned by owning gold. We use tradition unit root and cointegration tests for rational speculative bubbles and Markov Switching Augmented Dickey-Fuller tests for periodically bursting bubbles. Bubbles are found to possibly exist for in ADF and cointegration bubble tests, but under the markov switching model no bubble found to be present.

Keywords: Entrepreneurial finance; Discouraged borrowers; Intermediated debt; Financial crisis; Europe (search for similar items in EconPapers)
JEL-codes: G3 (search for similar items in EconPapers)
Pages: 24
Date: 2012-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:iis:dispap:iiisdp418

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